On gamma estimation via matrix kriging

doi:10.1002/nav.21850

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	On gamma estimation via matrix kriging
	Yun, Xin 1; Hong, L. Jeff 1,2; Jiang, Guangxin 3; Wang, Shouyang4
	2019-08-01
发表期刊	NAVAL RESEARCH LOGISTICS
ISSN	0894-069X
卷号	66 期号:5 页码:393-410
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.
关键词	financial risk management gradient estimation Greeks stochastic kriging
DOI	10.1002/nav.21850
语种	英语
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
WOS类目	Operations Research & Management Science
WOS记录号	WOS:000473559800002
出版者	WILEY
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/35140
专题	系统科学研究所
通讯作者	Jiang, Guangxin
作者单位	1.Fudan Univ, Sch Data Sci, Shanghai, Peoples R China 2.Fudan Univ, Sch Management, Shanghai, Peoples R China 3.Shanghai 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.