Takahashi Akihiko 高橋明彦

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TAKAHASHI Akihiko 高橋明彦

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Researcher Number	50313226
External Links
Affiliation (Current)	2025: 東京大学, 大学院経済学研究科(経済学部), 教授
Affiliation (based on the past Project Information) *help	2015: 東京大学, 大学院経済学研究科, 教授 2013 – 2015: 東京大学, 経済学研究科(研究院), 教授 2013: 東京大学, 経済学部, 教授 2007 – 2008: 東京大学, 大学院・経済学研究科, 教授 2005 – 2006: 東京大学, 大学院経済学研究科, 助教授 … More 2003 – 2004: The University of Tokyo, Economics, Associate Professor, 大学院・経済学研究科, 助教授 2001 – 2002: 東京大学, 大学院・数理科学研究科, 助教授 2001: 東京大学, 大学院・数理学研究科, 助教授 1999: GARADUATE SCHOOL OF MATHEMATICAL SCIENCE, THE UNIVERSITY OF TOKYO, ASSOCIATE PROFESSOR, 大学院・数理科学研究科, 助教授 Less
Review Section/Research Field	Principal Investigator 社会システム工学 / Money/ Finance Except Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / Public finance/Monetary economics / General mathematics (including Probability theory/Statistical mathematics)
Keywords	Principal Investigator 漸近展開 / Portfolio / Derivatives / Finance / Financial Engineering / Numerical Method / Mathematical Finance / Malliavin Calculus / Asymptotic Expansion / 確率数値解析 … More / オプション / 最適ポートフォリオ / 金融経済学 / 数値解析 / マリアヴァン解析 / デリバティヴ / 金融経済 / ポートフォリオ / デリバティブ / ファイナンス / 金融工学 / 数値計算 / 数理ファイナンス / マリアバン解析 / デリバティブの優劣複製 / 信用リスク調整(CVA) / 為替介入 / 後ろ向き確率微分方程式 / static super-replication / カウンターパーティーリスク / マーケットインパクト / カウンターパーティリスク / コラテラル / ジャンプモデル / 確率ボラティリティモデル / 後ろ向き確率微分方程式(BSDE) / 確率微分方程式(SDE,FSDE) … More Except Principal Investigator 数値計算 / リー環 / 数理ファイナンス / 拡散過程 / デリバティブ / マリアバン解析 / リスク尺度 / Runge-KUtta Method / Stochastic Differential Equations / Free Lie Algebra / Malliavin Calculus / Numerical Analysis / Risk measures / Derivatives / Mathematical Finance / 特性関数 / 加法過程 / ヨーロピアンオプション / アメリカンオプション / モンテカルロ法 / ルンゲ・クッタ / フィルトレーション / 連続極限 / 多期間モデル / 法則不変 / リスク / ファイナンス / 数値解析 / 生命保険 / アクチュアリー / ルンゲ・クッタ法 / 確率微分方程式 / 自由リー環 / diffusion model / mathematical finance / default risk / interest rate model / floating interest rate / 確率偏微分方程 / 確率変動 / ハザードレート / クレジットデリバティブ / 変動金利モデル / デリバディブ / 確率テイラー展開 / マリアバン・カリキュラス / 確率解析 / ハザード率 / 確率偏微分方程式 / 拡散モデル / デフォルトリスク / 金利モデル / 変動金利 / パフォーマンス評価指標 / 尖度 / 歪度 / プロスペクト・レシオ / 行動ファイナンス / 高次モーメント / 法則不変性 / ディリクレ境界条件 / 吸収壁 / 保険 / 法則普遍性 / バリューアトリスク / リスクの計量化 / 積分の変数変換公式 / 株式価値の希薄化 / フアツトテイル / 独立変数の和 / 中心極限定理 / オペレーショナルリスク / 市場リスク / 独立同分布 / 漸近展開 / 楠岡近似 / 転換社債 / CTE / 数値数学 / ファイナンス、リスクの計量化 / 確率論 Less

Research on Derivatives Pricing and Risk Management after Financial CrisisPrincipal Investigator
- Principal Investigator
  
  TAKAHASHI Akihiko
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  The University of Tokyo
Development of New Performance Measurements considered of Higher Order Moments
- Principal Investigator
  
  WATANABE Yasuaki
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Kinki University
  Kochi University of Technology
Research on multi-period Value Measure and Finance-Actuary
- Principal Investigator
  
  KUSUOKA Shigeo
- Project Period (FY)
  2005 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  The University of Tokyo
RESEARCH on PRICING DERIVATIVES BASED ON RISK MEASURES
- Principal Investigator
  
  KUSUOKA Shigeo
- Project Period (FY)
  2001 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  THE UNIVERSITY OF TOKYO
An Asymptotic Expansion Approach to Numerical Problems in FinancePrincipal Investigator
- Principal Investigator
  
  TAKAHASHI Akihiko
- Project Period (FY)
  2001 – 2003
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  社会システム工学
- Research Institution
  The University of Tokyo
Stochastic Model of Floating Interest rate and positive research
- Principal Investigator
  
  KUSUOKA Shigeo
- Project Period (FY)
  1997 – 1999
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  ATHE UNIVERSITY OF TOKYO

All 2016 2015 2014 2013 2004 2003 2001 Other

All Journal Article Presentation Book

[Book] "Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model" in Commodities2015
- Author(s)
  Kenichiro Shiraya, Akihiko Takahashi
- Publisher
  Chapman and Hall/CRC
- Data Source
  KAKENHI-PROJECT-25380389
[Book] "Asymptotic Expansion Approach in Finance" in Large Deviations and Asymptotic Methods in Finance2015
- Author(s)
  Akihiko Takahashi
- Publisher
  Springer
- Data Source
  KAKENHI-PROJECT-25380389
[Book] Toyo-Keizai (in Japanse)2003
- Author(s)
  Kunitomo, N., Takahashi, A.
- Publisher
  "Foundation of Mathematical Finance-Application of Malliavin Calculus and Asymptotic Expansion Method-,"
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Book] 数理ファイナンスの基礎・マリアバン解析と漸近展開の応用2003
- Author(s)
  高橋明彦, 国友直人
- Total Pages
  273
- Publisher
  東洋経済新報社
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] A New Improvement Scheme for Approximation Methods of Probability Density Functions2016
- Author(s)
  Akihiko Takahashi, Yukihiro Tsuzuki
- Journal Title
  
  Journal of Computational Finance
  
  Volume: 19-4 Pages: 73-94
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] An Approximation Formula for Basket Option Prices under Local Stochastic Volatility with Jumps: an Application to Commodity Markets2016
- Author(s)
  Kenichiro Shiraya, Akihiko Takahashi
- Journal Title
  
  Journal of Computational and Applied Mathematics
  
  Volume: 292-15 Pages: 230-256
- DOI
  10.1016/j.cam.2015.06.027
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] A weak approximation with asymptotic expansion and multidimensional Malliavin weights2016
- Author(s)
  Akihiko Takahashi and Toshihiro Yamada
- Journal Title
  
  The Annals of Applied Probability
  
  Volume: 26 Issue: 2 Pages: 818-856
- DOI
  10.1214/15-aap1105
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-24243031, KAKENHI-PROJECT-25380389
[Journal Article] A General Framework for the Benchmark pricing in a Fully Collateralized Market2016
- Author(s)
  Masaaki Fujii, Akihiko Takahashi
- Journal Title
  
  International Journal of Financial Engineering
  
  Volume: ---
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models2016
- Author(s)
  Kenichiro Shiraya, Akihiko Takahashi
- Journal Title
  
  Stochastics: An International Journal of Probability and Stochastic Processes
  
  Volume: Published online Issue: 1 Pages: 1-24
- DOI
  10.1080/17442508.2015.1136630
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] Price Impacts of Imperfect Collateralization2015
- Author(s)
  Kenichiro Shiraya, Akihiko Takahashi
- Journal Title
  
  International Journal of Financial Engineering
  
  Volume: ---
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method2015
- Author(s)
  Masaaki Fujii, Akihiko Takahashi
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: － Issue: 3 Pages: 283-304
- DOI
  10.1007/s10690-015-9201-7
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows2015
- Author(s)
  Masaaki Fujii, Akihiko Takahashi
- Journal Title
  
  Quantitative Finance
  
  Volume: 15-3 Issue: 3 Pages: 535-551
- DOI
  10.1080/14697688.2014.950320
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] An asymptotic expansion of forward-backward SDEs with a perturbed driver2015
- Author(s)
  Akihiko Takahashi and Toshihiro Yamada
- Journal Title
  
  Journal of Financial Engineering
  
  Volume: 2 Issue: 02 Pages: 1-29
- DOI
  10.1142/s2424786315500206
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24243031, KAKENHI-PROJECT-25380389
[Journal Article] On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model2014
- Author(s)
  Akihiko Takahashi, Toshihiro Yamada
- Journal Title
  
  Mathematics of Operations Research
  
  Volume: 40 Issue: 3 Pages: 513-541
- DOI
  10.1287/moor.2014.0683
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] Making Mean-Variance Hedging Implementable in a Partially Observable Market2014
- Author(s)
  Masaaki Fujii, Akihiko Takahashi
- Journal Title
  
  Quantitative Finance
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] Pricing Multi-Asset Cross Currency Options2014
- Author(s)
  Kenichiro Shiraya, Akihiko Takahashi
- Journal Title
  
  Journal of Futures Markets
  
  Volume: Volume 34, Issue 1 Issue: 1 Pages: 1-19
- DOI
  10.1002/fut.21590
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] Making mean-variance hedging implementable in a partially observable market2014
- Author(s)
  Masaaki Fujii, Akihiko Takahashi
- Journal Title
  
  Quantitative Finance
  
  Volume: 14 Issue: 10 Pages: 1709-1724
- DOI
  10.1080/14697688.2013.867453
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] A Semigroup Expansion for Pricing Barrier Options2014
- Author(s)
  Takashi Kato, Akihiko Takahashi, Toshihiro Yamada
- Journal Title
  
  International Journal of Stochastic Analysis
  
  Volume: 2014 Pages: 1-15
- DOI
  10.1155/2014/268086
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] An FBSDE Approach to American Option Pricing with an Interacting Particle Method2014
- Author(s)
  Masaaki Fujii, Seisho Sato, Akihiko Takahashi
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: － Issue: 3 Pages: 239-260
- DOI
  10.1007/s10690-014-9195-6
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] Derivative Pricing under Asymmetric and Imperfect Collateralization, and CVA2013
- Author(s)
  Masaaki Fujii, Akihiko Takahashi
- Journal Title
  
  Quantitative Finance
  
  Volume: Vol. 13, No.5 Issue: 5 Pages: 749-768
- DOI
  10.1080/14697688.2012.738931
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] Note on an Extension of an Asymptotic Expansion Scheme2013
- Author(s)
  Akihiko Takahashi, Masashi Toda
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: Volume.16, issue.05 Issue: 05 Pages: 1-23
- DOI
  10.1142/s0219024913500313
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model2013
- Author(s)
  Takashi Kato, Akihiko Takahashi, Toshihiro Yamada
- Journal Title
  
  JSIAM Letters
  
  Volume: Vol. 5 Pages: 17-20
- NAID
  130003371114
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication2013
- Author(s)
  Akihiko Takahashi, Kyo Yamamoto
- Journal Title
  
  Quantitative Finance
  
  Volume: Volume.13, Issue.10 Issue: 10 Pages: 1559-1573
- DOI
  10.1080/14697688.2013.779014
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380389
[Journal Article] "Monte Carlo Simulation with Asymptotic Method in HJM Framework,"2004
- Author(s)
  Takahashi, A., Matsushima, S.
- Journal Title
  
  forthcoming in Annual Research Report, Financial Services Agency
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] An Asymptotic Expansion Scheme for Optimal Investment Problems2004
- Author(s)
  Takahashi Akihiko
- Journal Title
  
  Statist.Infer.Stochast.Process 7
  
  Pages: 153-188
- Data Source
  KAKENHI-PROJECT-13440029
[Journal Article] "An Asymptotic Expansion Scheme for Optimal Investment Problems"2003
- Author(s)
  Takahashi, A., Yoshida, N.
- Journal Title
  
  The University of Tokyo, (http://www.e.u-tokyo.ac.jp/cirje/research/dp/2003) forthcoming in Statistical Inference for Stochastic Processes. CIRJE-F-248
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] On Validity of the Asymptotic Expansion Approach in Contingent Claim Analysis2003
- Author(s)
  Akihiko Takahashi, Naoto Kunitomo
- Journal Title
  
  Annals of Applied Probability 13
  
  Pages: 914-952
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] "Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems"2003
- Author(s)
  Kunitomo, N., Takahashi, A.
- Journal Title
  
  The University of Tokyo, (http://www.e.u-tokyo.ac.jp/cirje/research/dp/2003) forthcoming in Stochastic Processes and Applications to Mathematical Finance, World Scientific. CIRJE-F-245
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] "On Validity of the Asymptotic Expansion Approach in Contingent Claim Analysis"2003
- Author(s)
  Kunitomo, N., Takahashi, A.
- Journal Title
  
  Annals of Applied Probability Vol.13, No.3
  
  Pages: 914-952
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] 漸近展開を用いたアメリカン・オプションの評価法2003
- Author(s)
  高橋明彦, 斉藤大河
- Journal Title
  
  金融研究 22
  
  Pages: 35-87
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] "The Asymptotic Expansion Approach with Monte Carlo Simulation with Asymptotic Method"2003
- Author(s)
  Takahashi, A., Yoshida, N.
- Journal Title
  
  Preprint, The University of Tokyo, (http://www.e.u-tokyo.ac.jp/cirje/research/dp/2003) CIRJE-F-249
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] "Dynamic Optimality of Yield Curve Strategies"2001
- Author(s)
  Kobayashi, T., Takahashi, A., Tokioka, N.
- Journal Title
  
  The University of Tokyo, (http://www.e.u-tokyo.ac.jp/cirje/research/dp/2001) CIRJE-F-141
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems
- Author(s)
  Akihiko Takahashi, Naoto Kunitomo
- Journal Title
  
  Stochastic Processes and Applications to Mathematical Finance (印刷中)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] An Asymptotic Expansion Scheme for Optimal Investment Problems
- Author(s)
  Akihiko Takahashi, Nakahiro Yoshida
- Journal Title
  
  Statistical Inference for Stochastic Processes (印刷中)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] "An Asymptotic Expansion Approach to American Options,"
- Author(s)
  Takahashi, A., Saito, T.
- Journal Title
  
  Monetary and Economic Studies, Bank of Japan (in Japanese). Vol.22
  
  Pages: 35-87
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Journal Article] 漸近展開を用いたHJMモデルにおけるオプション・プライシング
- Author(s)
  高橋明彦, 松島周一郎
- Journal Title
  
  金融庁年報 (印刷中)
- NAID
  40007453849
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-13680509
[Presentation] Pricing basket options under local stochastic volatility with jumps2015
- Author(s)
  Kenichiro Shiraya ( joint work with Akihiko Takahashi)
- Organizer
  Second conference on Stochastics of Environmental and Financial Economics
- Place of Presentation
  The Norwegian Academy of Sciences and Letters, Oslo, Norway
- Year and Date
  2015-04-21
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25380389
[Presentation] An Asymptotic and Perturbative Expansion Approach in Finance2014
- Author(s)
  Akihiko Takahashi
- Organizer
  Global Derivatives Trading & Risk Management 2014
- Place of Presentation
  Amsterdam, Holland
- Year and Date
  2014-05-13
- Invited
- Data Source
  KAKENHI-PROJECT-25380389
[Presentation] Asymptotic Methods for Computational Finance2013
- Author(s)
  山田俊皓, 高橋明彦,
- Organizer
  金融工学・数理計量ファイナンスの諸問題 2013
- Place of Presentation
  大阪大学中之島センター 10階佐治敬三メモリアルホール
- Data Source
  KAKENHI-PROJECT-25380389
[Presentation] Asymptotic Expansion for FBSDEs2013
- Author(s)
  山田俊皓, 高橋明彦,
- Organizer
  NUS-UTokyo Workshop on Quantitative Finance
- Place of Presentation
  The Centre for Quantitative Finance, National University of Singapore
- Data Source
  KAKENHI-PROJECT-25380389
[Presentation] Asymptotic Expansion for FBSDEs and CVA2013
- Author(s)
  山田俊皓, 高橋明彦,
- Organizer
  第39回　2013年度夏季JAFEE大会
- Place of Presentation
  明治大学駿河台キャンパスアカデミーコモン2F大会議室
- Data Source
  KAKENHI-PROJECT-25380389
[Presentation] Forward-Backward SDEの漸近展開とCVAの計算について2013
- Author(s)
  山田俊皓, 高橋明彦,
- Organizer
  日本応用数理学会2013年度年会
- Place of Presentation
  アクロス福岡西(601会議室)
- Data Source
  KAKENHI-PROJECT-25380389

1. YOSHIDA Nakahiro (90210707)

# of Collaborated Projects: 4 results

# of Collaborated Products: 0 results
2. KUSUOKA Shigeo (00114463)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
3. WATANABE Yasuaki (70367811)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
4. SEKINE Jun (50314399)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
5. 上木直昌 (80211069)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
6. 長田博文 (20177207)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. 高橋一

# of Collaborated Projects: 0 results

# of Collaborated Products: 2 results
8. 山田俊皓

# of Collaborated Projects: 0 results

# of Collaborated Products: 2 results

Takahashi Akihiko 高橋 明彦

TAKAHASHI Akihiko 高橋 明彦

Research Projects

Research Products

Co-Researchers

Research on Derivatives Pricing and Risk Management after Financial CrisisPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Development of New Performance Measurements considered of Higher Order Moments

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Research on multi-period Value Measure and Finance-Actuary

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

RESEARCH on PRICING DERIVATIVES BASED ON RISK MEASURES

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

An Asymptotic Expansion Approach to Numerical Problems in FinancePrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Stochastic Model of Floating Interest rate and positive research

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Book] "Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model" in Commodities2015

Author(s)

Publisher

Data Source

[Book] "Asymptotic Expansion Approach in Finance" in Large Deviations and Asymptotic Methods in Finance2015

Author(s)

Publisher

Data Source

[Book] Toyo-Keizai (in Japanse)2003

Author(s)

Publisher

Description

Data Source

[Book] 数理ファイナンスの基礎・マリアバン解析と漸近展開の応用2003

Author(s)

Total Pages

Publisher

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[Journal Article] A New Improvement Scheme for Approximation Methods of Probability Density Functions2016

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[Journal Article] An Approximation Formula for Basket Option Prices under Local Stochastic Volatility with Jumps: an Application to Commodity Markets2016

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[Journal Article] A weak approximation with asymptotic expansion and multidimensional Malliavin weights2016

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[Journal Article] A General Framework for the Benchmark pricing in a Fully Collateralized Market2016

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[Journal Article] An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models2016

Author(s)

Takahashi Akihiko 高橋明彦

TAKAHASHI Akihiko 高橋明彦