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~isPartOf:"CIRJE discussion papers / F series"
~isPartOf:"Contemporary quantitative finance : essays in honour of Eckhard Platen"
~isPartOf:"Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business"
~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Analysis
13
Mathematical analysis
13
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Option pricing theory
5
Optionspreistheorie
5
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Sørensen, Michael
4
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Baltazar-Larios, Fernando
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Bao, Xiaobo
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1
Cohen, Samuel N.
1
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1
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1
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Hu, Ying
1
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Musiela, Marek
1
Reis, Gonçalo dos
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Saito, Taiga
1
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1
Uchida, Masayuki
1
Zariphopoulou-Souganidis, Thaleia
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CIRJE discussion papers / F series
Contemporary quantitative finance : essays in honour of Eckhard Platen
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
Discussion papers of interdisciplinary research project 373
17
International journal of theoretical and applied finance
16
Insurance / Mathematics & economics
15
The journal of computational finance
12
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
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7
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
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1
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
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:
3
Supplementary file for "sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"
Saito, Taiga
;
Takahashi, Akihiko
-
2021
-
Revised in March 2021
Persistent link: https://www.econbiz.de/10013335007
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
Maximum likelihood estimation for integrated diffusion processes
Baltazar-Larios, Fernando
;
Sørensen, Michael
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 407-423)
.
2010
Persistent link: https://www.econbiz.de/10008749174
Saved in:
6
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
Chiarella, Carl
;
Ziogas, Andrew
;
Ziveyi, Jonathan
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 281-315)
.
2010
Persistent link: https://www.econbiz.de/10008749199
Saved in:
7
Stochastic partial differential equations and portfolio choice
Musiela, Marek
;
Zariphopoulou-Souganidis, Thaleia
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 195-216)
.
2010
Persistent link: https://www.econbiz.de/10008749273
Saved in:
8
Results on numerics for FBSDE with drivers of quadratic growth
Imkeller, Peter
;
Reis, Gonçalo dos
;
Zhang, Jianing
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 159-182)
.
2010
Persistent link: https://www.econbiz.de/10008749283
Saved in:
9
Comparison theorems for finite state backward stochastic differential equations
Cohen, Samuel N.
;
Elliott, Robert J.
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 135-158)
.
2010
Persistent link: https://www.econbiz.de/10008749289
Saved in:
10
Existence and non-uniqueness of solutions for BSDE
Bao, Xiaobo
;
Delbaen, Freddy
;
Hu, Ying
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 123-134)
.
2010
Persistent link: https://www.econbiz.de/10008749294
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