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Search: subject:"Deep BSDE solver"
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Option pricing theory
7
Optionspreistheorie
7
Deep BSDE solver
6
Stochastic process
6
Stochastischer Prozess
6
Asymptotic expansion
5
Deep learning
5
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Control variate method
4
Estimation theory
4
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Backward stochastic differential equations
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American option
1
BSDE with jumps
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BSDEs
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Backward stochastic differential equation
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Deep BSDE Solver
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Deep hedging
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Takahashi, Akihiko
4
Tsuchida, Yoshifumi
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Yamada, Toshihiro
3
Gnoatto, Alessandro
2
Picarelli, Athena
2
Fujii, Masaaki
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Lavagnini, Silvia
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ECONIS (ZBW)
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A deep solver for BSDEs with jumps
Gnoatto, Alessandro
;
Patacca, Marco
;
Picarelli, Athena
-
2022
Persistent link: https://www.econbiz.de/10013535740
Saved in:
2
Deep Quadratic Hedging
Gnoatto, Alessandro
;
Lavagnini, Silvia
;
Picarelli, Athena
-
2022
Persistent link: https://www.econbiz.de/10013535748
Saved in:
3
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
-
This version : August 10, 2021
Persistent link: https://www.econbiz.de/10012616192
Saved in:
4
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
Persistent link: https://www.econbiz.de/10012813680
Saved in:
5
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:
6
Control variate method for
deep
BSDE
solver
using weak approximation
Tsuchida, Yoshifumi
- In:
Asia Pacific financial markets
30
(
2023
)
2
,
pp. 273-296
Persistent link: https://www.econbiz.de/10014342288
Saved in:
7
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
Fujii, Masaaki
;
Takahashi, Akihiko
;
Takahashi, Masayuki
- In:
Asia-Pacific financial markets
26
(
2019
)
3
,
pp. 391-408
Persistent link: https://www.econbiz.de/10012309704
Saved in:
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