4 papers
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…
Adaptive sampling-based optimization of quantics tensor trains for noisy functions: applications to quantum simulations
Kohtaroh Sakaue, Hiroshi Shinaoka, Rihito Sakurai
Tensor cross interpolation (TCI) is a powerful technique for learning a tensor train (TT) by adaptively sampling a target tensor based on an interpolation formula. However, when th…
Learning parameter dependence for Fourier-based option pricing with tensor trains
Rihito Sakurai, Haruto Takahashi, Koichi Miyamoto
A long-standing issue in mathematical finance is the speed-up of option pricing, especially for multi-asset options. A recent study has proposed to use tensor train learning algori…
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…