Azamat Abdymomunov

Federal Reserve Banks - Federal Reserve Bank of Richmond

P.O. Box 27622

Richmond, VA 23261

United States

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Calculate Tail Quantiles of Compound Distributions

Journal of Computational Finance, Vol. 22, No. 5, 2019
Number of pages: 30 Posted: 02 May 2019
Azamat Abdymomunov, Filippo Curti and Hayden Kane
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
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Abstract:

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compound distributions, fast Fourier transform (FFT), Monte Carlo, perturbative expansion correction (PEC), single-loss approximation (SLA)