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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

A new hedge fund replication method with the dynamic optimal portfolio

Takahashi, Akihiko; Yamamoto, Kyo - In: Global journal of business research : GJBR 4 (2010) 4, pp. 23-34

Persistent link: https://www.econbiz.de/10008807875

Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio : An Application to Hedge Fund Replication

Takahashi, Akihiko - 2013

This paper provides a new method to construct a dynamic optimal portfolio for asset management. This method generates a target payoff distribution using the cheapest dynamic trading strategy. As a practical example, the method is applied to hedge fund replication. This dynamic portfolio strategy...

Persistent link: https://www.econbiz.de/10013095841

An asymptotic expansion approach to pricing financial contingent claims

Takahashi, Akihiko - In: Asia-Pacific financial markets 6 (1999) 2, pp. 115-151

Persistent link: https://www.econbiz.de/10001449307

An FBSDE approach to American option pricing with an interacting particle method

Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 239-260

Persistent link: https://www.econbiz.de/10011524808

Optimal room charge and expected sales under discrete choice models with limited capacity

Saito, Taiga; Takahashi, Akihiko; Tsuda, Hiroshi - In: International journal of hospitality management 57 (2016), pp. 116-131

Persistent link: https://www.econbiz.de/10011581301

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

Style analysis with particle filtering and generalized simulated annealing

Fukui, Takaya; Sato, Seisho; Takahashi, Akihiko - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29

Persistent link: https://www.econbiz.de/10011778283

The asymptotic expansion approach to the valuation of interest rate contingent claims

Kunitomo, Naoto; Takahashi, Akihiko - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 117-151

Persistent link: https://www.econbiz.de/10001650922

A variable reduction technique for pricing average-rate options

He, Hua; Takahashi, Akihiko - In: International review of finance 1 (2000) 2, pp. 123-142

Persistent link: https://www.econbiz.de/10001666865