This paper proposes an asymptotic expansion scheme of currency options with a libor market model of interest rates and stochastic volatility models of spot exchange rates. In particular, we derive closed-form approximation formulas for the density functions of the underlying assets and for...

This paper studies the approximation accuracy of a singular perturbation method for option pricing up to the second order under a stochastic volatility model. First, numerical experiments confirm that the first order approximation provides sufficiently accurate option prices in a fast...

This paper develops a general approximation scheme, henceforth called a hybrid asymptotic expansion scheme for the valuation of multi-factor European path-independent derivatives. Specifically, we apply it to pricing long-term currency options under a market model of interest rates and a general...

This paper studies portfolio selection and performance analysis of hedge funds located or invested in Asia-Pacific. It investigates the characteristics of the funds' returns and recommends optimization methods to create a 'Fund-of-Funds'. The returns of the hedge funds are then decomposed into...

In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of agents are interacting through the market price. Adopting...

This is an online appendix of "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach". Particularly, we provide proofs of Propositions 1-3 and an example of FBSDEs, in which sgn(Z1); sgn(Z2) are determined by solving the FBSDEs explicitly, for Section III-B in the original...

This paper proposes a new interval type-2 fuzzy logic system (IT2 FLS) for financial investment with time-varying parameters adaptive to real-time data streams by using an on-line learning method based on a state-space framework. Particularly, our state-space approach regards parameters of IT2...

This paper proposes a framework of robust technical trading with fuzzy knowledge-based systems (KBSs). Particularly, our framework consists of two modules, i.e.:(i) a module for preparing candidate investment proposals and,(ii) a module for their evaluation to construct a well-performed...

In this study, we investigate ordering patterns of different types of market participants in Tokyo Stock Exchange (TSE) by examining order records of the listed stocks. Firstly, we categorize the virtual servers in the trading system of TSE, each of which is linked to a single trading...