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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
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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
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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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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
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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
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Pricing convertible bonds with default risk
Takahashi, Akihiko; Kobayashi, Takao; Nakagawa, Naruhisa - In: The journal of fixed income 11 (2001) 3, pp. 20-29
Persistent link: https://www.econbiz.de/10001706057
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Efficient static replication of European options under exponential Lévy models
Takahashi, Akihiko; Yamazaki, Akira - In: The journal of futures markets 29 (2009) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10003826604
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A new scheme for static hedging of European derivatives under stochastic volatility models
Takahashi, Akihiko; Yamazaki, Akira - In: The journal of futures markets 29 (2009) 5, pp. 397-413
Persistent link: https://www.econbiz.de/10003827763
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A remark on a singular perturbation method for option pricing under a stochastic volatility model
Yamamoto, Kyo; Takahashi, Akihiko - In: Asia-Pacific financial markets 16 (2009) 4, pp. 333-345
Persistent link: https://www.econbiz.de/10003933757
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Term structure of interest rates under recursive preferences in continuous time
Nakamura, Hisashi; Nakayama, Keita; Takahashi, Akihiko - In: Asia-Pacific financial markets 15 (2008) 3/4, pp. 273-305
Persistent link: https://www.econbiz.de/10003833312