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RE S E A R C H PA P E R QUANTITATIVE FINANCE VO L U M E 4 (2004) 328338 quant.iop.org INSTITUTE O F PHYSICS PUBLISHING
 

Summary: RE S E A R C H PA P E R QUANTITATIVE FINANCE VO L U M E 4 (2004) 328338
quant.iop.org INSTITUTE O F PHYSICS PUBLISHING
A new Fourier transform algorithm
for value-at-risk
Claudio Albanese1
, Ken Jackson2
and Petter Wiberg3,4
1
Department of Mathematics, University of Toronto, 100 St George Street,
Toronto, ON, M5S 3G3, Canada
2
Department of Computer Science, University of Toronto, 10 King's College
Road, Toronto, ON, M5S 3G4, Canada
3
Mathematics Institute, University of Warwick, Coventry CV4 7AL, UK
E-mail: albanese@math.toronto.edu, krj@cs.toronto.edu and
wiberg@maths.warwick.ac.uk
Received 6 June 2003, in final form 2 February 2004
Published 4 March 2004
Online at stacks.iop.org/Quant/4/328 (DOI: 10.1088/1469-7688/4/3/008)

  

Source: Albanese, Claudio - Department of Mathematics, King's College London

 

Collections: Mathematics