no code implementations • 23 Apr 2021 • Narayan Ganesan, Bernhard Hientzsch
Predicting future values at risk (fVaR) is an important problem in finance.
1 code implementation • 30 Sep 2020 • Orcan Ogetbil, Narayan Ganesan, Bernhard Hientzsch
We give conditions under which a local volatility can exist given European option prices, stochastic interest rate model parameters, and correlations.
no code implementations • 13 Jun 2020 • Yajie Yu, Bernhard Hientzsch, Narayan Ganesan
To time-step the BSDE backward, one needs to solve a nonlinear problem.
1 code implementation • 22 May 2020 • Narayan Ganesan, Yajie Yu, Bernhard Hientzsch
In the PDE formulation, this corresponds to adding boundary conditions to the final value problem.
