Interest Rate Derivatives and Value at Risk with Multiscale Stochastic Volatility
Download or Read eBook Interest Rate Derivatives and Value at Risk with Multiscale Stochastic Volatility PDF written by Rafael de Santiago and published by . This book was released on 2007 with total page 418 pages. Available in PDF, EPUB and Kindle.
| Author | : Rafael de Santiago |
| Publisher | : |
| Total Pages | : 418 |
| Release | : 2007 |
| ISBN-10 | : 1109910088 |
| ISBN-13 | : 9781109910087 |
| Rating | : 4/5 (88 Downloads) |
Book Synopsis Interest Rate Derivatives and Value at Risk with Multiscale Stochastic Volatility by : Rafael de Santiago
Book excerpt: We apply perturbation methods as well to Value-at-Risk (VaR), a measure of portfolio risk. Once a confidence level q is fixed, we first compute an approximation to the distribution function of the value of the portfolio, and using this approximation we then obtain an asymptotic approximation to the q-quantile of the distribution.
