DISCRETIZATION PROCESSING OF FINANCIAL RISK MANAGEMENT USING STOCHASTIC DIFFERENTIAL EQUATION SIMULATION METHOD (Q5070768): Difference between revisions

Latest revision as of 09:31, 30 July 2024

scientific article; zbMATH DE number 7507553

Language	Label	Description	Also known as
English	DISCRETIZATION PROCESSING OF FINANCIAL RISK MANAGEMENT USING STOCHASTIC DIFFERENTIAL EQUATION SIMULATION METHOD	scientific article; zbMATH DE number 7507553

Statements

instance of

scholarly article

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title

DISCRETIZATION PROCESSING OF FINANCIAL RISK MANAGEMENT USING STOCHASTIC DIFFERENTIAL EQUATION SIMULATION METHOD (English)

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14 April 2022

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zbMATH Keywords

forward-backward stochastic differential equation

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numerical simulation

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option pricing

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financial risk management

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describes a project that uses

Matlab

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BENCHOP

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MaRDI profile type

MaRDI publication profile

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cites work

Assessing financial model risk

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Multiplier method and exact solutions for a density dependent reaction-diffusion equation

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Golden options in financial mathematics

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Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

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Q4569446

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Smooth approximation of stochastic differential equations

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Mean-field stochastic differential equations and associated PDEs

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A stochastic differential equation SIS epidemic model incorporating Ornstein-Uhlenbeck process

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BENCHOP – The BENCHmarking project in option pricing

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Q3121076

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AN USER INTENTION MINING MODEL BASED ON FRACTAL TIME SERIES PATTERN

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Option pricing with conditional GARCH models

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Option pricing with orthogonal polynomial expansions

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General closed-form basket option pricing bounds

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Deterministic chaos in pendulum systems with delay

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full work available at URL

https://doi.org/10.1142/s0218348x22400692

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Identifiers

zbMATH Open document ID

1486.91082

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DOI

10.1142/S0218348X22400692

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5070768

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@@ Property / cites work @@
+Assessing financial model risk
@@ Property / cites work: Assessing financial model risk / rank @@
+Normal rank
@@ Property / cites work @@
+Multiplier method and exact solutions for a density dependent reaction-diffusion equation
+Normal rank
@@ Property / cites work @@
+Golden options in financial mathematics
@@ Property / cites work: Golden options in financial mathematics / rank @@
+Normal rank
@@ Property / cites work @@
+Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
+Normal rank
@@ Property / cites work @@
+Q4569446
@@ Property / cites work: Q4569446 / rank @@
+Normal rank
@@ Property / cites work @@
+Smooth approximation of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Mean-field stochastic differential equations and associated PDEs
+Normal rank
@@ Property / cites work @@
+A stochastic differential equation SIS epidemic model incorporating Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+BENCHOP – The BENCHmarking project in option pricing
+Normal rank
@@ Property / cites work @@
+Q3121076
@@ Property / cites work: Q3121076 / rank @@
+Normal rank
@@ Property / cites work @@
+AN USER INTENTION MINING MODEL BASED ON FRACTAL TIME SERIES PATTERN
+Normal rank
@@ Property / cites work @@
+Option pricing with conditional GARCH models
@@ Property / cites work: Option pricing with conditional GARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing with orthogonal polynomial expansions
+Normal rank
@@ Property / cites work @@
+General closed-form basket option pricing bounds
@@ Property / cites work: General closed-form basket option pricing bounds / rank @@
+Normal rank
@@ Property / cites work @@
+Deterministic chaos in pendulum systems with delay
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0218348x22400692
+Normal rank
@@ Property / OpenAlex ID @@
+W3201800323
@@ Property / OpenAlex ID: W3201800323 / rank @@
+Normal rank