Matthias Neugebauer

Fitch Ratings Inc.

One state street plaza

New York, NY 10004

United States

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A Stochastic Processes Toolkit for Risk Management

Number of pages: 43 Posted: 19 Mar 2008 Last Revised: 05 Oct 2008
Damiano Brigo, Antonio Dalessandro, Matthias Neugebauer and Fares Triki
Imperial College London - Department of Mathematics, University College London, Fitch Ratings Inc. and Paris School of Economics, Pantheon Sorbonne University
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Abstract:

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Risk Management, Stochastic Processes, Maximum Likelihood Estimation, Fat Tails, Mean Reversion, Monte Carlo Simulation