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  • Search: subject:"Weak approximation"
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Year of publication
Subject
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Weak approximation 10 Stochastic process 8 Stochastischer Prozess 8 Option pricing theory 7 Optionspreistheorie 7 Deep learning 4 Malliavin calculus 4 Stochastic differential equations 4 weak approximation 4 Analysis 3 Asymptotic expansion 3 Mathematical analysis 3 Monte Carlo simulation 3 Monte-Carlo-Simulation 3 Stochastic differential equation 3 Volatility 3 Volatilität 3 Cubature methods 2 Curse of dimensionality 2 Derivat 2 Derivative 2 Estimation theory 2 Kolmogorov PDEs 2 Mathematical finance 2 Option trading 2 Optionsgeschäft 2 Runge–Kutta method 2 Schätztheorie 2 stochastic volatility 2 Approximation method 1 Backward stochastic differential equation 1 Black-Scholes model 1 Black-Scholes-Modell 1 CIR equation 1 Classification 1 Control variate method 1 Credit risk 1 Deep BSDE solver 1 Digital option 1 Euler and Milstein approximations 1
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Online availability
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Undetermined 11 Free 4
Type of publication
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Article 12 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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English 10 Undetermined 6
Author
All
Yamada, Toshihiro 5 Mackevičius, Vigirdas 3 Naito, Riu 3 Iguchi, Yuga 2 Kohatsu, Arturo 2 Takahashi, Akihiko 2 Bourgey, F. 1 De Marco, Stefano 1 Debrabant, Kristian 1 Gobet, Emmanuel 1 LÜTKEBOHMERT, EVA 1 Lütkebohmert, Eva 1 MATCHIE, LYDIENNE 1 Matchie, Lydienne 1 Navikas, Jurgis 1 Ninomiya, Mariko 1 Ninomiya, Syoiti 1 Okano, Yusuke 1 Pettersson, Roger 1 Rößler, Andreas 1 Tsuchida, Yoshifumi 1 Yamamoto, Kenta 1
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Institution
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Department of Economics and Business, Universitat Pompeu Fabra 2
Published in...
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Mathematics and Computers in Simulation (MATCOM) 4 CIRJE discussion papers / F series 2 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 2 International journal of financial engineering 2 Quantitative finance 2 Asia Pacific financial markets 1 Finance and Stochastics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
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Source
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ECONIS (ZBW) 8 RePEc 8
Showing 1 - 10 of 16
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Deep asymptotic expansion with weak approximation
Iguchi, Yuga; Naito, Riu; Okano, Yusuke; Yamada, Toshihiro - 2021 - Revised in August 2021
Persistent link: https://www.econbiz.de/10013336343
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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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Weak approximations and VIX option price expansions in forward variance curve models
Bourgey, F.; De Marco, Stefano; Gobet, Emmanuel - In: Quantitative finance 23 (2023) 9, pp. 1259-1283
Persistent link: https://www.econbiz.de/10014339914
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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
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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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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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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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VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
LÜTKEBOHMERT, EVA; MATCHIE, LYDIENNE - In: International Journal of Theoretical and Applied … 17 (2014) 01, pp. 1450004-1
We explore the class of second-order weak approximation schemes (cubature methods) for the numerical simulation of …
Persistent link: https://www.econbiz.de/10011011267
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Value-at-risk computations in stochastic volatility models using second-order weak approximation schemes
Lütkebohmert, Eva; Matchie, Lydienne - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010363958
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Variance reduction methods for simulation of densities on Wiener space
Kohatsu, Arturo; Pettersson, Roger - Department of Economics and Business, Universitat … - 2002
We develop a general error analysis framework for the Monte Carlo simulation of densities for functionals in Wiener space. We also study variance reduction methods with the help of Malliavin derivatives. For this, we give some general heuristic principles which are applied to diffusion...
Persistent link: https://www.econbiz.de/10005772153
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