A new Fourier transform algorithm for value-at-risk

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Title: A new Fourier transform algorithm for value-at-risk
Authors: Albanese, C
Jackson, K
Wiberg, P
Item Type: Journal Article
Issue Date: 1-Jun-2004
Citation: QUANT FINANC 4 ( 3 ) 328 - 338
URI: http://hdl.handle.net/10044/1/47
Publisher Link: http://dx.doi.org/10.1088/1469-7688/4/3/008
DOI: 10.1088/1469-7688/7/3/008
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
Appears in Collections:Financial Mathematics

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