Recent developments in stochastic numerics and computational finance

Author(s)

• 赤堀, 次郎 アカホリ, ジロウ
• 二宮, 祥一 ニノミヤ, ショウイチ
• 山田, 俊皓 ヤマダ, トシヒロ

Bibliographic Information

Recent developments in stochastic numerics and computational finance

Jiro Akahori, Syoiti Ninomiya, Toshihiro Yamada, editors

（ICIAM2023 Springer series, v. 6）

Springer, 2025 , , ©2025

• : [hardcover]

Note

Content Type: text (ncrcontent), Media Type: unmediated (ncrmedia), Carrier Type: volume (ncrcarrier)

Includes bibliographies

Contents of Works

• Policy improvement algorithm for an optimal consumption and investment problem under a certain nonlinear stochastic factor model / Hiroaki Hata and Kazuhiro Yasuda
• An extended Milstein scheme for effective weak approximation of diffusions / Yuga Iguchi and Toshihiro Yamada
• Expansion of Bermudan option price using deep learning / Riu Naito and Toshihiro Yamada
• Wong-Zakai approximation for stochastic PDEs and the HJM model / Toshiyuki Nakayama
• On a prolongation of the nonlinear stochastic asymptotic expansion of the solution of a semilinear PDE / Sae Odaira and Kaori Okuma

• NCID: BD21220703
• ISBN:
  • 9789819506514
• Country Code: si
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Singapore
• Pages/Volumes: vii, 124 pages
• Size: 25 cm
• Classification:
  • LCC : HG176.7
  • DC23 : 332.0151922
• Subject Headings:
  • LCSH : Financial engineering -- Statistical methods
  • LCSH : Stochastic analysis
• Parent Bibliography ID:
  • BD18970330