Model order reduction for the simulation of parametric interest rate models in financial risk analysis
Abstract This paper presents a model order reduction approach for large scale high dimensional parametric models arising in the analysis of financial risk. To understand the risks associated with a financial product, one has to perform several thousand computationally demanding simulations of the mo...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2021-06-01
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| Series: | Journal of Mathematics in Industry |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s13362-021-00105-8 |