4 citations · 4 across the 2 of their papers we have counts for
2 papers
math.PR2015
Application of Stochastic Mesh Method to Efficient Approximation of CVA
Yusuke Morimoto
In this paper, the author considers the numerical computation of CVA for large systems by Mote Carlo methods. He introduces two types of stochastic mesh methods for the computation…
math.PR2015★ 4 cited
Algebraic Structure of Vector Fields in Financial Diffusion Models and its Applications
Yusuke Morimoto, Makiko Sasada
High order discretization schemes of SDEs by using free Lie algebra valued random variables are introduced by Kusuoka, Lyons-Victoir, Ninomiya-Victoir and Ninomiya-Ninomiya. These…