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person:"Platen, Eckhard"
~person:"Cai, Yongyang"
~person:"Sennewald, Ken"
~person:"Yamada, Toshihiro"
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Platen, Eckhard
Cai, Yongyang
Sennewald, Ken
Yamada, Toshihiro
Hess, Markus
6
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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
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2
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro
;
Yamamoto, Kenta
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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3
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
Saved in:
4
Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
Sennewald, Ken
- In:
Journal of economic dynamics & control
31
(
2007
)
4
,
pp. 1106-1131
Persistent link: https://www.econbiz.de/10003443356
Saved in:
5
"Itô's Lemma" and the Bellman equation of poisson processes : an applied view
Sennewald, Ken
;
Wälde, Klaus
- In:
Journal of economics
89
(
2006
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10003389556
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