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~isPartOf:"CIRJE discussion papers / F series"
~isPartOf:"Journal of mathematical finance"
~subject:"Optionspreistheorie"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Differentialrechnung"
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Optionspreistheorie
Stochastischer Prozess
Analysis
16
Mathematical analysis
16
Stochastic process
13
Option pricing theory
10
Theorie
5
Theory
5
Asymptotic expansion
3
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3
Backward Stochastic Differential Equation
2
Backward stochastic differential equations
2
Control theory
2
Deep learning
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Malliavin calculus
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Portfolio-Management
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1
Asset-or-Nothing Option
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Black-Scholes-Merton Options Pricing
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Takahashi, Akihiko
4
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3
A, Chunxiang
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Ackora-Prah, Joseph
1
Andam, Perpetual Saah
1
Appadoo, Srimantoorao S.
1
Buetow, Gerald W.
1
Chen, Zengjing
1
Cupidon, Jean René
1
Di Giacinto, Marina
1
El Hami, Abdelkhalak
1
Fadugba, Sunday Emmanuel
1
He, Kun
1
Hyppolite, Judex
1
Kadry, Seifedine
1
Kulperger, Reg
1
Mataramvura, Sure
1
Nwozo, Chuma Raphael
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Okedoye, Michael Akindele
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Omoregbe, Nicholas Amienwan
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Owoloko, Enahoro Alfred
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Saito, Taiga
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Shao, Yi
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Sochacki, James
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Sonubi, Adeyemi Adewale
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CIRJE discussion papers / F series
Journal of mathematical finance
International journal of theoretical and applied finance
20
The journal of computational finance
19
Discussion papers of interdisciplinary research project 373
17
Insurance / Mathematics & economics
15
Mathematical finance : an international journal of mathematics, statistics and financial theory
13
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
Finance and stochastics
11
Quantitative finance
10
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
8
Mathematics of operations research
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
Applied mathematical finance
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CoFE discussion papers
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
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International journal of financial engineering
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SFB 649 discussion paper
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Annals of finance
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CESifo working papers
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Contemporary quantitative finance : essays in honour of Eckhard Platen
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Risks : open access journal
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Journal of economic dynamics & control
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Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
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Advanced mathematical methods for finance
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CARF working paper
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Computational economics
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Journal of econometrics
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical methods of operations research
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Tübinger Diskussionsbeitrag
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Asia-Pacific financial markets
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Astin bulletin : the journal of the International Actuarial Association
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CREATES research paper
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
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IMA journal of management mathematics
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ECONIS (ZBW)
16
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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
A clustering method to solve backward stochastic differential equations with jumps
Zhang, Liangliang
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 1-9
Persistent link: https://www.econbiz.de/10012545300
Saved in:
6
Introducing the power series method to numerically approximate contingent claim partial differential equations
Buetow, Gerald W.
;
Sochacki, James
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 616-636
Persistent link: https://www.econbiz.de/10012433130
Saved in:
7
Numerical methods in financial and actuarial applications : a stochastic maximum principle approach
Di Giacinto, Marina
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 283-301
Persistent link: https://www.econbiz.de/10011874735
Saved in:
8
Theories on the relationship between price process and stochastic volatility matrix with compensated poisson jump using fourier transforms
Andam, Perpetual Saah
;
Ackora-Prah, Joseph
; …
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 633-656
Persistent link: https://www.econbiz.de/10011752419
Saved in:
9
Portfolio optimization problem with delay under Cox-Ingersoll-Ross model
A, Chunxiang
;
Shao, Yi
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 699-717
Persistent link: https://www.econbiz.de/10011752489
Saved in:
10
Valuation of European call options via the fast Fourier transform and the improved Mellin transform
Fadugba, Sunday Emmanuel
;
Nwozo, Chuma Raphael
- In:
Journal of mathematical finance
6
(
2016
)
2
,
pp. 338-359
Persistent link: https://www.econbiz.de/10011544533
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