A moment-matching method to generate arbitrage-free scenarios
• The monomial method is applied to build a scenario generator for financial assets. • The scenario generator belongs to the class of the moment-matching methods. • The marginal moments up to the fourth order and correlations are matched. • The generated scenarios satisfy the no-arbitrage condition....
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Staino, Alessandro [verfasserIn] |
|---|
| Format: |
E-Artikel |
|---|---|
| Sprache: |
Englisch |
| Erschienen: |
2015 |
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| Umfang: |
12 |
|---|
| Übergeordnetes Werk: |
Enthalten in: Valorization of fatty acid waste for bioplastics production using Bacillus tequilensis: Integration with dark-fermentative hydrogen production process - Venkateswar Reddy, M. ELSEVIER, 2014transfer abstract, EJOR, Amsterdam [u.a.] |
|---|---|
| Übergeordnetes Werk: |
volume:246 ; year:2015 ; number:2 ; day:16 ; month:10 ; pages:619-630 ; extent:12 |
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| DOI / URN: |
10.1016/j.ejor.2015.04.045 |
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| 520 | |a • The monomial method is applied to build a scenario generator for financial assets. • The scenario generator belongs to the class of the moment-matching methods. • The marginal moments up to the fourth order and correlations are matched. • The generated scenarios satisfy the no-arbitrage condition. • Accuracy and efficiency analysis is carried out when solving financial problems. | ||
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• The monomial method is applied to build a scenario generator for financial assets. • The scenario generator belongs to the class of the moment-matching methods. • The marginal moments up to the fourth order and correlations are matched. • The generated scenarios satisfy the no-arbitrage condition. • Accuracy and efficiency analysis is carried out when solving financial problems. |
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• The monomial method is applied to build a scenario generator for financial assets. • The scenario generator belongs to the class of the moment-matching methods. • The marginal moments up to the fourth order and correlations are matched. • The generated scenarios satisfy the no-arbitrage condition. • Accuracy and efficiency analysis is carried out when solving financial problems. |
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• The monomial method is applied to build a scenario generator for financial assets. • The scenario generator belongs to the class of the moment-matching methods. • The marginal moments up to the fourth order and correlations are matched. • The generated scenarios satisfy the no-arbitrage condition. • Accuracy and efficiency analysis is carried out when solving financial problems. |
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