9 citations · 25 across the 9 of their papers we have counts for
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q-fin.CP2014
A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations
Polynice Oyono Ngou, Cody Hyndman
The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs), introduced in [21], uses a uniform space grid. In this paper we ut…
q-fin.MF2014★ 1 cited
Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
Cody Hyndman, Xinghua Zhou
We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic te…