Search Results - subject:"forward-backward stochastic differential equations"

A fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations

Oyono Ngou, Polynice; Hyndman, Cody - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-32

The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs) was …

Persistent link: https://www.econbiz.de/10014332588

Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate

Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-19

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...

Persistent link: https://www.econbiz.de/10013201446

Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate

Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10013165295

A fourier interpolation method for numerical solution of FBSDEs : global convergence, stability, and higher order discretizations

Oyono Ngou, Polynice; Hyndman, Cody - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-32

The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs) was …

Persistent link: https://www.econbiz.de/10013397739

Latency and liquidity risk

Cartea, Álvaro; Jaimungal, Sebastian; … - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-37

Persistent link: https://www.econbiz.de/10012807838

A review of tree-based approaches to solving forward-backward stochastic differential equations

Teng, Long - In: The journal of computational finance 25 (2021) 3, pp. 125-159

Persistent link: https://www.econbiz.de/10012873086

Optimal execution strategy in liquidity framework

Benazzoli, Chiara; Di Persio, Luca - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-14

A trader wishes to execute a given number of shares of an illiquid asset. Since the asset price also depends on the trading behaviour, the trader main aim is to find the execution strategy that minimizes the related expected costs. We solve this problem in a discrete time framework, by modeling...

Persistent link: https://www.econbiz.de/10011988791

Optimal execution strategy in liquidity framework

Benazzoli, Chiara; Di Persio, Luca - In: Cogent economics & finance 5 (2017) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011886557

Optimal portfolio allocation of commodity related assets using a controlled forward-backward algorithm

Ludwig, Stephan Ernst - 2013

Persistent link: https://www.econbiz.de/10009746647

A mathematical treatment of bank monitoring incentives

Pagès, H.; Possamai, D. - Banque de France - 2012

stochastic control problem. The approach has the advantage of avoiding the more general techniques based on forward-backward … stochastic differential equations described in [6] and leads to a simple recursive system of Hamilton-Jacobi-Bellman equations …

Persistent link: https://www.econbiz.de/10010544323