3 citations · 3 across the 2 of their papers we have counts for
2 papers
math.PR2024
SIG-BSDE for Dynamic Risk Measures
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
In this paper, we consider dynamic risk measures induced by backward stochastic differential equations (BSDEs). We discuss different examples that come up in the literature, includ…
q-fin.TR2024★ 3 cited
Deep learning for quadratic hedging in incomplete jump market
Nacira Agram, Bernt Øksendal, Jan Rems
We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump diffusion market. It is based upon a rigorous stochastic calculu…