Error analysis of a model order reduction framework for financial risk analysis
DOI10.1553/etna_vol55s469zbMath1492.35355arXiv2110.00774OpenAlexW3203315529MaRDI QIDQ2153946
Andreas Binder, Onkar Jadhav, Volker Mehrmann
Publication date: 13 July 2022
Published in: ETNA. Electronic Transactions on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.00774
finite element methodproper orthogonal decompositionerror analysisconvection-diffusion-reaction equationparametric model order reductionadaptive greedy samplingfinancial risk analysispackaged retail investment and insurance-based productsshort-rate models
Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Second-order hyperbolic equations (35L10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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