Tail estimation and mean-VaR portfolio selection in markets subject to financial instability
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- M. Kijima & T. Suzuki, 2001. "A jump-diffusion model for pricing corporate debt securities in a complex capital structure," Quantitative Finance, Taylor & Francis Journals, vol. 1(6), pages 611-620.
- Jun Pan & Darrell Duffie, 2001. "Analytical value-at-risk with jumps and credit risk," Finance and Stochastics, Springer, vol. 5(2), pages 155-180.
- Ball, Clifford A & Torous, Walter N, 1985. " On Jumps in Common Stock Prices and Their Impact on Call Option Pricing," Journal of Finance, American Finance Association, vol. 40(1), pages 155-73, March.
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