This paper derives a new semi closed-form approximation formula for pricing an up-and-out barrier option under a certain type of stochastic volatility model including SABR model by applying a rigorous asymptotic expansion method developed by Kato, Takahashi and Yamada (2012). We also demonstrate...

This paper introduces a new approximation scheme for solving high-dimensional semilinear partial differential equations (PDEs) and backward stochastic differential equations (BSDEs). First, we decompose a target semilinear PDE (BSDE) into two parts, namely "dominant" linear and "small" nonlinear...

This paper proposes a new fuzzy logic (FL)-based expert system with particle filtering and anomaly detection to create high-performance investment portfolios. In particular, our FL system selects a portfolio with fine risk-return profiles from a number of candidates by integrating multilateral...

This paper proposes a unified approach to creating investment strategies with various desirable properties for investors.Particularly, we provide a new interpretation and the resulting formulations for state space models to attain our investment objectives, which are possibly specified as...

This paper proposes a novel scheme for achieving high investment performances with Mean-Variance (MV) portfolios. As is well-known, MV portfolio performances largely depend on the quality of estimates of parameters, namely expected returns and covariance matrices. Particularly, easily...