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Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
Markov Processes Risk Analysis Stochastic Programming Scenarios
2010/10/29
This paper formed part of a preliminary research report for a risk consultancy and academic research. Stochastic Programming models provide a powerful paradigm for decision making under uncertainty. I...
A new approach for scenario generation in Risk management
risk management stochastic (partial) di erential equation calibration historical simulation time series jump processes
2010/10/29
We provide a new dynamic approach to scenario generation for the purposes of risk management in the banking industry. We connect ideas from conventional techniques { like historical and Monte Carlo si...
