We design a numerical scheme for solving a Dynamic Programming equation with Malliavin weights arising from the time-discretization of backward stochastic differential equations with the integration ...

For the initial value problem associated with second order advanced differential equation on Banach space, it is constructed a numerical method to approximate the solution. The method uses the ...

The calculation of the minimum regulatory capital that a financial institution needs to hold as a buffer to safeguard against adverse business outcomes is a delicate statistical issue. In this paper ...

Brian Huge and Antoine Savine combine automatic adjoint differentiation with modern machine learning. In addition, they introduce general machinery for training fast, accurate pricing and risk ...