Quadratic forms in multivariate generalized hyperbolic random vectors

Monday, September 28, 2020 - 19:00

Dr Juan Arismendi-Zambrano, School of Business and Dr Simon Broda, Lecturer in the Lucerne School of Business , have had their paper, "On quadratic forms in multivariate generalized hyperbolic random vectors" published in the journal  Biometrika #biometrika  – Their article expands the literature by offering a mathematical expression that helps to increase the precision in tail events calculations such as the risk measurement of a portfolio of options.