Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
- Bergman, Yaacov Z, 1995. "Option Pricing with Differential Interest Rates," The Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 475-500.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Maximilien Germain & Huyên Pham & Xavier Warin, 2021. "Neural networks-based algorithms for stochastic control and PDEs in finance ," Post-Print hal-03115503, HAL.
- Maximilien Germain & Huy^en Pham & Xavier Warin, 2021. "Neural networks-based algorithms for stochastic control and PDEs in finance," Papers 2101.08068, arXiv.org, revised Apr 2021.
- Maximilien Germain & Huyên Pham & Xavier Warin, 2021. "Neural networks-based algorithms for stochastic control and PDEs in finance ," Working Papers hal-03115503, HAL.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
- Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021.
"A Fully Quantization-based Scheme for FBSDEs,"
Working Papers
07/2021, University of Verona, Department of Economics.
- Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021. "A Fully Quantization-based Scheme for FBSDEs," Papers 2105.09276, arXiv.org.
- Teng, Long, 2022. "Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 426(C).
- Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2019. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 391-408, September.
- Tianyang Nie & Marek Rutkowski, 2016. "A BSDE approach to fair bilateral pricing under endogenous collateralization," Finance and Stochastics, Springer, vol. 20(4), pages 855-900, October.
- Lorenc Kapllani & Long Teng, 2020. "Deep learning algorithms for solving high dimensional nonlinear backward stochastic differential equations," Papers 2010.01319, arXiv.org, revised Jun 2022.
- Tianyang Nie & Marek Rutkowski, 2014. "Fair bilateral prices in Bergman's model," Papers 1410.0673, arXiv.org, revised Dec 2014.
- Idris Kharroubi & Thomas Lim & Xavier Warin, 2020. "Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process," Working Papers hal-02468354, HAL.
- Kharroubi Idris & Lim Thomas & Warin Xavier, 2021. "Discretization and machine learning approximation of BSDEs with a constraint on the Gains-process," Monte Carlo Methods and Applications, De Gruyter, vol. 27(1), pages 27-55, March.
- Cody B. Hyndman & Polynice Oyono Ngou, 2017. "A Convolution Method for Numerical Solution of Backward Stochastic Differential Equations," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 1-29, March.
- Christian Bender & Christian Gaertner & Nikolaus Schweizer, 2016. "Pathwise Iteration for Backward SDEs," Papers 1605.07500, arXiv.org, revised Jun 2016.
- Tianyang Nie & Marek Rutkowski, 2014. "A BSDE approach to fair bilateral pricing under endogenous collateralization," Papers 1412.2453, arXiv.org.
- Jean-Paul Laurent & Philippe Amzelek & Joe Bonnaud, 2014. "An overview of the valuation of collateralized derivative contracts," Review of Derivatives Research, Springer, vol. 17(3), pages 261-286, October.
- Tianyang Nie & Marek Rutkowski, 2015. "Fair Bilateral Prices In Bergman’S Model With Exogenous Collateralization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-26, November.
- Pagès, Gilles & Sagna, Abass, 2018. "Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 847-883.
- Tomasz R. Bielecki & Igor Cialenco & Marek Rutkowski, 2017. "Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models," Papers 1701.08399, arXiv.org, revised Apr 2018.
- Bender, Christian & Denk, Robert, 2007. "A forward scheme for backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 117(12), pages 1793-1812, December.
- Tianyang Nie & Marek Rutkowski, 2014. "Fair and profitable bilateral prices under funding costs and collateralization," Papers 1410.0448, arXiv.org, revised Dec 2014.
- Junbeom Lee & Chao Zhou, 2017. "Binary Funding Impacts in Derivative Valuation," Papers 1703.00259, arXiv.org, revised Aug 2020.
- Bendera, Christian & Moseler, Thilo, 2008. "Importance sampling for backward SDEs," CoFE Discussion Papers 08/11, University of Konstanz, Center of Finance and Econometrics (CoFE).
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2020-02-24 (Big Data)
- NEP-CMP-2020-02-24 (Computational Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2002.02675. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.