Financial modeling. A backward stochastic differential equations perspective

DOI10.1007/978-3-642-37113-4zbMath1271.91004OpenAlexW4252591871MaRDI QIDQ1945553

Stéphane Crépey

Publication date: 8 April 2013

Published in: Springer Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-37113-4

zbMATH Keywords

numerical methodsBSDEsfinancial modelingcomputational aspectspricing and hedging

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (21)

INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA ⋮ Counterparty risk and funding: immersion and beyond ⋮ Analytical Approximations of BSDEs with Nonsmooth Driver ⋮ Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations ⋮ Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model ⋮ Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations ⋮ Enhanced group analysis of a semi linear generalization of a general bond-pricing equation ⋮ Backward stochastic differential equations approach to hedging, option pricing, and insurance problems ⋮ Linear backward stochastic differential equations with Gaussian Volterra processes ⋮ Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations ⋮ A Lévy HJM multiple-curve model with application to CVA computation ⋮ XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS ⋮ Optimal stopping of marked point processes and reflected backward stochastic differential equations ⋮ Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle ⋮ Pathwise Dynamic Programming ⋮ Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model ⋮ Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations ⋮ A polynomial scheme of asymptotic expansion for backward SDEs and option pricing ⋮ Rational multi-curve models with counterparty-risk valuation adjustments ⋮ A fully quantization-based scheme for FBSDEs

Uses Software

• Matlab

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