A moment-matching method to generate arbitrage-free scenarios.
Alessandro StainoEmilio RussoPublished in: Eur. J. Oper. Res. (2015)
Keyphrases
- matching algorithm
- detection method
- similarity measure
- high precision
- high accuracy
- generation method
- template matching
- synthetic data
- experimental evaluation
- dynamic programming
- computational cost
- matching process
- matching strategy
- prior knowledge
- preprocessing
- image matching
- objective function
- map matching
- shape matching
- input data
- input image
- support vector machine
- cost function
- pairwise