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A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

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0111 · Aug 202419922001200920172026
1 result for “MKABSDEs”
Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirementsq-fin.PR

New MKABSDEs help calculate initial margins in financial contracts.

problem Calculating initial margins in financial contracts with dependencies.
method Introduced MKABSDEs, provided existence and uniqueness, applied to CVaR, used deterministic and Monte-Carlo methods for numerical approximations.
result MKABSDEs provide a new way to solve for initial margins in financial contracts.
MKABSDEsinitial marginsfinancial contractsCVaRnumerical approximations
2024-08-02abs ↗pdf ↗