4 citations · 4 across the 3 of their papers we have counts for
3 papers
q-fin.CP2021
Estimating Future VaR from Value Samples and Applications to Future Initial Margin
Narayan Ganesan, Bernhard Hientzsch
Predicting future values at risk (fVaR) is an important problem in finance. They arise in the modelling of future initial margin requirements for counterparty credit risk and futur…
q-fin.CP2020★ 4 cited
Backward Deep BSDE Methods and Applications to Nonlinear Problems
Yajie Yu, Bernhard Hientzsch, Narayan Ganesan
In this paper, we present a backward deep BSDE method applied to Forward Backward Stochastic Differential Equations (FBSDE) with given terminal condition at maturity that time-step…
q-fin.CP2019
Introduction to Solving Quant Finance Problems with Time-Stepped FBSDE and Deep Learning
Bernhard Hientzsch
In this introductory paper, we discuss how quantitative finance problems under some common risk factor dynamics for some common instruments and approaches can be formulated as time…