Essays on numerical solutions to forward-backward stochastic differential equations and their applications in finance

Author/s: Liangliang Zhang, PhD
Availability: Open Access
Type: Thesis
Year: 2017
Category: Finance
Institution: Boston University

Abstract: In this thesis, we provide convergent numerical solutions to non-linear forward-BSDEs (Backward Stochastic Differential Equations). Applications in mathematical finance, financial economics and financial econometrics are discussed. Numerical examples show the effectiveness of our methods.

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