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  • Search: subject:"Exact Moments Simulation"
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Exact Moments Simulation 1 Higher-order Moments 1 Monte Carlo Simulation 1 Stress-testing 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Arismendi, Juan C. 1
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Henley Business School, University of Reading 1
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ICMA Centre Discussion Papers in Finance 1
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Monte Carlo Approximate Tensor Moment Simulations
Arismendi, Juan C. - Henley Business School, University of Reading - 2014
An algorithm to generate samples with approximate first-, second-, and third-order moments is presented extending the Cholesky matrix decomposition to a Cholesky tensor decomposition of an arbitrary order. The tensor decomposition of the first-, second-, and third-order objective moments...
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