Model order reduction for parametric high dimensional models in the analysis of financial risk
| dc.contributor.author | Binder, Andreas | |
| dc.contributor.author | Jadhav, Onkar | |
| dc.contributor.author | Mehrmann, Volker | |
| dc.date.accessioned | 2021-12-17T10:16:17Z | |
| dc.date.available | 2021-12-17T10:16:17Z | |
| dc.date.issued | 2020-02-27 | |
| dc.description.abstract | This paper presents a model order reduction (MOR) approach for high dimensional problems in the analysis of financial risk. To understand the financial risks and possible outcomes, we have to perform several thousand simulations of the underlying product. These simulations are expensive and create a need for efficient computational performance. Thus, to tackle this problem, we establish a MOR approach based on a proper orthogonal decomposition (POD) method. The study involves the computations of high dimensional parametric convection-diffusion reaction partial differential equations (PDEs). POD requires to solve the high dimensional model at some parameter values to generate a reduced-order basis. We propose an adaptive greedy sampling technique based on surrogate modeling for the selection of the sample parameter set that is analyzed, implemented, and tested on the industrial data. The results obtained for the numerical example of a floater with cap and floor under the Hull-White model indicate that the MOR approach works well for short-rate models. | en |
| dc.description.sponsorship | EC/H2020/765374/EU/Reduced Order Modelling, Simulation and Optimization of Coupled Systems/ROMSOC | en |
| dc.identifier.issn | 2197-8085 | |
| dc.identifier.uri | https://depositonce.tu-berlin.de/handle/11303/15926 | |
| dc.identifier.uri | http://dx.doi.org/10.14279/depositonce-14699 | |
| dc.language.iso | en | en |
| dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | en |
| dc.subject.ddc | 510 Mathematik | en |
| dc.subject.other | financial risk analysis | en |
| dc.subject.other | short-rate models | en |
| dc.subject.other | convection-diffusion reaction equation | en |
| dc.subject.other | finite difference method | en |
| dc.subject.other | parametric model order reduction | en |
| dc.subject.other | proper orthogonal decomposition | en |
| dc.subject.other | adaptive greedy sampling | en |
| dc.subject.other | packaged retail investment and insurance-based products | en |
| dc.subject.other | PRIIPs | en |
| dc.title | Model order reduction for parametric high dimensional models in the analysis of financial risk | en |
| dc.type | Research Paper | en |
| dc.type.version | submittedVersion | en |
| tub.accessrights.dnb | free | en |
| tub.affiliation | Fak. 2 Mathematik und Naturwissenschaften::Inst. Mathematik | de |
| tub.affiliation.faculty | Fak. 2 Mathematik und Naturwissenschaften | de |
| tub.affiliation.institute | Inst. Mathematik | de |
| tub.publisher.universityorinstitution | Technische Universität Berlin | en |
| tub.series.issuenumber | 2020, 03 | en |
| tub.series.name | Preprint-Reihe des Instituts für Mathematik, Technische Universität Berlin | en |
| tub.subject.msc2000 | 35L70 Nonlinear second-order PDE of hyperbolic type | en |
| tub.subject.msc2000 | 65M06 Finite difference methods | en |
| tub.subject.msc2000 | 62P05 Applications to actuarial sciences and financial mathematics | en |
| tub.subject.msc2000 | 91-08 Computational methods | en |
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