Randomized Global Sensitivity Analysis and Model Robustness

DOI10.1007/978-3-030-43465-6_20OpenAlexW3021773341MaRDI QIDQ5117942FDOQ5117942

David R. Mandel, Giray Ökten

Publication date: 26 August 2020

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-43465-6_20

zbMATH Keywords

interest rate modelsmodel robustnessglobal sensitivity analysistemperature derivativesSobol' sensitivity indices

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

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• An equilibrium characterization of the term structure
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• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
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• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Interest rate models -- theory and practice
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• The volatility of temperature and pricing of weather derivatives
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• Dynamical pricing of weather derivatives
• Uncertainty and Robustness in Weather Derivative Models
• Quantitative assessment of securitisation deals. Foreword by Anneli Peshkoff and Guido Bichisao
• Randomized Sobol' sensitivity indices
• Efficient Computation of Sobol' Indices for Stochastic Models

Cited In (3)

• Global sensitivity analysis for multivariate outputs using polynomial chaos-based surrogate models
• Global sensitivity of structural variability by random sampling
• A parallel computational model for sensitivity analysis in optimization for robustness

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