Polyanalytic function theory extends the classical theory of holomorphic functions by encompassing functions that satisfy higher‐order generalisations of the Cauchy–Riemann equations. This broader ...
We investigate a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials. This framework was first discussed in "An analytical framework for ...
The present issue of The Journal of Risk contains papers that address the impact of model risk on capital requirements, and also includes robust approximation approaches for risk assessment and risk ...
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