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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

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

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

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

Let’s fix it : fixed- asymptotics versus small- asymptotics in heteroskedasticity and autocorrelation robust inference

Sun, Yixiao - In: Journal of econometrics 178 (2014) 1, pp. 659-677

Persistent link: https://www.econbiz.de/10010257366

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

The heat-kernel most-likely-path approximation

Gatheral, Jim; Wang, Tai-Ho - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18

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Effective asymptotics analysis for finance

Grunspan, Cyril; Van der Hoeven, Joris - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-23

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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

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Asymptotic expansion of risk-neutral pricing density

Mazzoni, Thomas - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-26

A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary. The resulting asymptotic Kolmogorov-backward-equation is...

Persistent link: https://www.econbiz.de/10011857274