Yamada Toshihiro 山田俊皓

… Alternative Names

YAMADA Toshiro 山田俊皓

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Researcher Number	50754701
Other IDs
Affiliation (Current)	2025: 一橋大学, 大学院経済学研究科, 教授
Affiliation (based on the past Project Information) *help	2017 – 2020: 一橋大学, 大学院経済学研究科, 准教授 2015 – 2016: 一橋大学, 大学院経済学研究科, 講師
Review Section/Research Field	Principal Investigator Basic Section 07060:Money and finance-related / Foundations of mathematics/Applied mathematics Except Principal Investigator Economic statistics
Keywords	Principal Investigator 確率微分方程式の弱近似 / 確率微分方程式 / 放物型偏微分方程式 / 高次離散化 / 熱核 / ディープラーニング / 偏微分方程式 / 自動微分 / 自動微分法 / 高次離散化法 / 弱近似 / マリアバン解析 … More Except Principal Investigator … More 倒産確率 / 時系列 / ﾌﾗｸｼｮﾅﾙ・ﾌﾞﾗｳﾝ運動 / フラクショナル・ブラウン運動 / 統合リスク管理 / 統合的リスク管理（ERM） / 総合的リスク管理(ERM) / ビッグデータ / 構造変化 / 高頻度データ / コピュラ / 計量的リスク管理 / 統合的リスク管理 / 計量経済学 / 金融工学 Less

A new automatic differentiation and its application to computational financePrincipal Investigator
- Principal Investigator
  
  YAMADA Toshihiro
- Project Period (FY)
  2019 – 2020
- Research Category
  
  Grant-in-Aid for Early-Career Scientists
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Hitotsubashi University
New higher order discretization method with Malliavin calculusPrincipal Investigator
- Principal Investigator
  
  Yamada Toshihiro
- Project Period (FY)
  2016 – 2018
- Research Category
  
  Grant-in-Aid for Challenging Exploratory Research
- Research Field
  
  Foundations of mathematics/Applied mathematics
- Research Institution
  Hitotsubashi University
Financial Engineering to ERM: Theoretical and Empirical Investigation
- Principal Investigator
  
  SHIBA Tsunemasa
- Project Period (FY)
  2012 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University

All 2021 2020 2019 2018 2017 2016 2015

All Journal Article Presentation

[Journal Article] Operator splitting around Euler-Maruyama scheme and high order discretization of heat kernels2021
- Author(s)
  Yuga Iguchi, Toshihiro Yamada
- Journal Title
  
  ESAIM: Mathematical Modelling and Numerical Analysis
  
  Volume: 55 Pages: 323-367
- DOI
  10.1051/m2an/2020043
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K13736
[Journal Article] High order weak approximation for irregular functionals of time-inhomogeneous SDEs2021
- Author(s)
  Toshihiro Yamada
- Journal Title
  
  Monte Carlo Methods and Applications
  
  Volume: - Issue: 2 Pages: 117-136
- DOI
  10.1515/mcma-2021-2085
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K13736
[Journal Article] An acceleration scheme for deep learning-based BSDE solver using weak expansions2020
- Author(s)
  Riu Naito, Toshihiro Yamada
- Journal Title
  
  International Journal of Financial Engineering
  
  Volume: 7 (2) Issue: 02 Pages: 2050012-2050012
- DOI
  10.1142/s2424786320500127
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K13736
[Journal Article] Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization2020
- Author(s)
  Kimiki Tokutome, Toshihiro Yamada
- Journal Title
  
  Numerical Algorithms
  
  Volume: - Issue: 2 Pages: 593-635
- DOI
  10.1007/s11075-020-00902-z
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K13736
[Journal Article] Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis2019
- Author(s)
  Toshihiro Yamada, Kenta Yamamoto
- Journal Title
  
  SIAM/ASA Journal on Uncertainty Quantification
  
  Volume: 7 Issue: 1 Pages: 143-173
- DOI
  10.1137/17m1142399
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16K13773
[Journal Article] A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus2019
- Author(s)
  Riu Naito, Toshihiro Yamada
- Journal Title
  
  Monte Carlo Methods and Applications
  
  Volume: 25 (4) Issue: 4 Pages: 341-361
- DOI
  10.1515/mcma-2019-2053
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K13736
[Journal Article] An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions2019
- Author(s)
  Toshihiro Yamada
- Journal Title
  
  SIAM Journal on Numerical Analysis
  
  Volume: 57 Issue: 2 Pages: 563-591
- DOI
  10.1137/17m114412x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16K13773
[Journal Article] A second order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing2018
- Author(s)
  Toshihiro Yamada, Kenta Yamamoto
- Journal Title
  
  Quantitative Finance
  
  Volume: Latest Articles Issue: 11 Pages: 1825-1837
- DOI
  10.1080/14697688.2018.1430371
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16K13773
[Journal Article] A second order weak approximation of SDEs using a Markov chain without Levy area simulation2018
- Author(s)
  Toshihiro Yamada, Kenta Yamamoto
- Journal Title
  
  Monte Carlo Methods and Applications
  
  Volume: 24 Issue: 4 Pages: 289-308
- DOI
  10.1515/mcma-2018-2024
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16K13773
[Journal Article] A weak approximation with Malliavin weights for local stochastic volatility model2017
- Author(s)
  Toshihiro Yamada
- Journal Title
  
  International Journal of Financial Engineering
  
  Volume: 04 Issue: 01 Pages: 17500021-17
- DOI
  10.1142/s2424786317500025
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-16K13773
[Journal Article] A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights2017
- Author(s)
  Toshihiro Yamada
- Journal Title
  
  Journal of Computational and Applied Mathematics
  
  Volume: 321 Pages: 427-447
- DOI
  10.1016/j.cam.2017.03.001
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-16K13773
[Journal Article] A weak approximation with asymptotic expansion and multidimensional Malliavin weights2016
- Author(s)
  Akihiko Takahashi and Toshihiro Yamada
- Journal Title
  
  The Annals of Applied Probability
  
  Volume: 26 Issue: 2 Pages: 818-856
- DOI
  10.1214/15-aap1105
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-24243031, KAKENHI-PROJECT-25380389
[Journal Article] A small noise asymptotic expansion for Young SDE driven by fractional Brownian motion: A sharp error estimate with Malliavin calculus2015
- Author(s)
  Toshihiro Yamada
- Journal Title
  
  Stochastic Analysis and Applications
  
  Volume: 33 Issue: 5 Pages: 882-902
- DOI
  10.1080/07362994.2015.1051232
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] An asymptotic expansion of forward-backward SDEs with a perturbed driver2015
- Author(s)
  Akihiko Takahashi and Toshihiro Yamada
- Journal Title
  
  Journal of Financial Engineering
  
  Volume: 2 Issue: 02 Pages: 1-29
- DOI
  10.1142/s2424786315500206
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24243031, KAKENHI-PROJECT-25380389
[Presentation] Higher order weak approximation for SDEs and BSDEs of McKean-Vlasov type2020
- Author(s)
  Toshihiro Yamada
- Organizer
  Ritsumeikan Math-Fin Seminar
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13736
[Presentation] Operator splitting around Euler-Maruyama scheme and high order discretization of heat kernels: application to finance2020
- Author(s)
  山田俊皓
- Organizer
  一橋大学経済統計ワークショップ
- Data Source
  KAKENHI-PROJECT-19K13736
[Presentation] Second order discretization of Bismut-Elworthy-Li formula and applications2019
- Author(s)
  Toshihiro Yamada
- Organizer
  Stochastic Processes and Related Topics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K13773
[Presentation] 確率微分方程式の高次弱近似と自動微分, BSDEへの応用2019
- Author(s)
  山田俊皓
- Organizer
  大阪大学中之島ワークショップ
- Invited
- Data Source
  KAKENHI-PROJECT-19K13736
[Presentation] Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis2018
- Author(s)
  Toshihiro Yamada
- Organizer
  一橋大学経済統計ワークショップ
- Data Source
  KAKENHI-PROJECT-16K13773
[Presentation] Higher order discretizaion methods using Malliavin Monte Carlo and Brownian Markov chain without Levy area simulation2018
- Author(s)
  Toshihiro Yamada
- Organizer
  WORKSHOP ON "MATHEMATICAL FINANCE AND RELATED ISSUES"
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K13773
[Presentation] Weak Milstein scheme without commutativity condition and its sharp asymptotic error bound2017
- Author(s)
  山田俊皓
- Organizer
  一橋大学経済統計ワークショップ
- Data Source
  KAKENHI-PROJECT-16K13773
[Presentation] A second order discretization method for the Delta2017
- Author(s)
  Toshihiro Yamada
- Organizer
  Osaka-UCL Workshop on Stochastics, Numerics and Risk
- Place of Presentation
  大阪大学（大阪府豊中市）
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K13773
[Presentation] A general formula for weak approximation with multidimensional Malliavin weights: application to option pricing2016
- Author(s)
  Toshihiro Yamada
- Organizer
  一橋大学経済統計ワークショップ
- Place of Presentation
  一橋大学経済学研究科（東京都国立市）
- Data Source
  KAKENHI-PROJECT-16K13773
[Presentation] On higher order weak approximation with Malliavin weights2016
- Author(s)
  Toshihiro Yamada
- Organizer
  一橋大学 ICS FS ファカルティセミナー
- Place of Presentation
  一橋大学国際企業戦略科（東京都千代田区）
- Invited
- Data Source
  KAKENHI-PROJECT-16K13773
[Presentation] A weak approximation of SDEs: application to computational finance2016
- Author(s)
  Toshihiro Yamada
- Organizer
  Winter Workshop on Operations Research, Finance and Mathematics, 2016
- Place of Presentation
  サホロリゾート（北海道上川郡）
- Year and Date
  2016-02-17
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] A weak approximation of SDEs: application to computational finance2016
- Author(s)
  Toshihiro Yamada
- Organizer
  Joint International Research Open
- Place of Presentation
  リバプール(イギリス)
- Year and Date
  2016-03-01
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] A weak approximation scheme of SDEs and applications to finance2015
- Author(s)
  Toshihiro Yamada
- Organizer
  Stochastic Methods in Finance, Insurance and Statistics
- Place of Presentation
  ニューサウスウェールズ（オーストラリア）
- Year and Date
  2015-12-10
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Weak approximation with asymptotic expansion: application to computational finance2015
- Author(s)
  山田俊皓
- Organizer
  近経研究会
- Place of Presentation
  横浜国立大学（神奈川県横浜市）
- Year and Date
  2015-06-04
- Invited
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] 確率微分方程式のある新しい2次の弱近似法について2015
- Author(s)
  山田俊皓
- Organizer
  計量経済学ワークショップ
- Place of Presentation
  慶應義塾大学(東京都港区)
- Year and Date
  2015-06-23
- Invited
- Data Source
  KAKENHI-PROJECT-24243031

1. SHIBA Tsunemasa (90187386)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
2. TANAKA Katsuto (40126595)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
3. ISHIMURA Naoyuki (80212934)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
4. HONDA Toshio (30261754)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
5. KUROZUMI Eiji (00332643)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
6. YAMAMOTO Yohei (80633916)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. ISHIHARA Tsunehiro (60609072)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. YAMADA Masahiro (60732435)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. SHIMOTSU Katsumi (50547510)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. TAKAHASHI Hajime (70154838)

# of Collaborated Projects: 1 results

# of Collaborated Products: 2 results
11. WATANABE Toshiaki (90254135)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. KARIYA Takeaki (70092624)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. FUJITA Takahiko (50144316)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Yamada Toshihiro 山田 俊皓

YAMADA Toshiro 山田 俊皓

Research Projects

Research Products

Co-Researchers

A new automatic differentiation and its application to computational financePrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

New higher order discretization method with Malliavin calculusPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Financial Engineering to ERM: Theoretical and Empirical Investigation

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] Operator splitting around Euler-Maruyama scheme and high order discretization of heat kernels2021

Author(s)

Journal Title

DOI

Data Source

[Journal Article] High order weak approximation for irregular functionals of time-inhomogeneous SDEs2021

Author(s)

Journal Title

DOI

Data Source

[Journal Article] An acceleration scheme for deep learning-based BSDE solver using weak expansions2020

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization2020

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis2019

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus2019

Author(s)

Journal Title

DOI

Data Source

[Journal Article] An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions2019

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A second order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing2018

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A second order weak approximation of SDEs using a Markov chain without Levy area simulation2018

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A weak approximation with Malliavin weights for local stochastic volatility model2017

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights2017

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A weak approximation with asymptotic expansion and multidimensional Malliavin weights2016

Author(s)

Yamada Toshihiro 山田俊皓

YAMADA Toshiro 山田俊皓