A theory of scenario generation

Paul Schneider (Università della Svizzera italiana and Swiss Finance Institute)

We show how distributions can be reduced to low-dimensional scenario trees. Applied to intertemporal distributions, the scenarios and their probabilities become time-varying factors. From S&P 500 options, two or three time-varying scenarios suffice to forecast returns, implied variance or skewness on par, or better, than extant multivariate stochastic volatility jump-diffusion models, while reducing the computational effort to fractions of a second.

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Year of publication:	March 22, 2019
Authors:	Schneider, Paul
Publisher:	Geneva : Swiss Finance Institute
Subject:	Szenariotechnik \| Scenario analysis \| Theorie \| Theory \| Generationengerechtigkeit \| Intergenerational equity

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Extent:	1 Online-Ressource (circa 36 Seiten) Illustrationen
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 19, 17 Swiss Finance Institute Research Paper ; No. 19-17
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3358388 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing ; g02 ; G17 - Financial Forecasting ; C02 - Mathematical Methods ; C14 - Semiparametric and Nonparametric Methods ; c46 ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012003165