【摘 要】
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We wil discuss sensitivity and robustness of a mathematical model,in particular,models used in financial mathematics.In the literature,different models are
【机 构】
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Florida State Univ.
论文部分内容阅读
We wil discuss sensitivity and robustness of a mathematical model,in particular,models used in financial mathematics.In the literature,different models are usually compared by the model error,however,the sensitivity of a given model with respect to its input parameters is also very important for a modeler.Using Sobol' sensitivity indices,we will introduce a notion for robustness,and compare different models with respect to their robustness.
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