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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
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Discrete bismut formula : conditional integration by parts and a representation for delta hedging process
Akiyama, Naho; Yamada, Toshihiro - In: Risk and decision analysis 9 (2023) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10014450637
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Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version : May 9, 2023
Persistent link: https://www.econbiz.de/10014266288