Derivation of non-Gaussian closed-form solutions for the most important risk measures, under the assumption of a Student-t distribution for financial returns. Comparison with the typical techniques used in quantitative finance.

A non-Gaussian approach to risk measures

BORMETTI, GIACOMO;CISANA, ENRICA VERA;MONTAGNA, GUIDO;
2007-01-01

Abstract

Derivation of non-Gaussian closed-form solutions for the most important risk measures, under the assumption of a Student-t distribution for financial returns. Comparison with the typical techniques used in quantitative finance.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11571/33651
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