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q-fin.CP2025
Tensor train representations of Greeks for Fourier-based pricing of multi-asset options
Rihito Sakurai, Koichi Miyamoto, Tsuyoshi Okubo
Efficient computation of Greeks for multi-asset options remains a key challenge in quantitative finance. While Monte Carlo (MC) simulation is widely used, it suffers from the large…
physics.comp-ph2025★ 2 cited
Permutation of Tensor-Train Cores for Computing Moments on Stochastic Differential Equations
Kayo Kinjo, Rihito Sakurai, Tatsuya Kishimoto +1
Tensor networks, particularly the tensor train (TT) format, have emerged as powerful tools for high-dimensional computations in physics and computer science. In solving coupled dif…