375 citations · 608 across the 47 of their papers we have counts for
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SigMA: Path Signatures and Multi-head Attention for Learning Parameters in fBm-driven SDEs
Xianglin Wu, Chiheb Ben Hammouda, Cornelis W. Oosterlee
Stochastic differential equations (SDEs) driven by fractional Brownian motion (fBm) are increasingly used to model systems with rough dynamics and long-range dependence, such as th…
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…
The deep multi-FBSDE method: a robust deep learning method for coupled FBSDEs
Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee
We introduce the deep multi-FBSDE method for robust approximation of coupled forward-backward stochastic differential equations (FBSDEs), focusing on cases where the deep BSDE meth…
A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
Balint Negyesi, Cornelis W. Oosterlee
A deep BSDE approach is presented for the pricing and delta-gamma hedging of high-dimensional Bermudan options, with applications in portfolio risk management. Large portfolios of…
A numerical Fourier cosine expansion method with higher order Taylor schemes for fully coupled FBSDEs
Balint Negyesi, Cornelis W. Oosterlee
A higher-order numerical method is presented for scalar valued, coupled forward-backward stochastic differential equations. Unlike most classical references, the forward component…