Add to ORKGWe introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algorithm by solving some financial problems numerically
25 pagesWe present a parallel algorithm for solving backward stochastic differential equations (BSDE...
This thesis starts by discussing the foundations of mathematical finance and some theoretical result...
We develop a Fourier method to solve quite general backward stochastic differential equa-tions (BSDE...
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algo...
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algo...
AbstractWe introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ou...
We introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ours avoid...
We introduce a forward scheme to simulate backward SDEs. Compared to existing schemes, we avoid high...
We introduce a forward scheme to simulate backward SDEs and analyze the error of the scheme. Finally...
The main aims of this research are to study various numerical schemes in the approximation of the oc...
This paper gives a review of numerical methods for solving the BSDEs, especially, finite difference ...
This paper proposes a new closed-form approximation scheme for the forward-backward stochastic diffe...
Many option pricing and portfolio selection problems in mathematical finance can be reformulated in ...
We develop a Fourier method to solve backward stochastic differential equations (BSDEs). A general t...
We develop a Fourier method to solve backward stochastic differential equations (BSDEs). A general t...
25 pagesWe present a parallel algorithm for solving backward stochastic differential equations (BSDE...
This thesis starts by discussing the foundations of mathematical finance and some theoretical result...
We develop a Fourier method to solve quite general backward stochastic differential equa-tions (BSDE...
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algo...
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algo...
AbstractWe introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ou...
We introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ours avoid...
We introduce a forward scheme to simulate backward SDEs. Compared to existing schemes, we avoid high...
We introduce a forward scheme to simulate backward SDEs and analyze the error of the scheme. Finally...
The main aims of this research are to study various numerical schemes in the approximation of the oc...
This paper gives a review of numerical methods for solving the BSDEs, especially, finite difference ...
This paper proposes a new closed-form approximation scheme for the forward-backward stochastic diffe...
Many option pricing and portfolio selection problems in mathematical finance can be reformulated in ...
We develop a Fourier method to solve backward stochastic differential equations (BSDEs). A general t...
We develop a Fourier method to solve backward stochastic differential equations (BSDEs). A general t...
25 pagesWe present a parallel algorithm for solving backward stochastic differential equations (BSDE...
This thesis starts by discussing the foundations of mathematical finance and some theoretical result...
We develop a Fourier method to solve quite general backward stochastic differential equa-tions (BSDE...