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~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"CIRJE discussion papers / F series"
~person:"Yamada, Toshihiro"
~subject:"Black-Scholes-Modell"
~subject:"CAPM"
~subject:"Martingale"
~subject:"Stochastischer Prozess"
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Yamada, Toshihiro
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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko
;
Yamada, Toshihiro
-
2023
-
This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014383870
Saved in:
2
Deep Asymptotic Expansion : Application to Financial Mathematics
Iguchi, Yuga
;
Naito, Riu
;
Takahashi, Akihiko
;
Yamada, …
-
2021
-
Revised in February 2022
Persistent link: https://www.econbiz.de/10013339086
Saved in:
3
A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko
;
Tsuchida, Yoshifumi
;
Yamada, Toshihiro
-
2021
-
Revised in August, November 2021, January and February 2022
Persistent link: https://www.econbiz.de/10013335002
Saved in:
4
Asymptotic expansion and deep neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with nonlinear coeffi...
Takahashi, Akihiko
;
Yamada, Toshihiro
-
2021
Persistent link: https://www.econbiz.de/10013336341
Saved in:
5
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
Saved in:
6
Pricing discrete barrier options under stochastic volatility
Shiraya, Kenichiro
;
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
19
(
2012
)
3
,
pp. 205-232
Persistent link: https://www.econbiz.de/10009660697
Saved in:
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