Financial Markets and Portfolio Management

, Volume 15, Issue 3, pp 363–378

VaR for nonlinear financial instruments — linear approximation or full Monte Carlo?

  • Manuel Ammann
  • Christian Reich
Article

DOI: 10.1007/s11408-001-0306-9

Cite this article as:
Ammann, M. & Reich, C. Fin Mkts Portfolio Mgmt (2001) 15: 363. doi:10.1007/s11408-001-0306-9

Copyright information

© Swiss Society for Financial Market Research 2001

Authors and Affiliations

  • Manuel Ammann
    • 1
  • Christian Reich
    • 2
  1. 1.University of California at BerkeleyBerkeley
  2. 2.University of BasleBasle

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