In this paper, we present a novel computational framework for portfolio-wide risk management problems where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective.The new method utilises a coupled system of BSDEs for the valuation...

We present a novel computational approach for quadratic hedging in a high-dimensional incomplete market. This covers both mean-variance hedging and local risk minimization. In the first case, the solution is linked to a system of BSDEs, one of which being a backward stochastic Riccati equation...

The aim of this work is to propose an extension of the Deep BSDE solver by Han, E, Jentzen (2017) to the case of FBSDEs with jumps. As in the aforementioned solver, starting from a discretized version of the BSDE and parametrizing the (high dimensional) control processes by means of a family of...

In this thesis we address problems associated with financial modelling from a Bayesian point of view. Specifically, we look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal hedging strategy. Throughout the study, the local...