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Essays on numerical solutions to forward-backward stochastic differential equations and their applications in finance

In this thesis, we provide convergent numerical solutions to non-linear forward-BSDEs (Backward Stochastic Differential Equations). Applications in mathematical finance, financial economics and financial econometrics are discussed. Numerical examples show the effectiveness of our methods.

Identiferoai:union.ndltd.org:bu.edu/oai:open.bu.edu:2144/26430
Date30 October 2017
CreatorsZhang, Liangliang
Source SetsBoston University
Languageen_US
Detected LanguageEnglish
TypeThesis/Dissertation

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