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  • Search: subject:"Financial scenario generation"
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Year of publication
Subject
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Financial scenario generation 2 No-arbitrage bounds 2 ROM simulation 2 Rotation matrix 2 Simplex 2 Arbitrage 1 Simulation 1 Theorie 1 Theory 1
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Undetermined 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Geyer, Alois 2 Hanke, Michael 2 Weissensteiner, Alex 2
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Journal of Economic Dynamics and Control 1 Journal of economic dynamics & control 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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No-Arbitrage ROM simulation
Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 66-79
Ledermann et al. (2011) propose random orthogonal matrix (ROM) simulation for generating multivariate samples matching means and covariances exactly. Its computational efficiency compared to standard Monte Carlo methods makes it an interesting alternative. In this paper we enhance this method׳s...
Persistent link: https://www.econbiz.de/10011051879
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Cover Image
No-Arbitrage ROM simulation
Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Journal of economic dynamics & control 45 (2014), pp. 66-79
Persistent link: https://www.econbiz.de/10010474462
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