Pages that link to "Item:Q256112"

The following pages link to Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112):

Displaying 22 items.

• Efficient numerical Fourier methods for coupled forward-backward SDEs (Q898981) (← links)
• Pricing and hedging vulnerable option with funding costs and collateral (Q1663930) (← links)
• A regression-based numerical scheme for backward stochastic differential equations (Q1695419) (← links)
• An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion (Q2029145) (← links)
• Gradient convergence of deep learning-based numerical methods for BSDEs (Q2044106) (← links)
• Multistep schemes for solving backward stochastic differential equations on GPU (Q2138198) (← links)
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474) (← links)
• A multi-step scheme based on cubic spline for solving backward stochastic differential equations (Q2301282) (← links)
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations (Q2316188) (← links)
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (Q2327815) (← links)
• On the data-driven COS method (Q2422825) (← links)
• A Fourier transform method for solving backward stochastic differential equations (Q2671235) (← links)
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations (Q2694433) (← links)
• An overview on deep learning-based approximation methods for partial differential equations (Q2697278) (← links)
• The COS method for option valuation under the SABR dynamics (Q4641563) (← links)
• Deep Splitting Method for Parabolic PDEs (Q4958922) (← links)
• A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management (Q5080488) (← links)
• Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Q5241903) (← links)
• A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (Q5254475) (← links)
• Convergence of a Robust Deep FBSDE Method for Stochastic Control (Q5886857) (← links)
• Numerical methods for backward stochastic differential equations: a survey (Q6158181) (← links)
• Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations (Q6201366) (← links)