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On gamma estimation via matrix kriging

文献类型：期刊论文

作者Yun, Xin2; Hong, L. Jeff2,3; Jiang, Guangxin1; Wang, Shouyang4
刊名NAVAL RESEARCH LOGISTICS
出版日期2019-08-01
卷号66期号:5页码:393-410
关键词financial risk management gradient estimation Greeks stochastic kriging
ISSN号0894-069X
DOI10.1002/nav.21850
英文摘要In financial engineering, sensitivities of derivative prices (also known as the Greeks) are important quantities in risk management, and stochastic gradient estimation methods are used to estimate them given the market parameters. In practice, the surface (function) of the Greeks with respect to the underlying parameters is much more desired, because it can be used in real-time risk management. In this paper, we consider derivatives with multiple underlying assets, and propose three stochastic kriging-based methods, the element-by-element, the importance mapping, and the Cholesky decomposition, to fit the surface of the gamma matrix that can fulfill the time constraint and the precision requirement in real-time risk management. Numerical experiments are provided to illustrate the effectiveness of the proposed methods.
资助项目National Natural Science Foundation of China[71801148] ; Research Grants Council, University Grants Committee[11504017] ; Research Grants Council, University Grants Committee[16203214] ; Shanghai Municipal Education Commission[N.60-D129-18-202]
WOS研究方向Operations Research & Management Science
语种英语
WOS记录号WOS:000473559800002
出版者WILEY
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/35139]  
专题系统科学研究所
通讯作者Jiang, Guangxin
作者单位1.Shanghai Univ, Sch Management, Shanghai, Peoples R China
2.Fudan Univ, Sch Data Sci, Shanghai, Peoples R China
3.Fudan Univ, Sch Management, Shanghai, Peoples R China
4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式
GB/T 7714		 Yun, Xin,Hong, L. Jeff,Jiang, Guangxin,et al. On gamma estimation via matrix kriging[J]. NAVAL RESEARCH LOGISTICS,2019,66(5):393-410.
APA Yun, Xin,Hong, L. Jeff,Jiang, Guangxin,&Wang, Shouyang.(2019).On gamma estimation via matrix kriging.NAVAL RESEARCH LOGISTICS,66(5),393-410.
MLA Yun, Xin,et al."On gamma estimation via matrix kriging".NAVAL RESEARCH LOGISTICS 66.5(2019):393-410.

入库方式： OAI收割

来源：数学与系统科学研究院

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