Path-dependent scenario trees for multistage stochastic programmes in finance

DOI10.1080/14697688.2010.518154MaRDI QIDQ2873550zbMATH OpenOpenAlexFDO

Authors Giorgio Consigli, Gaetano Iaquinta, V. Moriggia

Publication date 24 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2010.518154

zbMATH Keywords

financial applicationsinterest credit riskMonte Carlo methodsscenario generationstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A theory of the term structure of interest rates
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• Epi-convergent discretizations of stochastic programs via integration quadratures
• EVPI-based importance sampling solution procedures for multistage stochastic linear programmes on parallel MIMD architectures
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Generating scenario trees for multistage decision problems
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Scenario generation and stochastic programming models for asset liability management
• Scenario generation for stochastic programming and simulation: a modelling perspective
• Scenario reduction algorithms in stochastic programming
• Scenario reduction in stochastic programming
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Cited in

(11)

• Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
• Volatility versus downside risk: performance protection in dynamic portfolio strategies
• Hedging market and credit risk in corporate bond portfolios
• Dynamic portfolio management for property and casualty insurance
• Scenario Tree Generation for Multi-stage Stochastic Programs
• Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
• COMPACT REPRESENTATIONS OF MULTI-PERIOD STOCHASTIC PROGRAM USING SIMULATED PATH MODEL(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• A parsimonious model for generating arbitrage-free scenario trees
• Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
• A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization

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