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1 Approximating Value at Risk in Conditional Gaussian Models
1.1 Introduction
1.1.1 The Practical Need
1.1.2 Statistical Modeling for VaR
1.1.3 VaR Approximations
1.1.4 Pros and Cons of Delta-Gamma Approximations
1.2 General Properties of Delta-Gamma-Normal Models
1.3 Cornish-Fisher Approximations
1.4 Fourier Inversion
1.5 Variance Reduction Techniques in Monte-Carlo Simulation
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