73 citations · 279 across the 29 of their papers we have counts for
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q-fin.RM2018★ 1 cited
A sparse grid approach to balance sheet risk measurement
Cyril Bénézet, Jérémie Bonnefoy, Jean-François Chassagneux +3
In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We fi…
math.PR2018★ 3 cited
Numerical Probabilistic Approach to MFG
Andrea Angiuli, Christy V. Graves, Houzhi Li +3
This project investigates numerical methods for solving fully coupled forward-backward stochastic differential equations (FBSDEs) of McKean-Vlasov type. Having numerical solvers fo…