Bálint Négyesi

1. The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions
   2021/10/11 by Bálint Négyesi, Kristoffer Andersson, Negyesi, Balint +3 · 2 citations
   Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Model Reduction and Neural Networks #Numerical Analysis (math.NA) #Stochastic processes and financial applications
2. A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
   2025/02/17 by Bálint Négyesi, Cornelis W. Oosterlee, Negyesi, Balint +1 · 1 citation
   Economics, Econometrics and Finance · #Stochastic processes and financial applications #Monetary Policy and Economic Impact #Capital Investment and Risk Analysis