確率微分方程式のカオス展開による近似解法 -適当な参考文献。 The asymptotic error of chaos expansion approximations for stochastic differential equations https://arxiv.org/abs/1906.01209 Dynamical Polynomial Chaos Expansions and Long Time Evolution of Differential Equations with Random Forcing https://arxiv.org/abs/1505.00047 Wiener Chaos Expansion and Numerical Solutions of Stochastic Partial Differential Equations https://thesis.library.caltech.e
実務で使える金融工学 上級編 ： Local Volatility Model と Stochastic Volatility Model
実務で使える金融工学 上級編：Libor Market Model
