An Overview of Value at Risk Page 1 An Overview of Value at Risk Darrell Duffie and Jun Pan
Preliminary Draft: January 21, 1997 This review1 of value at risk, or \VaR," describes some of …

The idea for this book came from the time the authors spent at the Statistics and Applied
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This important work addresses problems in financial mathematics of pricing and hedging
derivative securities in an environment of uncertain and changing market volatility. These …

The Monte Carlo approach has proved to be a valuable and flexible computational tool in
modern finance. This paper discusses some of the recent applications of the Monte Carlo …

The stochastic differential equations for affine jump diffusion models do not yield exact
solutions that can be directly simulated. Discretization methods can be used for simulating …

This paper proposes and estimates a more general parametric stochastic variance model of
equity index returns than has been previously considered using data from both underlying …

Building upon the ideas introduced in their previous book, Derivatives in Financial Markets
with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives …

Using an Euler discretization to simulate a mean-reverting CEV process gives rise to the
problem that while the process itself is guaranteed to be nonnegative, the discretization is …

After the celebrated Black--Scholes formula for pricing call options under constant volatility,
the need for more general nonconstant volatility models in financial mathematics motivated …