5 citations · 9 across the 6 of their papers we have counts for
7 papers
An Analytic COS Method for Compound Option Valuation
Zhipeng Huang, Cornelis W. Oosterlee
We develop an analytic Fourier cosine (COS) method for the valuation of compound options. By deriving closed-form expressions for the cosine coefficients at all compound stages, th…
The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance
Zhipeng Huang, Cornelis W. Oosterlee
We propose the Compound BSDE method, a fully forward, deep-learning-based approach for solving a broad class of problems in financial mathematics, including optimal stopping. The m…
Convergence of Markovian Iteration for -Coupled FBSDEs via Gaussian Smoothing
Zhipeng Huang, Cornelis W. Oosterlee
In this paper, we investigate the Markovian iteration method for coupled forward-backward stochastic differential equations (FBSDEs) with drift and deterministic…
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…
A Mutually Exciting Latent Space Hawkes Process Model for Continuous-time Networks
Zhipeng Huang, Hadeel Soliman, Subhadeep Paul +1
Networks and temporal point processes serve as fundamental building blocks for modeling complex dynamic relational data in various domains. We propose the latent space Hawkes (LSH)…
The Multivariate Community Hawkes Model for Dependent Relational Events in Continuous-time Networks
Hadeel Soliman, Lingfei Zhao, Zhipeng Huang +2
The stochastic block model (SBM) is one of the most widely used generative models for network data. Many continuous-time dynamic network models are built upon the same assumption a…