Scenario generation for multistage models
نویسنده
چکیده
∃ many models suitable for exploitation of financial time series and stochastic models with continuous time ∃ various specific problems, e.g. – various levels of information on various sources of uncertainty – demographic data, economic factors – correlations of stock market and bond returns – problem specific additional random factors (prepayment rates, defaults ...) – difficulties to model illiquid assets prices, derivatives, ...
منابع مشابه
Term Structure Models in Multistage Stochastic Programming: Estimation and Approximation
This paper investigates some common interest rate models for scenario generation in financial applications of stochastic optimization. We discuss conditions for the underlying distributions of state variables which preserve convexity of value functions in a multistage stochastic program. Oneand multi-factor term structure models are estimated based on historical data for the Swiss Franc. An ana...
متن کاملWhat Multistage Stochastic Programming Can Do for Network Revenue Management
Airlines must dynamically choose how to allocate their flight capacity to incoming travel demand. Because some passengers take connecting flights, the decisions for all network flights must be made simultaneously. To simplify the decision making process, most practitioners assume demand is deterministic and equal to average demand. We propose a multistage stochastic programming approach that mo...
متن کاملScenario Generation Employing Copulas
stochastic programs are effective for solving long-term planning problems under uncertainty. Such programs are usually based on scenario generation model about future environment developments. In the present paper, the scenario model is developed for the case when enough data paths can be generated, but due to solvability of stochastic program the scenario tree has to be constructed. The propos...
متن کاملScenario tree modeling for multistage stochastic programs
An important issue for solving multistage stochastic programs consists in the approximate representation of the (multivariate) stochastic input process in the form of a scenario tree. In this paper, we develop (stability) theory-based heuristics for generating scenario trees out of an initial set of scenarios. They are based on forward or backward algorithms for tree generation consisting of re...
متن کاملMultistage K-Means Clustering for Scenario Tree Construction
In stochastic programming and decision analysis, an important issue consists in the approximate representation of the multidimensional stochastic underlying process in the form of scenario tree. This paper presents the approach to generate the multistage multidimensional scenario tree out of a set of scenario fans. For this purpose, the multistage K-means clustering algorithm is developed. The ...
متن کامل