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Yamada Toshihiro  山田 俊皓

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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・ブラウン運動 / 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
  • Research Projects

    (3 results)
  • Research Products

    (29 results)
  • Co-Researchers

    (13 People)
  •  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

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