Cover Image

Measuring Financial Resilience Using Backward Stochastic Differential Equations

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Laeven, Roger J. A., Ferrari, Matteo, Gianin, Emanuela Rosazza, Zullino, Marco
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance Probability Risk Management 60H10, 60H30, 91B06, 91B30, 62P05
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Geometric BSDEs
by: Laeven, Roger J. A., et al.
Published: (2024)

Cross-Currency Basis Swaps Referencing Backward-Looking Rates
by: Ding, Yining, et al.
Published: (2024)

Call Option Price using Pearson Diffusion Processes
by: Kar, Tapan, et al.
Published: (2025)

Choice of Collateral Currency in Differential Swaps
by: Ding, Yining, et al.
Published: (2026)

Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
by: Alaya, Mohamed Ben, et al.
Published: (2024)

Noise induced Stability of a Mean-Field model of Systemic Risk with uncertain robustness
by: Alecio, Alexander
Published: (2025)

Admitted symmetries of Backward Stochastic Differential Equations
by: Ouknine, Anas, et al.
Published: (2025)

On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
by: Das, Kaustav, et al.
Published: (2021)

Symmetry Analysis of Semi-Linear Partial Differential Equations and Forward Backward Stochastic Differential Equations
by: Ouknine, Anas, et al.
Published: (2025)

Universal basic income in a financial equilibrium
by: Weston, Kim
Published: (2026)

Zero-Coupon Treasury Rates and Returns using the Volatility Index
by: Park, Jihyun, et al.
Published: (2024)

Reinterpreting Economic Complexity: A co-clustering approach
by: Bottai, Carlo, et al.
Published: (2024)

Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023)

Non-standard analysis for coherent risk estimation: hyperfinite representations, discrete Kusuoka formulae, and plug-in asymptotics
by: Kania, Tomasz
Published: (2026)

Short-rate models with stochastic discontinuities: a PDE approach
by: Calvia, Alessandro, et al.
Published: (2025)

Quantifying Crypto Portfolio Risk: A Simulation-Based Framework Integrating Volatility, Hedging, Contagion, and Monte Carlo Modeling
by: Firouzi, Kiarash
Published: (2025)

Ensemble distributional forecasting for insurance loss reserving
by: Avanzi, Benjamin, et al.
Published: (2022)

Reinforcement Learning for Micro-Level Claims Reserving
by: Avanzi, Benjamin, et al.
Published: (2026)

Mean-field control problems with multi-dimensional singular controls
by: Denkert, Robert, et al.
Published: (2023)

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
by: Hu, Ying, et al.
Published: (2017)

Stochastic portfolio theory with price impact
by: Itkin, David
Published: (2025)

Mean Field Game of Mutual Holding with common noise
by: Bassou, Leila, et al.
Published: (2024)

Separating Times for One-Dimensional General Diffusions
by: Criens, David, et al.
Published: (2022)

Distributional Refinement Network: Distributional Forecasting via Deep Learning
by: Avanzi, Benjamin, et al.
Published: (2024)

Stochastic Dynamics of Ripple XRP for Cross-Border Settlement Optimization
by: Firouzi, Kiarash
Published: (2025)

Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure
by: Alaya, Mohamed Ben, et al.
Published: (2024)

Consumption-investment optimization with Epstein-Zin utility in unbounded non-Markovian markets
by: Feng, Zixin, et al.
Published: (2024)

The geometry of multi-curve interest rate models
by: Fontana, Claudio, et al.
Published: (2024)

Understanding the Commodity Futures Term Structure Through Signatures
by: Krishnan, Hari P., et al.
Published: (2025)

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
by: Xodarev, Akmal
Published: (2026)

Admissible Information Structures and the Non-Existence of Global Martingale Pricing
by: Dominguez, Alejandro Rodriguez
Published: (2026)

Dynamic Financial Analysis (DFA) of General Insurers under Climate Change
by: Avanzi, Benjamin, et al.
Published: (2025)

From constant to rough: A survey of continuous volatility modeling
by: Di Nunno, Giulia, et al.
Published: (2023)

The value of partial information
by: Ernst, Philip A., et al.
Published: (2025)

The indifference value of the weak information
by: Baudoin, Fabrice, et al.
Published: (2024)

On the use of case estimate and transactional payment data in neural networks for individual loss reserving
by: Avanzi, Benjamin, et al.
Published: (2025)

On the short-time behaviour of up-and-in barrier options using Malliavin calculus
by: Burés, Òscar
Published: (2025)

A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
by: Fu, Guanxing, et al.
Published: (2024)

Log-optimality with small liability stream
by: Anthropelos, Michail, et al.
Published: (2026)

On the Weak Error for Local Stochastic Volatility Models
by: Friz, Peter K., et al.
Published: (2025)