Discretization processing of financial risk management using stochastic differential equation simulation method

DOI10.1142/S0218348X22400692MaRDI QIDQ5070768zbMATH OpenOpenAlexWikidataFDO

Authors Qi Liu, Alaa Omar Khadidos, Pengbo Wan

Publication date 14 April 2022

Published in Fractals (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1142/s0218348x22400692

zbMATH Keywords

financial risk managementforward-backward stochastic differential equationnumerical simulationoption pricing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A quantitative approach to fractional option pricing problems with decomposition series
• A stochastic differential equation SIS epidemic model incorporating Ornstein-Uhlenbeck process
• An user intention mining model based on fractal time series pattern
• Assessing financial model risk
• BENCHOP -- the benchmarking project in option pricing
• Deterministic chaos in pendulum systems with delay
• General closed-form basket option pricing bounds
• Golden options in financial mathematics
• LQG homing problems for processes used in financial mathematics
• Mean-field stochastic differential equations and associated PDEs
• Multiplier method and exact solutions for a density dependent reaction-diffusion equation
• Option pricing with conditional GARCH models
• Option pricing with orthogonal polynomial expansions
• Pseudo-mathematics and financial charlatanism: the effects of backtest overfitting on out-of-sample performance
• Smooth approximation of stochastic differential equations

Cited in

(1)

• Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing

Describes a project that uses

Uses Software

• Matlab
• BENCHOP

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