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Analytical Approximation for Non-Linear FBSDEs with Perturbation Scheme
13 references·1 citing·38 second hop
Analytical Approximation for Non-Linear FBSDEs with Perturbation Scheme (2011)Analytical Approximation for Non-Linear F…A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD (2011)A GENERAL COMPUTATION SCHEME …Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA (2010)Derivative Pricing under Asym…Forward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)A regression-based Monte Carl…An Asymptotic Expansion Scheme for Optimal Investment Problems (2004)An Asymptotic Expansion Schem…On validity of the asymptotic expansion approach in contingent claim analysis (2003)On validity of the asymptotic…Stochastic Controls (1999)Stochastic ControlsAn Asymptotic Expansion Approach to Pricing Financial Contingent Claims (1999)An Asymptotic Expansion Appro…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualitySolving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Solving forward-backward stoc…Stochastic Differential Utility (1992)Stochastic Differential Utili…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Asymptotic expansion for forward-backward SDEs with jumps (2018)Asymptotic expansion for forw…Stochastic Differential Equations and Diffusion Processes (1983)Applications of the Malliavin calculus. II (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims (2001)An Asymptotic Expansion with Push-Down of Malliavin Weights (2012)Dynamic Asset Pricing Theory. (1993)Short-time at-the-money skew and rough fractional volatility (2016)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Robust Control and Model Uncertainty (2001)Strategic Asset Allocation (2002)Brownian Motion and Stochastic Calculus (2007)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)A forward scheme for backward SDEs (2007)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Controlled Diffusion Processes (1980)Stochastic Integration and Differential Equations (1990)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Brownian Motion and Stochastic Calculus. (1989)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Stochastic Integration and Differential Equations : A New Approach (2014)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Systemic Risk in Financial Systems (2001)Stochastic Integration and Differential Equations (2005)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Probabilistic Analysis of Mean-Field Games (2013)Stochastic Differential Equations (2014)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1999Stochastic Controls2,643 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme742 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications692 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
  • 1999An Asymptotic Expansion Approach to Pricing Financial Contingent Claims141 cited
  • 2003On validity of the asymptotic expansion approach in contingent claim analysis119 cited
  • 2004An Asymptotic Expansion Scheme for Optimal Investment Problems71 cited
  • 2011A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD41 cited
  • 2010Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA28 cited

Cited by

  • 2018Asymptotic expansion for forward-backward SDEs with jumps15 cited

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