Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 2, Page 96
Exercise 22

Use change of variables x = g(u) = to value the integral

[2.174]

Solution

With the change of variables,

x =

[s1]
   
[s2]

Substituting these into [2.174], we obtain

[s3]

 

[s4]

[s5]

[s6]

 
 

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