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Stochastic process
Asymptotic expansion
93
Covariance matrix
80
Estimation theory
52
Schätztheorie
52
covariance matrix
52
asymptotic expansion
51
Option pricing theory
42
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Takahashi, Akihiko
20
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13
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4
Fujii, Masaaki
3
Iguchi, Yuga
2
Li, Chenxu
2
Naito, Riu
2
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2
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1
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1
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1
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International journal of theoretical and applied finance
8
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Asia-Pacific financial markets
4
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4
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International journal of financial engineering
2
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ECONIS (ZBW)
38
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Multi-asset generalized variance swaps in Barndorff-Nielsen and Shephard model
Biswas, Subhojit
;
Mukherjee, Diganta
;
SenGupta, Indranil
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-36
Persistent link: https://www.econbiz.de/10012603783
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2
Control variate method for deep BSDE solver using weak approximation
Tsuchida, Yoshifumi
- In:
Asia Pacific financial markets
30
(
2023
)
2
,
pp. 273-296
Persistent link: https://www.econbiz.de/10014342288
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3
New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko
;
Yamada, Toshihiro
-
2023
-
This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014383870
Saved in:
4
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
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5
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
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6
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
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7
Closed-form expansion, conditional expectation, and option valuation
Li, Chenxu
- In:
Mathematics of operations research
39
(
2014
)
2
,
pp. 487-516
Persistent link: https://www.econbiz.de/10010384185
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8
The heat-kernel most-likely-path approximation
Gatheral, Jim
;
Wang, Tai-Ho
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009541999
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9
Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki
;
Chung, Tsz-Kin
;
Tanaka, Keiichi
- In:
Asia-Pacific financial markets
21
(
2014
)
4
,
pp. 351-396
Persistent link: https://www.econbiz.de/10010511560
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10
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
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