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~person:"Takahashi, Akihiko"
~subject:"Konferenz"
~subject:"Volatilität"
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Konferenz
Volatilität
Stochastic process
41
Stochastischer Prozess
41
Option pricing theory
27
Optionspreistheorie
27
Volatility
17
Asymptotic expansion
14
Theorie
12
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12
Malliavin calculus
11
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Takahashi, Akihiko
McAleer, Michael
69
Asai, Manabu
40
Koopman, Siem Jan
38
Todorov, Viktor
34
Chan, Joshua
33
Cui, Zhenyu
33
Chiarella, Carl
29
Clark, Todd E.
25
Mumtaz, Haroon
25
Escobar, Marcos
24
Barndorff-Nielsen, Ole E.
23
Shephard, Neil G.
23
Tauchen, George Eugene
23
Bos, Charles S.
21
Fouque, Jean-Pierre
21
Lee, Cheng F.
21
Andersen, Torben
20
Carriero, Andrea
19
Nguyen, Duy
19
Yu, Jun
19
Marcellino, Massimiliano
18
Alòs, Elisa
17
Hafner, Christian M.
17
Martin, Gael M.
17
Platen, Eckhard
17
Adelson, Mark
16
Allen, Joseph A.
16
Kang, Boda
16
Renò, Roberto
16
Rodriguez, Gabriel
16
Wong, Hoi Ying
16
Branger, Nicole
15
Chan, Joshua C. C.
15
Grasselli, Martino
15
Jacquier, Antoine (Jack)
15
Benth, Fred Espen
14
Caporin, Massimiliano
14
Carr, Peter
14
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International journal of theoretical and applied finance
4
Asia-Pacific financial markets
2
Mathematics of operations research
2
CARF Working Paper Series
1
European journal of operational research : EJOR
1
The journal of computational finance
1
The journal of futures markets
1
The quarterly journal of finance
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ECONIS (ZBW)
17
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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
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:
3
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
Saved in:
4
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:
5
Pricing barrier and average options in a stochastic volatility environment
Shiraya, Kenichiro
;
Takahashi, Akihiko
;
Toda, Masashi
- In:
The journal of computational finance
15
(
2011/12
)
2
,
pp. 111-148
Persistent link: https://www.econbiz.de/10009424800
Saved in:
6
Pricing discrete barrier options under stochastic volatility
Shiraya, Kenichiro
;
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
19
(
2012
)
3
,
pp. 205-232
Persistent link: https://www.econbiz.de/10009660697
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:
8
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:
9
Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
10
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:
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