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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

Deep asymptotic expansion : application to financial mathematics

Iguchi, Yuga; Naito, Riu; Okano, Yusuke; Takahashi, Akihiko - 2021 - First version: 1 November, 2021

Persistent link: https://www.econbiz.de/10012813594

Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus

Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: May 9, 2023

Persistent link: https://www.econbiz.de/10014289121

Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus

Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version : May 9, 2023

Persistent link: https://www.econbiz.de/10014266288

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 Asymptotic Expansion for Forward-Backward SDEs : A Malliavin Calculus Approach

Takahashi, Akihiko - 2016

This paper proposes a new analytical approximation scheme for the representation of the forward- backward stochastic differential equations (FBSDEs) of Ma and Zhang (2002). In particular, we obtain an error estimate for the scheme applying Malliavin calculus method for the forward SDEs combined...

Persistent link: https://www.econbiz.de/10013007919

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

Asymptotic expansion approaches in finance : applications to currency options

Takahashi, Akihiko; Takehara, Kohta - In: Finance and banking developments, (pp. 185-232). 2010

Persistent link: https://www.econbiz.de/10008860427

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

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