Essays on numerical solutions to forward-backward stochastic differential equations and their applications in finance
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Liangliang Zhang, PhD
brianervinmamaril@gmail.com
Boston University
Zhang's Works
Essays on numerical solutions to forward-backward stochastic differential equations and their applications in finance
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.
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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brianervinmamaril@gmail.com
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