3 papers
math.NA2025
Boundary error control for numerical solution of BSDEs by the convolution-FFT method
Xiang Gao, Cody Hyndman
We first review the convolution fast-Fourier-transform (CFFT) approach for the numerical solution of backward stochastic differential equations (BSDEs) introduced in (Hyndman and O…
q-fin.CP2025
Convolution-FFT for option pricing in the Heston model
Xiang Gao, Cody Hyndman
We propose a convolution-FFT method for pricing European options under the Heston model that leverages a continuously differentiable representation of the joint characteristic func…
q-fin.MF2025
Arbitrage-Free Bond and Yield Curve Forecasting with Neural Filters under HJM Constraints
Xiang Gao, Cody Hyndman
We develop an arbitrage-free deep learning framework for yield curve and bond price forecasting based on the Heath-Jarrow-Morton (HJM) term-structure model and a dynamic Nelson-Sie…