Scenario simulation: Theory and methodology
From MaRDI portal
Publication:1367945
DOI10.1007/S007800050016zbMATH Open0883.90017OpenAlexW2017865598MaRDI QIDQ1367945FDOQ1367945
Authors: Farshid Jamshidian, Yu Zhu 
Publication date: 5 October 1997
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050016
Recommendations
- Scenario-based risk management tools
- Scenario modeling for the management of international bond portfolios
- Risk management using VaR simulation with applications to Bucharest stock exchange
- Efficient simulation of value at risk with heavy-tailed risk factors
- scientific article; zbMATH DE number 1978950
Cited In (19)
- A simulation environment for discontinuous portfolio value processes
- Scenario-based risk management tools
- Discrete approximations of continuous probability distributions obtained by minimizing Cramér-von Mises-type distances
- Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis.
- Introduction to the Scenario Approach
- Multi-curve HJM modelling for risk management
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
- A dimension reduction Shannon-wavelet based method for option pricing
- A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
- A calibrated scenario generation model for heavy-tailed risk factors
- Uncertainty in functional principal component analysis
- The simulation of option prices with application to LIFFE options on futures
- Modality for scenario analysis and maximum likelihood allocation
- Risk factor aggregation and stress testing
- Representative Interest Rate Scenarios
- Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
- A parsimonious model for generating arbitrage-free scenario trees
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
- CORRELATION ANALYSIS IN THE LIBOR AND SWAP MARKET MODEL
This page was built for publication: Scenario simulation: Theory and methodology
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1367945)
