Similar Search Results

ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME

FUJII, MASAAKI; TAKAHASHI, AKIHIKO - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250034-1

In this work, we have presented a simple analytical approximation scheme for generic non-linear FBSDEs. By treating the interested system as the linear decoupled FBSDE perturbed with non-linear generator and feedback terms, we have shown that it is possible to carry out a recursive approximation...

Persistent link: https://www.econbiz.de/10010562368

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

A new improvement scheme for approximation methods of probability density functions

Takahashi, Akihiko; Tsuzuki, Yukihiro - In: The journal of computational finance 19 (2016) 4, pp. 73-94

Persistent link: https://www.econbiz.de/10011603189

A general framework for the benchmark pricing in a fully collateralized market

Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10011587747

Price impacts of imperfect collateralization

Shiraya, Kenichiro; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10011532751

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

Efficient static replication of European options under exponential Lévy models

Takahashi, Akihiko; Yamazaki, Akira - In: The journal of futures markets 29 (2009) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10003826604

A new scheme for static hedging of European derivatives under stochastic volatility models

Takahashi, Akihiko; Yamazaki, Akira - In: The journal of futures markets 29 (2009) 5, pp. 397-413

Persistent link: https://www.econbiz.de/10003827763

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

Analytical approximation for non-linear FBSDEs with perturbation scheme

Fujii, Masaaki; Takahashi, Akihiko - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10009672609