Preprint Open Access
Model order reduction for parametric high dimensional models in the analysis of financial risk
Binder, Andreas; Jadhav, Onkar; Mehrmann, Volker
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| All versions | This version | |
|---|---|---|
| Views | 90 | 90 |
| Downloads | 39 | 39 |
| Data volume | 34.7 MB | 34.7 MB |
| Unique views | 89 | 89 |
| Unique downloads | 38 | 38 |
Indexed in
- Publication date:
- February 27, 2020
- DOI:
-
- Keyword(s):
- Financial risk analysis, short-rate models, convection-diffusion reaction equation, finite differencemethod, parametric model order reduction, proper orthogonal decomposition, adaptive greedy sampling, Packaged retail investment and insurance-based products (PRIIPs).
- Grants:
-
European Commission:
- ROMSOC - Reduced Order Modelling, Simulation and Optimization of Coupled systems (765374)
- Communities:
- License (for files):
- Creative Commons Attribution 4.0 International