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A weak approximation with Malliavin weights for local stochastic volatility model
Yamada, Toshihiro - In: International journal of financial engineering 4 (2017) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10011673104
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An asymptotic expansion of forward-backward SDEs with a perturbed driver
Takahashi, Akihiko; Yamada, Toshihiro - In: International journal of financial engineering 2 (2015) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10011333428
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An acceleration scheme for deep learning-based BSDE solver using weak expansions
Naito, Riu; Yamada, Toshihiro - In: International journal of financial engineering 7 (2020) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10012602946