Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů
[Examination of Portfolio Currency Risk Estimation by Means of Lévy Models]
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References listed on IDEAS
- Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 39-55.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Vít Bubák & Filip Žikeš, 2009. "Distribution and Dynamics of Central-European Exchange Rates: Evidence from Intraday Data," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(4), pages 334-359, Oktober.
- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
- Mejra Festić & Dejan Romih, 2008. "Cyclicality of the banking sector performance and macro environment in the Czech republic, Slovakia and Slovenia," Prague Economic Papers, University of Economics, Prague, pages 99-117.
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- Tomáš Tichý, 2006. "Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(7-8), pages 361-379, July.
More about this item
Keywordsvariance gamma model; normal inverse Gaussian model; Lévy models; ordinary elliptical copula function; financial risk; backtesting;
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G2 - Financial Economics - - Financial Institutions and Services
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