| Publication | Date of Publication | Type |
|---|
Asymptotic expansion and weak approximation. Applications of Malliavin calculus and deep learning
SpringerBriefs in Statistics | 2025-07-21 | Paper |
New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Asymptotic Analysis | 2024-10-29 | Paper |
A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Equilibrium multi-agent model with heterogeneous views on fundamental risks
Automatica | 2024-02-13 | Paper |
Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
SN Partial Differential Equations and Applications | 2023-07-25 | Paper |
| New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion | 2023-06-23 | Paper |
Asymptotic expansion for forward-backward SDEs with jumps
Stochastics | 2022-07-05 | Paper |
Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium
SIAM Journal on Financial Mathematics | 2022-05-31 | Paper |
A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
Journal of Computational Physics | 2022-05-05 | Paper |
Equilibrium price formation with a major player and its mean field limit
ESAIM: Control, Optimisation and Calculus of Variations | 2022-03-29 | Paper |
Sup-Inf/Inf-Sup Problem on Choice of a Probability Measure by Forward–Backward Stochastic Differential Equation Approach
IEEE Transactions on Automatic Control | 2022-02-24 | Paper |
A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
SIAM Journal on Control and Optimization | 2022-01-28 | Paper |
A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver
(available as arXiv preprint) | 2021-01-24 | Paper |
Lesson study in mathematics: current status and further directions
Proceedings of the International Congress of Mathematicians (ICM 2018) | 2020-09-22 | Paper |
Pricing average and spread options under local-stochastic volatility jump-diffusion models
Mathematics of Operations Research | 2020-03-12 | Paper |
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
Asia-Pacific Financial Markets | 2019-10-11 | Paper |
Term structure models during the global financial crisis: a parsimonious text mining approach
Asia-Pacific Financial Markets | 2019-10-11 | Paper |
Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
Stochastic Processes and their Applications | 2019-06-27 | Paper |
Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
Stochastics and Dynamics | 2019-06-25 | Paper |
Stochastic differential game in high frequency market
Automatica | 2019-04-24 | Paper |
An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model
JSIAM Letters | 2019-03-15 | Paper |
Asymptotic expansion approach in finance
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
On the effect of Bank of Japan's outright purchase on the JGB yield curve
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
Optimal hedging for fund and insurance managers with partially observable investment flows
Quantitative Finance | 2018-09-19 | Paper |
A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
European Journal of Operational Research | 2018-02-16 | Paper |
Derivatives pricing with market impact and limit order book
Automatica | 2017-11-17 | Paper |
Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Asia-Pacific Financial Markets | 2017-08-17 | Paper |
An FBSDE approach to American option pricing with an interacting particle method
Asia-Pacific Financial Markets | 2017-08-17 | Paper |
An asymptotic expansion for local-stochastic volatility with jump models
Stochastics | 2017-04-11 | Paper |
A weak approximation with asymptotic expansion and multidimensional Malliavin weights
The Annals of Applied Probability | 2016-06-09 | Paper |
A weak approximation with asymptotic expansion and multidimensional Malliavin weights
The Annals of Applied Probability | 2016-06-09 | Paper |
On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
Mathematics of Operations Research | 2015-11-04 | Paper |
An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
Journal of Computational and Applied Mathematics | 2015-09-09 | Paper |
Making mean-variance hedging implementable in a partially observable market
Quantitative Finance | 2015-04-23 | Paper |
A semigroup expansion for pricing barrier options
International Journal of Stochastic Analysis | 2014-10-20 | Paper |
Derivative pricing under asymmetric and imperfect collateralization and CVA
Quantitative Finance | 2014-02-20 | Paper |
Pricing and hedging of long-term futures and forward contracts by a three-factor model
Quantitative Finance | 2014-01-30 | Paper |
Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication
Quantitative Finance | 2014-01-23 | Paper |
Note on an extension of an asymptotic expansion scheme
International Journal of Theoretical and Applied Finance | 2013-10-21 | Paper |
An asymptotic expansion with push-down of Malliavin weights
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Pricing discrete barrier options under stochastic volatility
Asia-Pacific Financial Markets | 2013-01-07 | Paper |
A general computation scheme for a high-order asymptotic expansion method
International Journal of Theoretical and Applied Finance | 2012-11-22 | Paper |
Analytical approximation for non-linear FBSDEs with perturbation scheme
International Journal of Theoretical and Applied Finance | 2012-10-15 | Paper |
Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
International Journal of Theoretical and Applied Finance | 2011-08-10 | Paper |
A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
International Journal of Theoretical and Applied Finance | 2011-01-20 | Paper |
Probability distribution and option pricing for drawdown in a stochastic volatility environment
International Journal of Theoretical and Applied Finance | 2010-05-27 | Paper |
A remark on a singular perturbation method for option pricing under a stochastic volatility model
Asia-Pacific Financial Markets | 2009-12-11 | Paper |
Term structure of interest rates under recursive preferences in continuous time
Asia-Pacific Financial Markets | 2009-09-25 | Paper |
A factor allocation approach to optimal bond portfolio
Asia-Pacific Financial Markets | 2009-09-18 | Paper |
Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS
Asia-Pacific Financial Markets | 2009-09-09 | Paper |
An asymptotic expansion approach to pricing financial contingent claims
Asia-Pacific Financial Markets | 2009-02-06 | Paper |
FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
Asia-Pacific Financial Markets | 2008-02-18 | Paper |
A new computational scheme for computing Greeks by the asymptotic expansion approach
Asia-Pacific Financial Markets | 2006-11-17 | Paper |
| Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems | 2006-09-11 | Paper |
| New acceleration schemes with the asymptotic expansion in Monte Carlo simulation | 2006-08-28 | Paper |
An asymptotic expansion scheme for optimal investment problems
Statistical Inference for Stochastic Processes | 2005-01-17 | Paper |
On validity of the asymptotic expansion approach in contingent claim analysis
The Annals of Applied Probability | 2004-03-21 | Paper |
| scientific article; zbMATH DE number 1788880 (Why is no real title available?) | 2002-08-26 | Paper |
A Monte Carlo filtering approach for estimating the term structure of interest rates
Annals of the Institute of Statistical Mathematics | 2002-04-11 | Paper |
The asymptotic expansion approach to the valuation of interest rate contingent claims
Mathematical Finance | 2001-03-29 | Paper |
