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

DOI10.1051/proc/201965001zbMath1455.65013OpenAlexW2789982682MaRDI QIDQ4967860

F. Noubiagain, Stefano De Marco, José G. López-Salas, Emmanuel Gobet, Ankush Agarwal, Alexandre Zhou

Publication date: 11 July 2019

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc/201965001

zbMATH Keywords

nonlinear pricingweak non-linearityanticipative BSDECVaR initial margins

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Numerical methods for backward stochastic differential equations: a survey ⋮ When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ A Unified Approach to xVA with CSA Discounting and Initial Margin ⋮ Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations

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