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Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304
Persistent link: https://www.econbiz.de/10011524810
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Price impacts of imperfect collateralization
Shiraya, Kenichiro; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10011532751
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Term structure models during the global financial crisis: a parsimonious text mining approach
Nishimura, Kiyohiko G.; Sato, Seisho; Takahashi, Akihiko - In: Asia-Pacific financial markets 26 (2019) 3, pp. 297-337
Persistent link: https://www.econbiz.de/10012309663
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A general framework for the benchmark pricing in a fully collateralized market
Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10011587747
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On the effect of bank of Japan's outright purchase on the JGB yield curve
Nakano, Masafumi; Takahashi, Akihiko; Takahashi, Soichiro; … - In: Asia-Pacific financial markets 25 (2018) 1, pp. 47-70
Persistent link: https://www.econbiz.de/10012032982
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ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
FUJII, MASAAKI; TAKAHASHI, AKIHIKO - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250034-1
In this work, we have presented a simple analytical approximation scheme for generic non-linear FBSDEs. By treating the interested system as the linear decoupled FBSDE perturbed with non-linear generator and feedback terms, we have shown that it is possible to carry out a recursive approximation...
Persistent link: https://www.econbiz.de/10010562368