Fourier methods for numerical solution of FBSDEs with applications in mathematical finance
We present a Fourier analysis approach to numerical solution of forward-backward stochastic differential equations (FBSDEs) and propose two implementations. Using the Euler time discretization for backward stochastic differential equations (BSDEs), Fourier analysis allows to express the conditional...
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2014
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| Online Access: | http://spectrum.library.concordia.ca/978166/1/Oyono_NGou_PhD_S2014.pdf Oyono Ngou, Polynice <http://spectrum.library.concordia.ca/view/creators/Oyono_Ngou=3APolynice=3A=3A.html> (2014) Fourier methods for numerical solution of FBSDEs with applications in mathematical finance. PhD thesis, Concordia University. |
Internet
http://spectrum.library.concordia.ca/978166/1/Oyono_NGou_PhD_S2014.pdfOyono Ngou, Polynice <http://spectrum.library.concordia.ca/view/creators/Oyono_Ngou=3APolynice=3A=3A.html> (2014) Fourier methods for numerical solution of FBSDEs with applications in mathematical finance. PhD thesis, Concordia University.