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Model order reduction for parametric high dimensional models in the analysis of financial risk

Binder, Andreas; Jadhav, Onkar; Mehrmann, Volker

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@misc{binder_andreas_2020_3921985,
  author       = {Binder, Andreas and
                  Jadhav, Onkar and
                  Mehrmann, Volker},
  title        = {{Model order reduction for parametric high 
                   dimensional models in the analysis of financial
                   risk}},
  month        = feb,
  year         = 2020,
  publisher    = {Zenodo},
  version      = {v1},
  doi          = {10.5281/zenodo.3921985},
  url          = {https://doi.org/10.5281/zenodo.3921985}
}
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Publication date:
February 27, 2020
DOI:
10.5281/zenodo.3921985

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10.5281/zenodo.3921985

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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

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Version v1 10.5281/zenodo.3921985 Feb 27, 2020
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