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Counterparty Risk Valuation: A Marked Branching Diffusion Approach
8 references·3 citing·36 second hop
Counterparty Risk Valuation: A Marked Branching Diffusion Approach (2012)Counterparty Risk Valuation: A Marked Bra…Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (2012)Optimal Stochastic Control, S…A probabilistic numerical method for fully nonlinear parabolic PDEs (2011)A probabilistic numerical met…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Probabilistic numerical methods for partial differential equations: Elements of analysis (1996)Probabilistic numerical metho…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations (2020)Overcoming the curse of dimen…Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (2020)Overcoming the curse of dimen…Unbiased simulation of stochastic differential equations (2017)Unbiased simulation of stocha…Stochastic Differential Equations and Diffusion Processes (1983)Euler scheme and tempered distributions (2005)Stochastic Integration and Differential Equations (2005)An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion (2007)Stochastic differential equations and applications (2008)Weak approximation of stochastic partial differential equations: the nonlinear case (2010)The Pricing of Options and Corporate Liabilities (1973)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Backward Stochastic Differential Equations in Finance (1997)Optimal transportation under controlled stochastic dynamics (2013)A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization (2014)On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations (2019)Pricing American-style securities using simulation (1997)A stochastic mesh method for pricing high-dimensional American options (2004)Pricing American Options: A Duality Approach (2004)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Numerical methods for backward stochastic differential equations: A survey (2023)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)On nonlinear Feynman–Kac formulas for viscosity solutions of semilinear parabolic partial differential equations (2021)Optimal Learning Before Choice (2016)Mean field and n‐agent games for optimal investment under relative performance criteria (2019)Solving high-dimensional Hamilton–Jacobi–Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (2021)
this work references cited by second hop

References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2012Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE254 cited
  • 2011A probabilistic numerical method for fully nonlinear parabolic PDEs167 cited
  • 1996Probabilistic numerical methods for partial differential equations: Elements of analysis70 cited

Cited by

  • 2020Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks52 cited
  • 2020Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations50 cited
  • 2017Unbiased simulation of stochastic differential equations30 cited

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