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~person:"Grasselli, Martino"
~person:"Takahashi, Akihiko"
~subject:"Konferenz"
~subject:"Volatilität"
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Konferenz
Volatilität
Stochastic process
65
Stochastischer Prozess
65
Option pricing theory
41
Optionspreistheorie
41
Volatility
32
Theorie
22
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22
Asymptotic expansion
14
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12
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Grasselli, Martino
Takahashi, Akihiko
McAleer, Michael
69
Asai, Manabu
40
Koopman, Siem Jan
38
Chan, Joshua
34
Todorov, Viktor
34
Cui, Zhenyu
33
Chiarella, Carl
29
Clark, Todd E.
25
Mumtaz, Haroon
25
Escobar, Marcos
24
Lee, Cheng F.
24
Barndorff-Nielsen, Ole E.
23
Shephard, Neil G.
23
Tauchen, George Eugene
23
Bos, Charles S.
21
Fouque, Jean-Pierre
21
Andersen, Torben
20
Carriero, Andrea
19
Nguyen, Duy
19
Yu, Jun
19
Alòs, Elisa
18
Marcellino, Massimiliano
18
Platen, Eckhard
18
Hafner, Christian M.
17
Martin, Gael M.
17
Renò, Roberto
17
Rodriguez, Gabriel
17
Adelson, Mark
16
Allen, Joseph A.
16
Kang, Boda
16
Wong, Hoi Ying
16
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15
Chan, Joshua C. C.
15
Jacquier, Antoine (Jack)
15
Benth, Fred Espen
14
Caporin, Massimiliano
14
Carr, Peter
14
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14
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International journal of theoretical and applied finance
5
Asia-Pacific financial markets
2
Decisions in economics and finance : a journal of applied mathematics
2
Mathematics of operations research
2
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
2
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1
CARF Working Paper Series
1
European journal of operational research : EJOR
1
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1
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1
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ECONIS (ZBW)
32
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1
Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
2
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
Saved in:
3
Hedging (co)variance risk with variance swaps
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Saved in:
4
Pricing barrier and average options in a stochastic volatility environment
Shiraya, Kenichiro
;
Takahashi, Akihiko
;
Toda, Masashi
- In:
The journal of computational finance
15
(
2011/12
)
2
,
pp. 111-148
Persistent link: https://www.econbiz.de/10009424800
Saved in:
5
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Fonseca, José da
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Operations research letters
43
(
2015
)
6
,
pp. 601-607
Persistent link: https://www.econbiz.de/10011416324
Saved in:
6
Pricing currency derivatives under the benchmark approach
Baldeaux, Jan
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Journal of banking & finance
53
(
2015
),
pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
Saved in:
7
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
Saved in:
8
A flexible matrix Libor model with smiles
Da Foncesca, José
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Journal of economic dynamics & control
37
(
2013
)
4
,
pp. 774-793
Persistent link: https://www.econbiz.de/10009726178
Saved in:
9
Pricing discrete barrier options under stochastic volatility
Shiraya, Kenichiro
;
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
19
(
2012
)
3
,
pp. 205-232
Persistent link: https://www.econbiz.de/10009660697
Saved in:
10
Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
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