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Applying and testing VaR estimation methods for non-linear portfolios

Fierli, Francesco

In the first part of this work, some of the most known VaR estimation methods are described. In such a description we try to focus mainly on the application problems of each approach, which are modified to take into account non-linear positions. In particular, some generalizations of the standard historical simulation and of the filtered historical simulation methods are shown. The second part is...

Hedging and risk measurement for option portfolios

Fierli, Francesco ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO005.

In the first part of this work we address the problem of parameter misspecification in a generic class of stochastic volatility models. We extend the approach proposed by Avellaneda, Levy and Paràs (1995) (hereafter ALP) by moving from a framework with uncertain volatility to the uncertainty on volatility process parameters. We assume that parameter values of the stochastic volatility model are...