Search Results - subject:"Collocation"

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The seven-league scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks 10 (2022) 3, pp. 1-27

accurately determined stochastic collocation (SC) points. By employing an artificial neural network to learn these SC points, we …. With a method variant called the compression-decompression collocation and interpolation technique, we can drastically …

Persistent link: https://www.econbiz.de/10013200937

The seven-league scheme : deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks : open access journal 10 (2022) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10013093086

Simulating and pricing CAT bonds using the spectral method based on Chebyshev basis

Aghdam, Y. Esmaeelzade; Neisy, A.; Adl, A. - In: Computational economics 63 (2024) 1, pp. 423-435

Persistent link: https://www.econbiz.de/10014472268

Pseudospectral methods for continuous-time heterogeneous-agent models

Schesch, Constantin - In: Journal of economic dynamics & control 163 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015050812

The meanings of "learning organization" from the perspective of usage

Rooy, Bertus van; Rentier, Roosmarijn - In: Making sense of the learning turn : why and in what …, (pp. 255-274). 2024

Persistent link: https://www.econbiz.de/10015084701

The convergence analysis of the numerical calculation to price the time-fractional black-scholes model

Mesgarani, H.; Bakhshandeh, M.; Aghdam, Y. Esmaeelzade; … - In: Computational economics 62 (2023) 4, pp. 1845-1856

Persistent link: https://www.econbiz.de/10014437608

Continuous-time portfolio optimization for absolute return funds

Ieda, Masashi - In: Asia Pacific financial markets 29 (2022) 4, pp. 675-696

Persistent link: https://www.econbiz.de/10013397759

Model-free stochastic collocation for an arbitrage-free implied volatility, part II

Le Floc’h, Fabien; Oosterlee, Cornelis Willebrordus - In: Risks 7 (2019) 1, pp. 1-21

This paper explores the stochastic collocation technique, applied on a monotonic spline, as an arbitrage-free and model … implied volatility and compare the spline collocation results with those obtained through arbitrage-free interpolation …

Persistent link: https://www.econbiz.de/10013200448

Model-free stochastic collocation for an arbitrage-free implied volatility, part II

Le Floc'h, Fabien; Oosterlee, Cornelis Willebrordus - In: Risks : open access journal 7 (2019) 1/30, pp. 1-21

Persistent link: https://www.econbiz.de/10012015886

Where do the rich live in a big city?

Tabuchi, Takatoshi - 2018

Persistent link: https://www.econbiz.de/10012133440

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