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On gamma estimation via matrix kriging
Yun, Xin1; Hong, L. Jeff1,2; Jiang, Guangxin3; Wang, Shouyang4
AbstractIn 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.
Keywordfinancial risk management gradient estimation Greeks stochastic kriging
Funding ProjectNational 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 Research AreaOperations Research & Management Science
WOS SubjectOperations Research & Management Science
WOS IDWOS:000473559800002
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Document Type期刊论文
Corresponding AuthorJiang, Guangxin
Affiliation1.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
Recommended Citation
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.
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