SIAM Journal on Numerical Analysis, Vol. 49, No. 5/6 (2011), pp. 2017-2038 (22 pages) General autonomous stochastic differential equations (SDEs) driven by one-dimensional Brownian motion in the ...
This book provides a lively and accessible introduction to the numerical solution of stochastic differential equations with the aim of making this subject available to the widest possible readership.
This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic ...
Mathematics of Computation, Vol. 49, No. 180 (Oct., 1987), pp. 523-542 (20 pages) We present Runge-Kutta methods of high accuracy for stochastic differential ...
Join the Mathematics Department Colloquia for a lecture with Professeur Nils Berglund from the Institut Denis Poisson, Universite d'Orleans. In this talk, we will consider parabolic stochastic partial ...
A new algorithm developed by Naoki Masuda, with co-athors Kazuyuki Aihara and Neil G. MacLaren, can identify the most predictive data points that a tipping point is near. Published in Nature ...
This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Financial Mathematics and Statistics, BSc in Mathematics ...
In this paper we examine the capacity of arbitrage-free neural stochastic differential equation market models to produce realistic scenarios for the joint dynamics of multiple European options on a ...