Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (Q4967860): Difference between revisions

Latest revision as of 20:32, 19 July 2024

scientific article; zbMATH DE number 7079329

Language	Label	Description	Also known as
English	Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements	scientific article; zbMATH DE number 7079329

Statements

instance of

scholarly article

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title

Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (English)

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ESAIM: Proceedings and Surveys

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publication date

11 July 2019

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zbMATH Keywords

nonlinear pricing

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CVaR initial margins

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anticipative BSDE

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weak non-linearity

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1051/proc/201965001

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cites work

Coherent Measures of Risk

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Computational Methods for Option Pricing

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Estimating Security Price Derivatives Using Simulation

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Q5169724

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BSE's, BSDE's and fixed-point problems

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On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures

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Backward stochastic differential equations with time delayed generators -- results and counterexamples

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Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance

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Backward Stochastic Differential Equations in Finance

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Multilevel Nested Simulation for Efficient Risk Estimation

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Variance Reduction Techniques for Estimating Value-at-Risk

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Nested Simulation in Portfolio Risk Measurement

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Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs

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Analytical Approximations of BSDEs with Nonsmooth Driver

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Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

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A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS

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Martingale methods in financial modelling.

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A BSDE approach to fair bilateral pricing under endogenous collateralization

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The Malliavin Calculus and Related Topics

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Adapted solution of a backward stochastic differential equation

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Q4029028

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Stochastic differential equations, backward SDEs, partial differential equations

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Anticipated backward stochastic differential equations

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Q5678346

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A numerical scheme for BSDEs

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Identifiers

zbMATH Open document ID

1455.65013

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DOI

10.1051/proc/201965001

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4967860

@@ Property / full work available at URL @@
+https://doi.org/10.1051/proc/201965001
+Normal rank
@@ Property / OpenAlex ID @@
+W2789982682
@@ Property / OpenAlex ID: W2789982682 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating Security Price Derivatives Using Simulation
+Normal rank
@@ Property / cites work @@
+Q5169724
@@ Property / cites work: Q5169724 / rank @@
+Normal rank
@@ Property / cites work @@
+BSE's, BSDE's and fixed-point problems
@@ Property / cites work: BSE's, BSDE's and fixed-point problems / rank @@
+Normal rank
@@ Property / cites work @@
+On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with time delayed generators -- results and counterexamples
+Normal rank
@@ Property / cites work @@
+Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Multilevel Nested Simulation for Efficient Risk Estimation
+Normal rank
@@ Property / cites work @@
+Variance Reduction Techniques for Estimating Value-at-Risk
+Normal rank
@@ Property / cites work @@
+Nested Simulation in Portfolio Risk Measurement
@@ Property / cites work: Nested Simulation in Portfolio Risk Measurement / rank @@
+Normal rank
@@ Property / cites work @@
+Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs
+Normal rank
@@ Property / cites work @@
+Analytical Approximations of BSDEs with Nonsmooth Driver
+Normal rank
@@ Property / cites work @@
+Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
+Normal rank
@@ Property / cites work @@
+A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
+Normal rank
@@ Property / cites work @@
+Martingale methods in financial modelling.
@@ Property / cites work: Martingale methods in financial modelling. / rank @@
+Normal rank
@@ Property / cites work @@
+A BSDE approach to fair bilateral pricing under endogenous collateralization
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations, backward SDEs, partial differential equations
+Normal rank
@@ Property / cites work @@
+Anticipated backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q5678346
@@ Property / cites work: Q5678346 / rank @@
+Normal rank
@@ Property / cites work @@
+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
+Normal rank