Len Umantsev

Stanford University - Department of Management Science & Engineering

473 Via Ortega

Stanford, CA 94305-9025

United States

SCHOLARLY PAPERS

2

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14

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38

Scholarly Papers (2)

1.

Conditional Value-at-Risk: Aspects of Modeling and Estimation

Number of pages: 28 Posted: 07 Jun 2001
Victor Chernozhukov and Len Umantsev
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Department of Management Science & Engineering
Downloads 3,124 (4,857)
Citation 10

Abstract:

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Conditional Quantiles, Quantile Regression, Extreme Quantiles, Extreme Value Theory, Extreme Risk

2.

Pricing Coupon-Bond Options and Swaptions in Affine Term Structure Models

Number of pages: 20 Posted: 07 Feb 2003
Kenneth J. Singleton and Len Umantsev
Stanford University - Graduate School of Business and Stanford University - Department of Management Science & Engineering
Downloads 24 (622,356)
Citation 4
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