No-Arbitrage ROM simulation
Year of publication: |
2014
|
---|---|
Authors: | Geyer, Alois ; Hanke, Michael ; Weissensteiner, Alex |
Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 45.2014, C, p. 66-79
|
Publisher: |
Elsevier |
Subject: | Financial scenario generation | ROM simulation | No-arbitrage bounds | Simplex | Rotation matrix |
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