Guido Montagna

University of Pavia and INFN, Pavia Unit

via A. Bassi 6

Pavia, Pavia 27100

Italy

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Scholarly Papers (1)

1.

A Generalized Fourier Transform Approach to Risk Measures

Journal of Statistical Mechanics (2010) P01005, Erratum: J. Stat. Mech. (2012) E05001
Posted: 06 Jun 2012
University of Bologna - Department of Mathematics, affiliation not provided to SSRN, Abdus Salam International Centre for Theoretical Physics (ICTP), University of Pavia and INFN, Pavia Unit and Istituto Nazionale di Fisica Nucleare Sezione di Pavia

Abstract:

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Models of financial markets, Value-at-Risk, CVaR, Bootstrap