Stochastic Taylor expansions and saddlepoint approximations for risk management

Metadata Label Value
Author(s): Studer, Michael
Publisher: Unknown
Citation:

Studer, Michael. Stochastic Taylor expansions and saddlepoint approximations for risk management. (2001). http://dx.doi.org/10.3929/ethz-a-004232555

Document Type: Doctoral and Habilitation Theses  
Documents: Abstract (12.07KB) , Fulltext (5.47MB)
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Detailed Information

Metadata Description
Title Stochastic Taylor expansions and saddlepoint approximations for risk management
Author(s) Studer, Michael
Publication Place Zürich
Publication Date 2001
Notes Diss., Mathematische Wissenschaften ETH Zürich, Nr. 14242, 2001
Language English
DOI http://dx.doi.org/10.3929/ethz-a-004232555
Subject(s) Mathematical Statistics
Keyword(s) RISK MANAGEMENT
TAYLOR FORMULA IN THE REAL DOMAIN
STOCHASTIC MODELS
RISK THEORY
SADDLEPOINT APPROXIMATION
VALUE-AT-RISK MODELS
EDGEWORTH EXPANSION
Description File Name MIME Type Size
Abstract   eth-24333-01.pdf application/pdf 12.07KB
Fulltext   eth-24333-02.pdf application/pdf 5.47MB
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E-Collection record created: Fri, 18 Apr 2008, 23:04:19 CET