no code implementations • 30 Oct 2021 • Chenyu Zhao, Misha van Beek, Peter Spreij, Makhtar Ba
We introduce an approximation strategy for the discounted moments of a stochastic process that can, for a large class of problems, approximate the true moments.
no code implementations • 20 Apr 2020 • Misha van Beek
This paper introduces the Conditional Scenario Simulator, which is a framework for consistently calibrating simulations and projections of economic and financial variables both to historical data and forward-looking information.