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~person:"Takahashi, Akihiko"
~subject:"Forward-backward stochastic differential equations (FBSDEs)"
~subject:"Stochastischer Prozess"
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Forward-backward stochastic differential equations (FBSDEs)
Stochastischer Prozess
Option pricing theory
7
Optionspreistheorie
7
Stochastic process
7
Volatility
7
Volatilität
7
Asymptotic expansion
5
Malliavin calculus
5
Stochastic volatility
5
Experiment
4
Black-Scholes model
2
Black-Scholes-Modell
2
CEV model
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Currency option
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Devisenoption
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Estimation theory
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SABR model
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Schätztheorie
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Stochastische Volatilität
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approximation formula
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λ-SABR model
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Analysis
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Approximation accuracy
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Kusuoka-Stroock functions
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Takahashi, Akihiko
Mumtaz, Haroon
24
Escobar, Marcos
18
Clark, Todd E.
17
McAleer, Michael
17
Asai, Manabu
16
Chan, Joshua
16
Rodriguez, Gabriel
16
Koopman, Siem Jan
15
Carriero, Andrea
14
Marcellino, Massimiliano
14
Bos, Charles S.
13
Cui, Zhenyu
11
Shin, Minchul
11
Tauchen, George Eugene
11
Todorov, Viktor
11
Theodoridis, Konstantinos
10
Alòs, Elisa
8
Branger, Nicole
8
Huber, Florian
8
Karlsson, Sune
8
Martin, Gael M.
8
Mertens, Elmar
8
Nguyen, Duy
8
Poon, Aubrey
8
Österholm, Pär
8
Chiarella, Carl
7
Cross, Jamie
7
Koop, Gary
7
Platen, Eckhard
7
Schorfheide, Frank
7
Vives, Josep
7
Zhang, Bo
7
Diebold, Francis X.
6
Fabozzi, Frank J.
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Filipović, Damir
6
Gnoatto, Alessandro
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International journal of theoretical and applied finance
3
Mathematics of operations research
2
Asia-Pacific financial markets
1
The journal of futures markets
1
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1
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
Saved in:
2
Pricing multiasset cross-currency options
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
The journal of futures markets
34
(
2014
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010254960
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
Saved in:
7
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
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