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
Autor*in: |
Staino, Alessandro [verfasserIn] |
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Format: |
E-Artikel |
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Sprache: |
Englisch |
Erschienen: |
2015 |
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Umfang: |
12 |
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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.] |
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Übergeordnetes Werk: |
volume:246 ; year:2015 ; number:2 ; day:16 ; month:10 ; pages:619-630 ; extent:12 |
Links: |
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DOI / URN: |
10.1016/j.ejor.2015.04.045 |
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Katalog-ID: |
ELV023637412 |
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10.1016/j.ejor.2015.04.045 doi GBVA2015012000019.pica (DE-627)ELV023637412 (ELSEVIER)S0377-2217(15)00365-3 DE-627 ger DE-627 rakwb eng 650 650 DE-600 660 VZ 620 VZ 610 VZ 44.94 bkl Staino, Alessandro verfasserin aut A moment-matching method to generate arbitrage-free scenarios 2015 12 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier • 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. Russo, Emilio oth Enthalten in Elsevier Venkateswar Reddy, M. ELSEVIER Valorization of fatty acid waste for bioplastics production using Bacillus tequilensis: Integration with dark-fermentative hydrogen production process 2014transfer abstract EJOR Amsterdam [u.a.] (DE-627)ELV012327697 volume:246 year:2015 number:2 day:16 month:10 pages:619-630 extent:12 https://doi.org/10.1016/j.ejor.2015.04.045 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA GBV_ILN_22 GBV_ILN_40 GBV_ILN_105 44.94 Hals-Nasen-Ohrenheilkunde VZ AR 246 2015 2 16 1016 619-630 12 045F 650 |
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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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