Recent Developments in Stochastic Numerics and Computational Finance

Jiro Akahori, Syoiti Ninomiya, Toshihiro Yamada (Herausgeber)

Buch | Hardcover

124 Seiten

2026
Springer Verlag, Singapore
978-981-95-0651-4 (ISBN)

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mso-fareast-language: EN-US;">This book presents a collection of recent advances in stochastic numerical analysis and computational finance. The volume highlights cutting-edge developments in numerical techniques for stochastic differential equations and stochastic models in finance.

This book presents a collection of recent advances in stochastic numerical analysis and computational finance. Stochastic numerical methods have played a pivotal role in probability theory, statistics, and applied mathematics, particularly in the rapidly evolving fields of machine learning and data science. They have also achieved significant success in computational finance. The volume highlights cutting-edge developments in numerical techniques for stochastic differential equations and stochastic models in finance. This collection offers valuable insights for researchers and practitioners seeking to deepen their understanding of stochastic modeling and its applications in finance and beyond.

Jiro Akahori is a professor of Graduate School of Mathematical Sciences at Ritsumeikan University. Syoiti Ninomiya is a professor of Department of Mathematics, Institute of Science Tokyo. Toshihiro Yamada is a professor of Graduate School of Economics at Hitotsubashi University.

Chapter 1 Policy improvement algorithm for an optimal consumption and investment problem under a certain nonlinear stochastic factor model.- Chapter 2 An extended Milstein scheme for effective weak approximation of diffusions.- Chapter 3 Expansion of Bermudan option price using deep learning.- Chapter 4 Approximation for stochastic PDES and the HJM Model.- Chapter 5 On a Prolongation of the Nonlinear Stochastic Asymptotic Expansion of the Solution of a Semilinear PDE.

Erscheint lt. Verlag	6.1.2026
Reihe/Serie	ICIAM2023 Springer Series
Zusatzinfo	2 Illustrations, black and white
Verlagsort	Singapore
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Mathematik / Informatik ► Mathematik ► Analysis
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
Schlagworte	Computational Finance • Deep learning • partial differential equation • stochastic differential equation • Stochastic numerical analysis
ISBN-10	981-95-0651-4 / 9819506514
ISBN-13	978-981-95-0651-4 / 9789819506514
Zustand	Neuware