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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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Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro; Takahashi, Akihiko - In: Mathematics of operations research 44 (2019) 1, pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
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An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
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A new improvement scheme for approximation methods of probability density functions
Takahashi, Akihiko; Tsuzuki, Yukihiro - In: The journal of computational finance 19 (2016) 4, pp. 73-94
Persistent link: https://www.econbiz.de/10011603189
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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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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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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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An asymptotic expansion of forward-backward SDEs with a perturbed driver
Takahashi, Akihiko; Yamada, Toshihiro - In: International journal of financial engineering 2 (2015) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10011333428
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On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko; Yamada, Toshihiro - In: Mathematics of operations research 40 (2015) 3, pp. 513-541
Persistent link: https://www.econbiz.de/10011338705
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The asymptotic expansion approach to the valuation of interest rate contingent claims
Kunitomo, Naoto; Takahashi, Akihiko - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 117-151
Persistent link: https://www.econbiz.de/10001650922