Similar Search Results

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

Asymptotic expansion and deep neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with nonlinear coefficients

Takahashi, Akihiko; Yamada, Toshihiro - 2022

Persistent link: https://www.econbiz.de/10014266218

Pricing Discrete Barrier Options Under Stochastic Volatility

Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific Financial Markets 19 (2012) 3, pp. 205-232

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...

Persistent link: https://www.econbiz.de/10010989079

A new interval type-2 fuzzy logic system under dynamic environment : application to financial investment

Takahashi, Akihiko; Takahashi, Soichiro - 2020

Persistent link: https://www.econbiz.de/10012888516

A dynamic analysis of the bank of Japan’s ETF/REIT purchase program

Mita, Daiya; Nishimura, Kiyohiko; Saito, Taiga; … - 2023

Persistent link: https://www.econbiz.de/10014383904

An FBSDE approach to American option pricing with an interacting particle method

Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 239-260

Persistent link: https://www.econbiz.de/10011524808

Perturbative expansion technique for non-linear FBSDEs with interacting particle method

Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304

Persistent link: https://www.econbiz.de/10011524810

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

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

Optimal room charge and expected sales under discrete choice models with limited capacity

Saito, Taiga; Takahashi, Akihiko; Tsuda, Hiroshi - In: International journal of hospitality management 57 (2016), pp. 116-131

Persistent link: https://www.econbiz.de/10011581301