This paper presents a new computational scheme for an asymptotic expansion method of an arbitrary order. The asymptotic expansion method in finance initiated by Kunitomo and Takahashi (1992), Yoshida (1992b) and Takahashi (1995, 1999) is a widely applicable methodology for an analytic...

This paper presents an extension of a general computational scheme for asymptotic expansions proposed in earlier works by the authors and coworkers. In the earlier works, a new method was developed for the computation of an arbitrary-order expansion with a normal benchmark distribution in a...

This paper develops a Fourier transform method with an asymptotic expansion approach for option pricing. The method is applied to European currency options with a libor market model of interest rates and jump-diffusion stochastic volatility models of spot exchange rates. In particular, we derive...

<i>Recent Advances in Financial Engineering 2012</i> is the Proceedings of the International Workshop on Finance 2012, which was held at the University of Tokyo on October 30 and 31, 2012. This workshop was organized by the Center for Advanced Research in Finance (CARF), Graduate School of Economics,...

This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in pricing barrier options with...

This paper provides a new method for constructing a dynamic optimal portfolio for asset management. This method generates a target payoff distribution using the cheapest dynamic trading strategy. As a practical example, the method is applied to hedge fund replication. This dynamic portfolio...

The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift processes can only be inferred through the observation of asset or index processes. Although most of the literature treats the MVH problem by the duality method, here we study an equivalent system...