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Takahashi, Akihiko

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Author ID: takahashi.akihiko Recent zbMATH articles by "Takahashi, Akihiko"
Published as: Takahashi, A.; Takahashi, Akihiko
Documents Indexed: 50 Publications since 1999, including 1 Book

Publications by Year

Citations contained in zbMATH Open

43 Publications have been cited 363 times in 144 Documents Cited by Year
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
49
2001
An asymptotic expansion approach to pricing financial contingent claims. Zbl 1153.91568
Takahashi, Akihiko
44
1999
An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052
Takahashi, Akihiko; Yamada, Toshihiro
24
2012
On validity of the asymptotic expansion approach in contingent claim analysis. Zbl 1091.91037
Kunitomo, Naoto; Takahashi, Akihiko
24
2003
An asymptotic expansion scheme for optimal investment problems. Zbl 1181.91302
Takahashi, Akihiko; Yoshida, Nakahiro
23
2004
Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159
Fujii, Masaaki; Takahashi, Akihiko
15
2012
An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates. Zbl 1151.91545
Takahashi, Akihiko; Takehara, Kohta
13
2007
A weak approximation with asymptotic expansion and multidimensional Malliavin weights. Zbl 1339.60099
Takahashi, Akihiko; Yamada, Toshihiro
12
2016
Derivative pricing under asymmetric and imperfect collateralization and CVA. Zbl 1281.91164
Fujii, Masaaki; Takahashi, Akihiko
12
2013
A general computation scheme for a high-order asymptotic expansion method. Zbl 1262.91072
Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi
12
2012
A new computational scheme for computing Greeks by the asymptotic expansion approach. Zbl 1154.91512
Matsuoka, Ryosuke; Takahashi, Akihiko; Uchida, Yoshihiko
12
2004
Pricing discrete barrier options under stochastic volatility. Zbl 1282.91347
Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro
10
2012
Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems. Zbl 1191.91057
Kunitomo, Naoto; Takahashi, Akihiko
9
2004
Perturbative expansion technique for non-linear FBSDEs with interacting particle method. Zbl 1368.65009
Fujii, Masaaki; Takahashi, Akihiko
7
2015
On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model. Zbl 1337.60158
Takahashi, Akihiko; Yamada, Toshihiro
7
2015
A semigroup expansion for pricing barrier options. Zbl 1303.91179
Kato, Takashi; Takahashi, Akihiko; Yamada, Toshihiro
6
2014
Fourier transform method with an asymptotic expansion approach: an application to currency options. Zbl 1152.91554
Takahashi, Akihiko; Takehara, Kohta
6
2008
A Monte Carlo filtering approach for estimating the term structure of interest rates. Zbl 0995.62105
Takahashi, Akihiko; Sato, Seisho
6
2001
A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance. Zbl 1380.91135
Shiraya, Kenichiro; Takahashi, Akihiko
5
2017
An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets. Zbl 1320.91148
Shiraya, Kenichiro; Takahashi, Akihiko
5
2016
Making mean-variance hedging implementable in a partially observable market. Zbl 1402.91695
Fujii, Masaaki; Takahashi, Akihiko
5
2014
A hybrid asymptotic expansion scheme: an application to long-term currency options. Zbl 1206.91083
Takahashi, Akihiko; Takehara, Kohta
5
2010
Probability distribution and option pricing for drawdown in a stochastic volatility environment. Zbl 1203.91299
Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko
5
2010
A remark on a singular perturbation method for option pricing under a stochastic volatility model. Zbl 1177.91133
Yamamoto, Kyo; Takahashi, Akihiko
5
2009
Derivatives pricing with market impact and limit order book. Zbl 1375.93141
Saito, Taiga; Takahashi, Akihiko
4
2017
Asymptotic expansion approach in finance. Zbl 1418.91541
Takahashi, Akihiko
4
2015
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. Zbl 1422.91694
Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki
3
2019
An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko
3
2015
Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication. Zbl 1284.91532
Takahashi, Akihiko; Yamamoto, Kyo
3
2013
Note on an extension of an asymptotic expansion scheme. Zbl 1303.91192
Takahashi, Akihiko; Toda, Masashi
3
2013
Pricing and hedging of long-term futures and forward contracts by a three-factor model. Zbl 1280.91177
Shiraya, Kenichiro; Takahashi, Akihiko
3
2012
New acceleration schemes with the asymptotic expansion in Monte Carlo simulation. Zbl 1108.41022
Takahashi, Akihiko; Uchida, Yoshihiko
3
2006
Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions. Zbl 1426.60072
Fujii, Masaaki; Takahashi, Akihiko
2
2019
On the effect of Bank of Japan’s outright purchase on the JGB yield curve. Zbl 1418.91557
Nakano, Masafumi; Takahashi, Akihiko; Takahashi, Soichiro; Tokioka, Takami
2
2018
An asymptotic expansion for local-stochastic volatility with jump models. Zbl 1379.60061
Shiraya, Kenichiro; Takahashi, Akihiko
2
2017
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. Zbl 1418.91542
Takahashi, Akihiko; Yamada, Toshihiro
2
2016
An asymptotic expansion scheme for the optimal portfolio for investment. Zbl 1047.91538
Takahashi, Akihiko; Yoshida, Nakahiro
2
2001
Pricing average and spread options under local-stochastic volatility jump-diffusion models. Zbl 1435.91191
Shiraya, Kenichiro; Takahashi, Akihiko
1
2019
Anticipated backward SDEs with jumps and quadratic-exponential growth drivers. Zbl 1415.39013
Fujii, Masaaki; Takahashi, Akihiko
1
2019
Stochastic differential game in high frequency market. Zbl 1411.91061
Saito, Taiga; Takahashi, Akihiko
1
2019
An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model. Zbl 1419.91620
Kato, Takashi; Takahashi, Akihiko; Yamada, Toshihiro
1
2013
Term structure of interest rates under recursive preferences in continuous time. Zbl 1170.91494
Nakamura, Hisashi; Nakayama, Keita; Takahashi, Akihiko
1
2008
Interval t-norms, t-conorms, complements and implications. Zbl 1208.03030
Takahashi, A.; Bedregal, B. R. C.
1
2006
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. Zbl 1422.91694
Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki
3
2019
Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions. Zbl 1426.60072
Fujii, Masaaki; Takahashi, Akihiko
2
2019
Pricing average and spread options under local-stochastic volatility jump-diffusion models. Zbl 1435.91191
Shiraya, Kenichiro; Takahashi, Akihiko
1
2019
Anticipated backward SDEs with jumps and quadratic-exponential growth drivers. Zbl 1415.39013
Fujii, Masaaki; Takahashi, Akihiko
1
2019
Stochastic differential game in high frequency market. Zbl 1411.91061
Saito, Taiga; Takahashi, Akihiko
1
2019
On the effect of Bank of Japan’s outright purchase on the JGB yield curve. Zbl 1418.91557
Nakano, Masafumi; Takahashi, Akihiko; Takahashi, Soichiro; Tokioka, Takami
2
2018
A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance. Zbl 1380.91135
Shiraya, Kenichiro; Takahashi, Akihiko
5
2017
Derivatives pricing with market impact and limit order book. Zbl 1375.93141
Saito, Taiga; Takahashi, Akihiko
4
2017
An asymptotic expansion for local-stochastic volatility with jump models. Zbl 1379.60061
Shiraya, Kenichiro; Takahashi, Akihiko
2
2017
A weak approximation with asymptotic expansion and multidimensional Malliavin weights. Zbl 1339.60099
Takahashi, Akihiko; Yamada, Toshihiro
12
2016
An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets. Zbl 1320.91148
Shiraya, Kenichiro; Takahashi, Akihiko
5
2016
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. Zbl 1418.91542
Takahashi, Akihiko; Yamada, Toshihiro
2
2016
Perturbative expansion technique for non-linear FBSDEs with interacting particle method. Zbl 1368.65009
Fujii, Masaaki; Takahashi, Akihiko
7
2015
On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model. Zbl 1337.60158
Takahashi, Akihiko; Yamada, Toshihiro
7
2015
Asymptotic expansion approach in finance. Zbl 1418.91541
Takahashi, Akihiko
4
2015
An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko
3
2015
A semigroup expansion for pricing barrier options. Zbl 1303.91179
Kato, Takashi; Takahashi, Akihiko; Yamada, Toshihiro
6
2014
Making mean-variance hedging implementable in a partially observable market. Zbl 1402.91695
Fujii, Masaaki; Takahashi, Akihiko
5
2014
Derivative pricing under asymmetric and imperfect collateralization and CVA. Zbl 1281.91164
Fujii, Masaaki; Takahashi, Akihiko
12
2013
Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication. Zbl 1284.91532
Takahashi, Akihiko; Yamamoto, Kyo
3
2013
Note on an extension of an asymptotic expansion scheme. Zbl 1303.91192
Takahashi, Akihiko; Toda, Masashi
3
2013
An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model. Zbl 1419.91620
Kato, Takashi; Takahashi, Akihiko; Yamada, Toshihiro
1
2013
An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052
Takahashi, Akihiko; Yamada, Toshihiro
24
2012
Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159
Fujii, Masaaki; Takahashi, Akihiko
15
2012
A general computation scheme for a high-order asymptotic expansion method. Zbl 1262.91072
Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi
12
2012
Pricing discrete barrier options under stochastic volatility. Zbl 1282.91347
Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro
10
2012
Pricing and hedging of long-term futures and forward contracts by a three-factor model. Zbl 1280.91177
Shiraya, Kenichiro; Takahashi, Akihiko
3
2012
A hybrid asymptotic expansion scheme: an application to long-term currency options. Zbl 1206.91083
Takahashi, Akihiko; Takehara, Kohta
5
2010
Probability distribution and option pricing for drawdown in a stochastic volatility environment. Zbl 1203.91299
Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko
5
2010
A remark on a singular perturbation method for option pricing under a stochastic volatility model. Zbl 1177.91133
Yamamoto, Kyo; Takahashi, Akihiko
5
2009
Fourier transform method with an asymptotic expansion approach: an application to currency options. Zbl 1152.91554
Takahashi, Akihiko; Takehara, Kohta
6
2008
Term structure of interest rates under recursive preferences in continuous time. Zbl 1170.91494
Nakamura, Hisashi; Nakayama, Keita; Takahashi, Akihiko
1
2008
An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates. Zbl 1151.91545
Takahashi, Akihiko; Takehara, Kohta
13
2007
New acceleration schemes with the asymptotic expansion in Monte Carlo simulation. Zbl 1108.41022
Takahashi, Akihiko; Uchida, Yoshihiko
3
2006
Interval t-norms, t-conorms, complements and implications. Zbl 1208.03030
Takahashi, A.; Bedregal, B. R. C.
1
2006
An asymptotic expansion scheme for optimal investment problems. Zbl 1181.91302
Takahashi, Akihiko; Yoshida, Nakahiro
23
2004
A new computational scheme for computing Greeks by the asymptotic expansion approach. Zbl 1154.91512
Matsuoka, Ryosuke; Takahashi, Akihiko; Uchida, Yoshihiko
12
2004
Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems. Zbl 1191.91057
Kunitomo, Naoto; Takahashi, Akihiko
9
2004
On validity of the asymptotic expansion approach in contingent claim analysis. Zbl 1091.91037
Kunitomo, Naoto; Takahashi, Akihiko
24
2003
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
49
2001
A Monte Carlo filtering approach for estimating the term structure of interest rates. Zbl 0995.62105
Takahashi, Akihiko; Sato, Seisho
6
2001
An asymptotic expansion scheme for the optimal portfolio for investment. Zbl 1047.91538
Takahashi, Akihiko; Yoshida, Nakahiro
2
2001
An asymptotic expansion approach to pricing financial contingent claims. Zbl 1153.91568
Takahashi, Akihiko
44
1999
all top 5

Cited by 207 Authors

33 Takahashi, Akihiko
17 Yamada, Toshihiro
9 Fujii, Masaaki
6 Li, Chenxu
5 Shiraya, Kenichiro
4 Crepey, Stephane
4 Funahashi, Hideharu
4 Gobet, Emmanuel
4 Sato, Seisho
4 Takehara, Kohta
3 Long, Hongwei
3 Yamamoto, Kyo
2 Bielecki, Tomasz R.
2 Chen, Bin
2 Cui, Zhenyu
2 Fukasawa, Masaaki
2 Gatheral, Jim
2 Hok, Julien
2 Hutzenthaler, Martin
2 Ishikawa, Yasushi
2 Jacquier, Antoine
2 Jentzen, Arnulf
2 Kato, Takashi
2 Kijima, Masaaki
2 Kruse, Thomas
2 Laurence, Peter
2 Li, Jingjie
2 Miri, Mohammed
2 Naito, Riu
2 Oosterlee, Cornelis Willebrordus
2 Pagliarani, Stefano
2 Pallavicini, Andrea
2 Roome, Patrick
2 Rüschendorf, Ludger
2 Rutkowski, Marek
2 Saito, Taiga
2 Shimizu, Yasutaka
2 Toda, Masashi
2 Uchida, Masayuki
2 Wang, Tai-Ho
2 Wu, Jianglun
2 Xu, Guoping
2 Yamamoto, Kenta
2 Yamazaki, Akira
2 Zheng, Harry H.
1 Abbas-Turki, Lokman A.
1 Aït-Sahalia, Yacine
1 Albeverio, Sergio A.
1 Amini-Dehak, Mohammad
1 Amzelek, Philippe
1 An, Yu
1 Arguin, Louis-Pierre
1 Armenti, Yannick
1 Bardi, Martino
1 Beck, Christian
1 Bedregal, Benjamín Callejas
1 Ben Arous, Gérard
1 Benhamou, Eric
1 Bermin, Hans-Peter
1 Bernard, Carole
1 Bonnaud, Joe
1 Bormetti, Giacomo
1 Brigo, Damiano
1 Cai, Ning
1 Cao, Jiling
1 Cesaroni, Annalisa
1 Ching, Wai-Ki
1 Chung, Tsz-Kin
1 Cialenco, Igor
1 Corcuera, José Manuel
1 Cordoni, Francesco Giuseppe
1 Cruzeiro, Ana-Bela
1 Dang-Nguyen, Stephane
1 Darbon, Jerome
1 De Gregorio, Alessandro
1 De Rossi, Giuliano
1 Delong, Łukasz
1 Di Persio, Luca
1 Diallo, Babacar
1 El Euch, Omar
1 Elliott, Robert James
1 Fabozzi, Frank J.
1 Fajardo, José
1 Francischello, Marco
1 Gao, Jianwei
1 Gaudenzi, Marcellino
1 Ghilli, Daria
1 Gnameho, Kossi
1 Gu, Jiawen
1 Guan, Guohui
1 Guerra, Manuel
1 Hayashi, Masafumi
1 Higuchi, Tomoyuki
1 Hillion, Alain
1 Hornung, Fabian
1 Hsu, Elton P.
1 Hu, Ying
1 Iacus, Stefano Maria
1 Imamura, Yuri
1 Iori, Giulia
...and 107 more Authors
all top 5

Cited in 52 Serials

19 International Journal of Theoretical and Applied Finance
17 Asia-Pacific Financial Markets
9 Quantitative Finance
7 European Journal of Operational Research
6 Stochastic Processes and their Applications
5 Journal of Computational and Applied Mathematics
5 Monte Carlo Methods and Applications
5 SIAM Journal on Financial Mathematics
4 Applied Mathematical Finance
3 Automatica
3 Mathematics of Operations Research
3 Insurance Mathematics & Economics
3 Statistics & Probability Letters
3 Japan Journal of Industrial and Applied Mathematics
3 Mathematical Finance
2 Stochastic Analysis and Applications
2 The Annals of Applied Probability
2 Finance and Stochastics
2 Decisions in Economics and Finance
2 Review of Derivatives Research
2 JSIAM Letters
1 Advances in Applied Probability
1 Metrika
1 Annals of the Institute of Statistical Mathematics
1 The Annals of Statistics
1 Fuzzy Sets and Systems
1 Journal of Differential Equations
1 Journal of Econometrics
1 Journal of Multivariate Analysis
1 Mathematische Nachrichten
1 SIAM Journal on Numerical Analysis
1 Applied Numerical Mathematics
1 Journal of Economic Dynamics & Control
1 Numerical Algorithms
1 Computational Economics
1 Discrete and Continuous Dynamical Systems
1 Mathematical Problems in Engineering
1 Abstract and Applied Analysis
1 Discrete Dynamics in Nature and Society
1 Probability in the Engineering and Informational Sciences
1 Methodology and Computing in Applied Probability
1 Journal of Numerical Mathematics
1 North American Actuarial Journal
1 Advances in Difference Equations
1 Electronic Journal of Statistics
1 International Journal of Stochastic Analysis
1 Dependence Modeling
1 SIAM/ASA Journal on Uncertainty Quantification
1 Journal of Mathematical Modeling
1 Research in the Mathematical Sciences
1 Probability, Uncertainty and Quantitative Risk
1 SN Partial Differential Equations and Applications

Citations by Year