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Unravelings and Ultra-properties Massimo Marchiori Department of Pure and Applied Mathematics...
Unravelings and Ultra-properties Massimo Marchiori Department of Pure and Applied Mathematics University of Padova Via Belzoni 7, 35131 Padova, Italy Phone: +39 49 8275972 Fax: +39 49 8758596 max@math.unipd.it Abstract Conditional rewriting is universally recognized as being much more
Beyond the lognormal
Hosking, J., Bonti, G., and Siegel, D. (2000). Risk, 13:5 (May 2000), 59-62. Introduction. Most risk managers recognise that market returns are not lognormally distributed but exhibit so-called fat tails. This well-established phenomenon is important when measuring value-at-risk, as the
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