| Presentation | 2012-11-08 Predictability of Approximate Accuracy for Asymptotic Expansion Ryosuke NOMURA, Hideitsu HINO, Noboru MURATA, Nakahiro YOSHIDA, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | The pricing of derivatives is an important problem in finance. Compared to Monte Carlo method, which is high accuracy but computationally expensive, asymptotic expansion which approximates probability distributions deterministically is a hopeful method. In this study, it is aimed to evaluate the availability of asymptotic expansion for various stochastic differential equation models. By estimating error rate between asymptotic expansion and Monte Carlo method, it is experimentally showed that it is possible to determine the criterion to use asymptotic expansion for the pricing of derivatives. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | asymptotic expansion / random forest |
| Paper # | IBISML2012-79 |
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| Conference Information | |
| Committee | IBISML |
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| Conference Date | 2012/10/31(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Information-Based Induction Sciences and Machine Learning (IBISML) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Predictability of Approximate Accuracy for Asymptotic Expansion |
| Sub Title (in English) | |
| Keyword(1) | asymptotic expansion |
| Keyword(2) | random forest |
| 1st Author's Name | Ryosuke NOMURA |
| 1st Author's Affiliation | Graduate School of Mathematical Sciences, The University of Tokyo() |
| 2nd Author's Name | Hideitsu HINO |
| 2nd Author's Affiliation | School of Science and Engineering, Waseda University |
| 3rd Author's Name | Noboru MURATA |
| 3rd Author's Affiliation | School of Science and Engineering, Waseda University |
| 4th Author's Name | Nakahiro YOSHIDA |
| 4th Author's Affiliation | Graduate School of Mathematical Sciences, The University of Tokyo |
| Date | 2012-11-08 |
| Paper # | IBISML2012-79 |
| Volume (vol) | vol.112 |
| Number (no) | 279 |
| Page | pp.pp.- |
| #Pages | 7 |
| Date of Issue | |