A parsimonious model for generating arbitrage-free scenario trees

DOI10.1080/14697688.2015.1114359zbMath1468.91165OpenAlexW2261184209MaRDI QIDQ5001123

Angelo Carollo, Andrea Consiglio, Stavros A. Zenios

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1114359

zbMATH Keywords

global optimizationstochastic programmingscenario treespricing in incomplete marketsconvex lower bounding

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (15)

A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems ⋮ Multi-stage portfolio selection problem with dynamic stochastic dominance constraints ⋮ Lifetime consumption and investment with housing, deferred annuities and home equity release ⋮ Pricing and hedging GDP-linked bonds in incomplete markets ⋮ Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling ⋮ A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry ⋮ Integrated dynamic models for hedging international portfolio risks ⋮ Geometry of quantum phase transitions ⋮ Designing and pricing guarantee options in defined contribution pension plans ⋮ Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization ⋮ Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk ⋮ Scenario generation in stochastic programming using principal component analysis based on moment-matching approach ⋮ Personalized goal-based investing via multi-stage stochastic goal programming ⋮ Risk Management for Sustainable Sovereign Debt Financing ⋮ New trends in nonequilibrium statistical mechanics: classical and quantum systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Generating Scenario Trees for Multistage Decision Problems
• Scenario tree generation approaches using K-means and LP moment matching methods
• A review of recent advances in global optimization
• Evaluation of insurance products with guarantee in incomplete markets
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Some transformation techniques with applications in global optimization
• Dynamic models for fixed-income portfolio management under uncertainty
• Scenario simulation: Theory and methodology
• Duality and martingales: a stochastic programming perspective on contingent claims
• A heuristic for moment-matching scenario generation
• Finding all solutions of nonlinearly constrained systems of equations
• No-arbitrage ROM simulation
• No-arbitrage bounds for financial scenarios
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• A new moment matching algorithm for sampling from partially specified symmetric distributions
• Convex relaxation for solving posynomial programs
• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• Path-dependent scenario trees for multistage stochastic programmes in finance
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Stochastic Network Programming for Financial Planning Problems
• Scenarios for multistage stochastic programs

This page was built for publication: A parsimonious model for generating arbitrage-free scenario trees