No-arbitrage ROM simulation

DOI10.1016/J.JEDC.2014.05.017MaRDI QIDQ1994590zbMATH OpenOpenAlexFDO

Authors Alois Geyer, Michael Hanke, Alex Weissensteiner

Publication date 1 November 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2014.05.017

zbMATH Keywords

simplexrotation matrixROM simulationfinancial scenario generationno-arbitrage bounds

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cites work

• A simplex contained in a sphere
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Further properties of random orthogonal matrix simulation
• Geometry of Conics
• LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications
• Lectures on Stochastic Programming
• Martingales and stochastic integrals in the theory of continuous trading
• No-arbitrage bounds for financial scenarios
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Random orthogonal matrix simulation
• Stochastic linear programming. Models, theory, and computation.

Cited in

(4)

• Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness
• A parsimonious model for generating arbitrage-free scenario trees
• Targeting Kollo skewness with random orthogonal matrix simulation
• Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization

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