No-arbitrage ROM simulation
type: Item
instance of: scholarly article
title: No-arbitrage ROM simulation
zbMATH Open document ID: 1402.91891
author: Alois Geyer
author: Michael Hanke
author: Alex Weissensteiner
publication date: 2018-11-01T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6970537
zbMATH Keywords: financial scenario generation
zbMATH Keywords: ROM simulation
zbMATH Keywords: no-arbitrage bounds
zbMATH Keywords: simplex
zbMATH Keywords: rotation matrix
MaRDI profile type: Publication
full work available at URL: j.jedc.2014.05.017
OpenAlex ID: W3124077537
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DOI: 10.1016/J.JEDC.2014.05.017
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6970537