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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

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

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

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

Analytical approximation for non-linear FBSDEs with perturbation scheme

Fujii, Masaaki; Takahashi, Akihiko - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10009672609

Pertubative expansion of FBSDE in an incomplete market with stochastic volatility

Fujii, Masaaki; Takahashi, Akihiko - In: The quarterly journal of finance 2 (2012) 3, pp. 1501-1524

Persistent link: https://www.econbiz.de/10009679953

Hedging European derivatives with the polynomial variance swap under uncertain volatility environments

Takahashi, Akihiko; Tsuzuki, Yukihiro; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 485-505

Persistent link: https://www.econbiz.de/10009269373

Efficient static replication of European options under exponential Lévy models

Takahashi, Akihiko; Yamazaki, Akira - In: The journal of futures markets 29 (2009) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10003826604

A new scheme for static hedging of European derivatives under stochastic volatility models

Takahashi, Akihiko; Yamazaki, Akira - In: The journal of futures markets 29 (2009) 5, pp. 397-413

Persistent link: https://www.econbiz.de/10003827763

Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA

Fujii, Masaaki - 2011

The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric and imperfect collateralization with the...

Persistent link: https://www.econbiz.de/10013131969