Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing
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Publication:5241903
DOI10.1080/1350486X.2019.1637268zbMath1426.91273OpenAlexW2962886462WikidataQ127456049 ScholiaQ127456049MaRDI QIDQ5241903
Yuji Shinozaki, Syoiti Ninomiya
Publication date: 4 November 2019
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2019.1637268
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Monte Carlo construction of cubature on Wiener space ⋮ Cubature Method for Stochastic Volterra Integral Equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
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