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A new Fourier transform algorithm for value-at-risk
File(s)
Author(s)
Albanese, C
Jackson, K
Wiberg, P
Type
Journal Article
Date Issued
2004-06-01
Citation
QUANT FINANC 4 ( 3 ) 328 - 338
URI
URL
DOI
Copyright Statement
This is an Accepted Manuscript of an article published by Taylor & Francis Group in Quantitative Finance on 19 Aug 2006, available online at: http://www.tandfonline.com/10.1088/1469-7688/4/3/008