Thomas Domenig

Zurcher Kantonalbank

Dr.

Zinsresearch

Zurich 8000

Switzerland

SCHOLARLY PAPERS

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Scholarly Papers (2)

Multivariate Extremes, Aggregation and Risk Estimation

Number of pages: 35 Posted: 27 Dec 2000
RWE Trading UK Ltd, DEAR-Consulting, Zurcher Kantonalbank, Olsen & Associates and Cornell University
Downloads 745 (41,723)
Citation 5

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Multivariate Extremes, Aggregation and Risk Estimation

Posted: 28 Sep 2001
Olsen & Associates, RWE Trading UK Ltd, DEAR-Consulting, Zurcher Kantonalbank and Cornell University

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2.

Stochastic Volatility II: Variance Gamma Model: Analysis and Implementation

Number of pages: 25 Posted: 03 Apr 2010 Last Revised: 21 Dec 2013
Thomas Domenig and Paolo Vanini
Zurcher Kantonalbank and University of Basel
Downloads 594 (57,028)

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Levy processes, Stochastic Volatility, Fourier Theory, Fast Fourier Analysis, Error Bounds, Time Change, Variance Gamma Model, Option Pricing