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Amédée-Manesme C-O., Barthélémy F. (CEMOTEV) & Maillard D., "Computation of the corrected Cornish-Fisher expansion using the response surface methodology : application to VaR and CVaR", Annals of Operations Research, Vol. 281, October 2019

Authors : Charles-Olivier Amédée-Manesme, Fabrice Barthélémy (CEMOTEV) & Didier Maillard
Article: " Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR"
Revue: Annals of Operations Research
Volume: 281 issue 1-2
Date : October 2019
Pages: 423-453
DOI : https://doi.org/10.1007/s10479-018-2792-4

le 4 octobre 2019

October 2019