A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models

Damiano Brigo, Antonio Dalessandro, Matthias Neugebauer, Fares Triki

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	365 - 393
Number of pages	29
Journal	Journal of Risk Management in Financial Institutions
Volume	2
Issue number	4
Publication status	Published - 2009

Cite this

@article{741aa659060e4e4ba800a8552275ec11,

title = "A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models ",

author = "Damiano Brigo and Antonio Dalessandro and Matthias Neugebauer and Fares Triki",

year = "2009",

language = "English",

volume = "2",

pages = "365 -- 393",

journal = "Journal of Risk Management in Financial Institutions ",

publisher = "Henry Stewart Publications",

number = "4",

}

TY - JOUR

T1 - A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models

AU - Brigo, Damiano

AU - Dalessandro, Antonio

AU - Neugebauer, Matthias

AU - Triki, Fares

PY - 2009

Y1 - 2009

M3 - Article

VL - 2

SP - 365

EP - 393

JO - Journal of Risk Management in Financial Institutions

JF - Journal of Risk Management in Financial Institutions

IS - 4

ER -