Seminars(To see scheduled colloquia please click here.)
Applied Math Seminar: Value-at-Risk: Yet Another Normal Integration Problem
3:10 PM, Webster B8
Abstract: This talk will describe how the approximate computation of Value-at-Risk for a stock portfolio can be reduced to the problem of computing a multivariate normal integral over a hyperboloid. An efficient numerical method will be described for the computation of these integrals.