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~person:"Lee, Cheng F."
~person:"Takahashi, Akihiko"
~subject:"Black-Scholes model"
~subject:"Konferenz"
~subject:"Malliavin calculus"
~subject:"Mathematische Optimierung"
~subject:"Portfolio selection"
~subject:"Volatilität"
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Black-Scholes model
Konferenz
Malliavin calculus
Mathematische Optimierung
Portfolio selection
Volatilität
Stochastic process
45
Stochastischer Prozess
45
Option pricing theory
29
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21
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19
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50
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Lee, Cheng F.
Takahashi, Akihiko
McAleer, Michael
70
Asai, Manabu
40
Koopman, Siem Jan
39
Cui, Zhenyu
35
Escudero, Laureano F.
34
Todorov, Viktor
34
Chan, Joshua
33
Chiarella, Carl
33
Escobar, Marcos
27
Platen, Eckhard
26
Clark, Todd E.
25
Mumtaz, Haroon
25
Barndorff-Nielsen, Ole E.
23
Post, Thierry
23
Shephard, Neil G.
23
Tauchen, George Eugene
23
Fouque, Jean-Pierre
22
Bos, Charles S.
21
Gendreau, Michel
21
Andersen, Torben
20
Carriero, Andrea
19
Ferrari, Giorgio
19
Nguyen, Duy
19
Wong, Hoi Ying
19
Yu, Jun
19
Alòs, Elisa
18
Kang, Boda
18
Marcellino, Massimiliano
18
Topaloglou, Nikolas
18
Hafner, Christian M.
17
Maggioni, Francesca
17
Marti, Kurt
17
Martin, Gael M.
17
Scaillet, Olivier
17
Adelson, Mark
16
Allen, Joseph A.
16
Benth, Fred Espen
16
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16
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Conference on Pacific Basin Finance, Economics, Accounting and Management <16, 2008, Brisbane>
1
Conference on Pacific Basin Finance, Economics, Accounting and Management <17, 2009, Bangkok>
1
Conference on Pacific Basin Finance, Economics, and Accounting <13, 2005, Piscataway, NJ>
1
International Conference on Business in Asia <3, 2009, Bangkok>
1
Pacific Basin Finance Conference <11, 2003, Taipeh>
1
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Review of Pacific Basin financial markets and policies
18
CIRJE discussion papers / F series
7
International journal of theoretical and applied finance
4
Asia-Pacific financial markets
2
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2
Mathematics of operations research
2
Review of Pacific Basin financial markets and policies : RPBFMP
2
Review of quantitative finance and accounting
2
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1
European journal of operational research : EJOR
1
International journal of financial engineering
1
The journal of computational finance
1
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
R-2GAM stochastic volatility model : flexibility and calibration
Lee, Cheng F.
;
Sokolinskiy, Oleg
- In:
Review of quantitative finance and accounting
45
(
2015
)
3
,
pp. 463-483
Persistent link: https://www.econbiz.de/10011531991
Saved in:
5
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
Saved in:
6
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:
7
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:
8
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:
9
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
10
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
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