Leveringstid: Sendes innen 14 dager. Om boka. Ta kontakt med Kundesenteret. Avbryt Send e-post. Financial Modeling A Backward Stochastic Differential Equations Perspective Stephane Crepey Backward stochastic differential equations BSDEs provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis.
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Financial Modeling: A Backward Stochastic Differential Equations Perspective
DOI : Turkedjiev , Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions , Mathematics of Computation , vol. Turkedjiev , Adaptive importance sampling in least-squares Monte-Carlo algorithms for backward stochastic differential equations , Stochastic Processes and their applications , vol. Henry , Geometric theory of semilinear parabolic equations , Lecture Notes in Mathematics , vol.
Henry-labordere, X. Tan, and N. Krommer and C. Ueberhuber , Computational Integration. SIAM , Lee, C. Kim, J. Chhugani, M. Textbook Buyback. This book examines financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes as well as a review of quantitative finance tools. Read More. Read Less. Trade paperback, New.
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