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Paper / 2023SMQ / 253490678416210
Backward stochastic difference equations on lattices with application to market equilibrium analysis
Jun Sekine / Masaaki Fukasawa / Takashi Sato
stochastic processesResource overview

Backward stochastic difference equations on lattices with application to market equilibrium analysis

Paper2023

by Jun Sekine, Masaaki Fukasawa, Takashi Sato

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stochastic processes

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Suggested foundations for stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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