No-arbitrage ROM simulation

DOI10.1016/j.jedc.2014.05.017zbMath1402.91891OpenAlexW3124077537MaRDI QIDQ1994590

Michael Hanke, Alois Geyer, Alex Weissensteiner

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& 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)

Related Items (4)

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

Cites Work

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

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