Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach

L Ortiz-Gracia, CW Oosterlee

Research output: Contribution to journal › Article › Scientific › peer-review

17 Citations (Scopus)

Original language	English
Pages (from-to)	16-31
Number of pages	16
Journal	Applied Mathematics and Computation
Volume	244
DOIs	https://doi.org/10.1016/j.amc.2014.06.110
Publication status	Published - 2014

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title = "Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach",

author = "L Ortiz-Gracia and CW Oosterlee",

year = "2014",

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journal = "Applied Mathematics and Computation",

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AU - Ortiz-Gracia, L

AU - Oosterlee, CW

PY - 2014

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DO - 10.1016/j.amc.2014.06.110

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VL - 244

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EP - 31

JO - Applied Mathematics and Computation

JF - Applied Mathematics and Computation

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