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No-arbitrage ROM simulation - MaRDI portal

No-arbitrage ROM simulation (Q1994590)

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scientific article; zbMATH DE number 6970537
Language Label Description Also known as
English
No-arbitrage ROM simulation
scientific article; zbMATH DE number 6970537

    Statements

    title
    No-arbitrage ROM simulation (English)
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    author
    Alois Geyer
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    Michael Hanke
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    Alex Weissensteiner
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    publication date
    1 November 2018
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    zbMATH Keywords
    financial scenario generation
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    ROM simulation
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    no-arbitrage bounds
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    simplex
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    rotation matrix
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    Identifiers

    zbMATH DE Number
    6970537
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    OpenAlex ID
    W3124077537
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