KMS Of Academy of mathematics and systems sciences, CAS
| On gamma estimation via matrix kriging | |
Yun, Xin1; Hong, L. Jeff1,2; Jiang, Guangxin3; Wang, Shouyang4
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| 2019-08-01 | |
| Source Publication | NAVAL RESEARCH LOGISTICS
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| ISSN | 0894-069X |
| Volume | 66Issue:5Pages:393-410 |
| Abstract | 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. |
| Keyword | financial risk management gradient estimation Greeks stochastic kriging |
| DOI | 10.1002/nav.21850 |
| Language | 英语 |
| Funding Project | 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 Research Area | Operations Research & Management Science |
| WOS Subject | Operations Research & Management Science |
| WOS ID | WOS:000473559800002 |
| Publisher | WILEY |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/35140 |
| Collection | 系统科学研究所 |
| Corresponding Author | Jiang, Guangxin |
| Affiliation | 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 |
| 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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