Seminario del 2014

Dicembre
18
2014
Stefano Pagliarani, CMAP, Ecole Polytechnique
Analytical approximations of backward stochastic differential equations with non-smooth driver
probabilità
We provide and analyze analytical approximations of BSDEs in the limit of small non-linearity and short time, in the case of non-smooth drivers. We identify the first and the second order approximations within this asymptotics and consider two topical financial applications: the two interest rates problem and the Funding Value Adjustment. In high dimensional diffusion setting, we present numerical tests to illustrate the efficiency of the numerical schemes. Finally, we discuss the limit of this approach by assessing the possibility of higher order expansions.
organizzato da: Andrea Pascucci

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