2 citations · 2 across the 5 of their papers we have counts for
6 papers
Retrieving predictive densities from conformal predictive distributions
Dan Andrei Tudor, Dorota Kurowicka, Balint Negyesi +1
Conformal prediction intervals are used to construct marginally well-calibrated regions around point predictions. Recent work has focused on extending these ideas to conformal pred…
A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
Balint Negyesi, Cornelis W. Oosterlee
A deep BSDE approach is presented for the pricing and delta-gamma hedging of high-dimensional Bermudan options, with applications in portfolio risk management. Large portfolios of…
A numerical Fourier cosine expansion method with higher order Taylor schemes for fully coupled FBSDEs
Balint Negyesi, Cornelis W. Oosterlee
A higher-order numerical method is presented for scalar valued, coupled forward-backward stochastic differential equations. Unlike most classical references, the forward component…
Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control
Balint Negyesi, Zhipeng Huang, Cornelis W. Oosterlee
We are concerned with high-dimensional coupled FBSDE systems approximated by the deep BSDE method of Han et al. (2018). It was shown by Han and Long (2020) that the errors induced…
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle
Zhipeng Huang, Balint Negyesi, Cornelis W. Oosterlee
It is well-known that decision-making problems from stochastic control can be formulated by means of a forward-backward stochastic differential equation (FBSDE). Recently, the auth…
The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions
Balint Negyesi, Kristoffer Andersson, Cornelis W. Oosterlee
A novel discretization is presented for forward-backward stochastic differential equations (FBSDE) with differentiable coefficients, simultaneously solving the BSDE and its Malliav…