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Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro; Takahashi, Akihiko - In: Mathematics of operations research 44 (2019) 1, pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
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Trading and ordering patterns of market participants in high frequency trading environment : empirical study in the Japanese stock market
Saito, Taiga; Adachi, Takanori; Nakatsuma, Teruo; … - In: Asia-Pacific financial markets 25 (2018) 3, pp. 179-220
Persistent link: https://www.econbiz.de/10012033008
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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
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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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Multi-agent equilibrium model with heterogeneous views on fundamental risks in incomplete market
Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2024
Persistent link: https://www.econbiz.de/10014513437
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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
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A dynamic analysis of the bank of Japan’s ETF/REIT purchase program
Mita, Daiya; Nishimura, Kiyohiko; Saito, Taiga; … - 2023
Persistent link: https://www.econbiz.de/10014383904
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A state space modeling for proactive management in equity investment
Takahashi, Akihiko; Takahashi, Soichiro - In: International journal of financial engineering 9 (2022) 4, pp. 1-29
Persistent link: https://www.econbiz.de/10014234372
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A mean field game approach to equilibrium pricing with market clearing condition
Fujii, Masaaki; Takahashi, Akihiko - 2021
Persistent link: https://www.econbiz.de/10013339050
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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