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On nonexistence of reconsideration-proof equilibrium with state variables

Nozawa, Wataru - In: Theory and decision : an international journal for … 85 (2018) 2, pp. 253-273

Persistent link: https://www.econbiz.de/10012031181

A mean field game approach to equilibrium pricing with market clearing condition

Fujii, Masaaki; Takahashi, Akihiko - 2020 - Revised in October 2020

Persistent link: https://www.econbiz.de/10012888511

A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment

Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2023

Persistent link: https://www.econbiz.de/10014438155

Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium

Fujii, Masaaki; Takahashi, Akihiko - 2021

We study an equilibrium-based continuous asset pricing problem for the securities market. In the previous work [16], we have shown that a certain price process, which is given by the solution to a forward backward stochastic differential equation of conditional McKean-Vlasov type, asymptotically...

Persistent link: https://www.econbiz.de/10013215597

Pricing multiasset cross-currency options

Shiraya, Kenichiro; Takahashi, Akihiko - In: The journal of futures markets 34 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010254960

Asymptotic expansion approaches in finance : applications to currency options

Takahashi, Akihiko; Takehara, Kohta - In: Finance and banking developments, (pp. 185-232). 2010

Persistent link: https://www.econbiz.de/10008860427

A hybrid asymptotic expansion scheme : an application to long-term currency options

Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221

Persistent link: https://www.econbiz.de/10008906179

Application of a high-order asymptotic expansion scheme to long-term currency options

Takehara, Kohta; Toda, Masashi; Takahashi, Akihiko - In: The international journal of business and finance … 5 (2011) 3, pp. 87-99

Persistent link: https://www.econbiz.de/10008809193

An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates

Takahashi, Akihiko; Takehara, Kohta - In: Asia-Pacific financial markets 14 (2007) 1/2, pp. 69-121

Persistent link: https://www.econbiz.de/10003609535

Rebalancing static super-replications

Takahashi, Akihiko; Tsuzuki, Yukihiro - In: International journal of financial engineering 4 (2017) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011673107