Jasmin Röder

University of Giessen

Arndtstr. 2

Giessen, 35392

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

506

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Feynman Kac for Functional Jump Diffusions with an Application to Credit Value Adjustment

Number of pages: 15 Posted: 26 Sep 2014 Last Revised: 22 Jun 2015
Eduard Kromer, Ludger Overbeck and Jasmin Röder
University of California, Berkeley, University of Giessen and University of Giessen
Downloads 243 (235,893)
Citation 4

Abstract:

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Functional Feynman-Kac Theorem, functional Ito formula, functional jump diffusion, path-dependent coefficients, Credit Value Adjustment, bilateral counterparty risk, path-dependent derivatives, Asian option

2.

Path-Dependent BSDEs with Jumps and Their Connection to PPIDEs

Number of pages: 35 Posted: 27 May 2015 Last Revised: 09 Sep 2016
Eduard Kromer, Ludger Overbeck and Jasmin Röder
University of California, Berkeley, University of Giessen and University of Giessen
Downloads 199 (284,615)

Abstract:

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path-dependent backward stochastic differential equation; jump diffusion; path-dependent PIDE; functional Feynman-Kac theorem; path-differentiability; viscosity solution; functional Itô formula

3.

Path-Dependent Backward Stochastic Volterra Integral Equations with Jumps, Differentiability and Duality Principle

Number of pages: 39 Posted: 12 Sep 2016 Last Revised: 21 Apr 2018
Ludger Overbeck and Jasmin Röder
University of Giessen and University of Giessen
Downloads 64 (640,915)

Abstract:

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path-dependent backward stochastic Volterra integral equation; jump diffusion; path-differentiability; duality principle