Financial problems are often based on a rigorous mathematical structure and are strongly dependent on the imprecision of the input data. In this paper we show how it is possible to model the uncertainty by assuming that the fundamental parameters are fuzzy numbers. The massive computation effort involved in computations, can be successfully handled due to a flexible and precise parametric representation of the lower and upper branches of the membership functions of the fuzzy numbers.

M.L.Guerra, L.Sorini (2012). Incorporating uncertainty in financial models. APPLIED MATHEMATICAL SCIENCES, 6, 3785-3799.

Incorporating uncertainty in financial models

GUERRA, MARIA LETIZIA;
2012

Abstract

Financial problems are often based on a rigorous mathematical structure and are strongly dependent on the imprecision of the input data. In this paper we show how it is possible to model the uncertainty by assuming that the fundamental parameters are fuzzy numbers. The massive computation effort involved in computations, can be successfully handled due to a flexible and precise parametric representation of the lower and upper branches of the membership functions of the fuzzy numbers.
2012
M.L.Guerra, L.Sorini (2012). Incorporating uncertainty in financial models. APPLIED MATHEMATICAL SCIENCES, 6, 3785-3799.
M.L.Guerra; L.Sorini
File in questo prodotto:
Eventuali allegati, non sono esposti

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/117242
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 5
  • ???jsp.display-item.citation.isi??? ND
social impact