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Asymptotic Expansion Approach in Finance · Study

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ChapterAsymptotic Expansion Approach in Finance

Akihiko Takahashi2015

Chapter2015

Asymptotic Expansion Approach in Finance

Akihiko Takahashi

29 citations·0/0 files stored·Springer proceedings in mathematics & statistics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

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References

1983Stochastic Differential Equations and Diffusion Processes 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2006The Malliavin Calculus and Related Topics 1997Backward Stochastic Differential Equations in Finance 1995The Malliavin Calculus and Related Topics 1997The Market Model of Interest Rate Dynamics 2004Credit Risk: Modeling, Valuation and Hedging 1997Stochastic Analysis

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2017Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability

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2014On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Modelarticle · 26 shared references 2009Computation in an Asymptotic Expansion Methodpreprint · 19 shared references 2012Pricing Multi-Asset Cross Currency Optionsarticle · 16 shared references n.d.A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Revised version of CARF-F-335; Forthcoming in Annals of Applied Probability")"preprint · 14 shared references 2013Closed-Form Expansion, Conditional Expectation, and Option Valuationarticle · 13 shared references 2011A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHODarticle · 12 shared references

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Year2015

Typechapter

Published2015-01-01

VenueSpringer proceedings in mathematics & statistics

ISSN-L2194-1009

Languageen

Citations29

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-319-11605-1_13

openalex_workW3040865015

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