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Asymptotic expansion approaches in finance : applications to currency options

Takahashi, Akihiko; Takehara, Kohta - In: Finance and banking developments, (pp. 185-232). 2010

Persistent link: https://www.econbiz.de/10008860427

Application of a high-order asymptotic expansion scheme to long-term currency options

Takehara, Kohta; Toda, Masashi; Takahashi, Akihiko - In: The international journal of business and finance … 5 (2011) 3, pp. 87-99

Persistent link: https://www.econbiz.de/10008809193

An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates

Takahashi, Akihiko; Takehara, Kohta - In: Asia-Pacific financial markets 14 (2007) 1/2, pp. 69-121

Persistent link: https://www.econbiz.de/10003609535

An asymptotic expansion approach to pricing financial contingent claims

Takahashi, Akihiko - In: Asia-Pacific financial markets 6 (1999) 2, pp. 115-151

Persistent link: https://www.econbiz.de/10001449307

Pricing convertible bonds with default risk

Takahashi, Akihiko; Kobayashi, Takao; Nakagawa, Naruhisa - In: The journal of fixed income 11 (2001) 3, pp. 20-29

Persistent link: https://www.econbiz.de/10001706057

A variable reduction technique for pricing average-rate options

He, Hua; Takahashi, Akihiko - In: International review of finance 1 (2000) 2, pp. 123-142

Persistent link: https://www.econbiz.de/10001666865

The asymptotic expansion approach to the valuation of interest rate contingent claims

Kunitomo, Naoto; Takahashi, Akihiko - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 117-151

Persistent link: https://www.econbiz.de/10001650922

Dynamic optimality of yield curve strategies

Kobayashi, Takao; Takahashi, Akihiko; Tokioka, Norio - In: International review of finance 4 (2003) 1/2, pp. 49-78

Persistent link: https://www.econbiz.de/10003014258

Portfolio Optimization With Choice of a Probability Measure

Saito, Taiga; Takahashi, Akihiko - 2021

This paper considers a new problem for portfolio optimization with a choice of a probability measure, particularly, an optimal investment problem under sentiments. Firstly, we formulate the problem as a sup-sup-inf problem consisting of optimal investment and a choice of a probability measure...

Persistent link: https://www.econbiz.de/10013234578

Multi-agent Robust Optimal Investment Problem in Incomplete Market

Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2022

This paper considers a multi-agent optimal investment problem with conservative sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative sentiments of the agents by a sup-inf/inf-sup problem where we take infimum on a choice of a probability measure and...

Persistent link: https://www.econbiz.de/10014239212