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~subject:"Malliavin calculus"
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Malliavin calculus
Option pricing theory
77
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55
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Takahashi, Akihiko
15
Yamada, Toshihiro
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Naito, Riu
2
Takehara, Kohta
2
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1
Saito, Taiga
1
Shiraya, Kenichiro
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CIRJE discussion papers / F series
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Asia-Pacific Financial Markets
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International Journal of Theoretical and Applied Finance (IJTAF)
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Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
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ECONIS (ZBW)
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A remark on approximation of the solutions to partial differential equations in finance
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Recent advances in financial engineering 2011: …
,
(pp. 133-181)
.
2012
Persistent link: https://www.econbiz.de/10009573432
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2
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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3
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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4
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:
5
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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6
New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko
;
Yamada, Toshihiro
-
2023
-
This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014383870
Saved in:
7
Deep Asymptotic Expansion : Application to Financial Mathematics
Iguchi, Yuga
;
Naito, Riu
;
Takahashi, Akihiko
;
Yamada, …
-
2021
-
Revised in February 2022
Persistent link: https://www.econbiz.de/10013339086
Saved in:
8
Portfolio optimization with choice of a probability measure
Saito, Taiga
;
Takahashi, Akihiko
-
2020
-
Revised in December 2021 and March 2022
Persistent link: https://www.econbiz.de/10013336334
Saved in:
9
Asymptotic expansion and deep neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with nonlinear coeffi...
Takahashi, Akihiko
;
Yamada, Toshihiro
-
2021
Persistent link: https://www.econbiz.de/10013336341
Saved in:
10
Deep asymptotic expansion with weak approximation
Iguchi, Yuga
;
Naito, Riu
;
Okano, Yusuke
;
Yamada, Toshihiro
-
2021
-
Revised in August 2021
Persistent link: https://www.econbiz.de/10013336343
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