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Author ID: takahashi.akihiko Recent zbMATH articles by "Takahashi, Akihiko"
Published as: Takahashi, Akihiko

Publications by Year

Citations contained in zbMATH Open

50 Publications have been cited 544 times in 234 Documents Cited by Year
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
61
2001
An asymptotic expansion approach to pricing financial contingent claims. Zbl 1153.91568
Takahashi, Akihiko
55
1999
An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052
Takahashi, Akihiko; Yamada, Toshihiro
39
2012
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. Zbl 1422.91694
Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki
38
2019
On validity of the asymptotic expansion approach in contingent claim analysis. Zbl 1091.91037
Kunitomo, Naoto; Takahashi, Akihiko
32
2003
An asymptotic expansion scheme for optimal investment problems. Zbl 1181.91302
Takahashi, Akihiko; Yoshida, Nakahiro
28
2004
A weak approximation with asymptotic expansion and multidimensional Malliavin weights. Zbl 1339.60099
Takahashi, Akihiko; Yamada, Toshihiro
27
2016
Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159
Fujii, Masaaki; Takahashi, Akihiko
21
2012
Derivative pricing under asymmetric and imperfect collateralization and CVA. Zbl 1281.91164
Fujii, Masaaki; Takahashi, Akihiko
16
2013
A general computation scheme for a high-order asymptotic expansion method. Zbl 1262.91072
Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi
16
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
15
2007
A new computational scheme for computing Greeks by the asymptotic expansion approach. Zbl 1154.91512
Matsuoka, Ryosuke; Takahashi, Akihiko; Uchida, Yoshihiko
13
2004
On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model. Zbl 1337.60158
Takahashi, Akihiko; Yamada, Toshihiro
12
2015
Pricing discrete barrier options under stochastic volatility. Zbl 1282.91347
Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro
10
2012
A mean field game approach to equilibrium pricing with market clearing condition. Zbl 1484.91031
Fujii, Masaaki; Takahashi, Akihiko
10
2022
Asymptotic expansion approach in finance. Zbl 1418.91541
Takahashi, Akihiko
9
2015
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
9
2015
Fourier transform method with an asymptotic expansion approach: an application to currency options. Zbl 1152.91554
Takahashi, Akihiko; Takehara, Kohta
7
2008
Making mean-variance hedging implementable in a partially observable market. Zbl 1402.91695
Fujii, Masaaki; Takahashi, Akihiko
6
2014
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
6
2017
A Monte Carlo filtering approach for estimating the term structure of interest rates. Zbl 0995.62105
Takahashi, Akihiko; Sato, Seisho
6
2001
A semigroup expansion for pricing barrier options. Zbl 1303.91179
Kato, Takashi; Takahashi, Akihiko; Yamada, Toshihiro
6
2014
A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver. Zbl 07518053
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro
6
2022
Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions. Zbl 1426.60072
Fujii, Masaaki; Takahashi, Akihiko
5
2019
A remark on a singular perturbation method for option pricing under a stochastic volatility model. Zbl 1177.91133
Yamamoto, Kyo; Takahashi, Akihiko
5
2009
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
Derivatives pricing with market impact and limit order book. Zbl 1375.93141
Saito, Taiga; Takahashi, Akihiko
5
2017
Stochastic differential game in high frequency market. Zbl 1411.91061
Saito, Taiga; Takahashi, Akihiko
5
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
5
2013
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
An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko
5
2015
Note on an extension of an asymptotic expansion scheme. Zbl 1303.91192
Takahashi, Akihiko; Toda, Masashi
4
2013
Pricing average and spread options under local-stochastic volatility jump-diffusion models. Zbl 1435.91191
Shiraya, Kenichiro; Takahashi, Akihiko
4
2019
Equilibrium price formation with a major player and its mean field limit. Zbl 1485.49047
Fujii, Masaaki; Takahashi, Akihiko
4
2022
An asymptotic expansion for local-stochastic volatility with jump models. Zbl 1379.60061
Shiraya, Kenichiro; Takahashi, Akihiko
4
2017
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. Zbl 1418.91542
Takahashi, Akihiko; Yamada, Toshihiro
3
2016
New acceleration schemes with the asymptotic expansion in Monte Carlo simulation. Zbl 1108.41022
Takahashi, Akihiko; Uchida, Yoshihiko
3
2006
Asymptotic expansion for forward-backward SDEs with jumps. Zbl 1500.60031
Fujii, Masaaki; Takahashi, Akihiko
3
2019
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
Pricing and hedging of long-term futures and forward contracts by a three-factor model. Zbl 1280.91177
Shiraya, Kenichiro; Takahashi, Akihiko
3
2012
Term structure models during the global financial crisis: a parsimonious text mining approach. Zbl 1422.91738
Nishimura, Kiyohiko G.; Sato, Seisho; Takahashi, Akihiko
2
2019
Optimal hedging for fund and insurance managers with partially observable investment flows. Zbl 1396.91300
Fujii, Masaaki; Takahashi, Akihiko
2
2015
An asymptotic expansion scheme for the optimal portfolio for investment. Zbl 1047.91538
Takahashi, Akihiko; Yoshida, Nakahiro
2
2001
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
1
2018
Anticipated backward SDEs with jumps and quadratic-exponential growth drivers. Zbl 1415.39013
Fujii, Masaaki; Takahashi, Akihiko
1
2019
Strong convergence to the mean field limit of a finite agent equilibrium. Zbl 1489.91282
Fujii, Masaaki; Takahashi, Akihiko
1
2022
Term structure of interest rates under recursive preferences in continuous time. Zbl 1170.91494
Nakamura, Hisashi; Nakayama, Keita; Takahashi, Akihiko
1
2008
Sup-inf/inf-sup problem on choice of a probability measure by forward-backward stochastic differential equation approach. Zbl 07480618
Saito, Taiga; Takahashi, Akihiko
1
2021
A mean field game approach to equilibrium pricing with market clearing condition. Zbl 1484.91031
Fujii, Masaaki; Takahashi, Akihiko
10
2022
A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver. Zbl 07518053
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro
6
2022
Equilibrium price formation with a major player and its mean field limit. Zbl 1485.49047
Fujii, Masaaki; Takahashi, Akihiko
4
2022
Strong convergence to the mean field limit of a finite agent equilibrium. Zbl 1489.91282
Fujii, Masaaki; Takahashi, Akihiko
1
2022
Sup-inf/inf-sup problem on choice of a probability measure by forward-backward stochastic differential equation approach. Zbl 07480618
Saito, Taiga; Takahashi, Akihiko
1
2021
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. Zbl 1422.91694
Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki
38
2019
Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions. Zbl 1426.60072
Fujii, Masaaki; Takahashi, Akihiko
5
2019
Stochastic differential game in high frequency market. Zbl 1411.91061
Saito, Taiga; Takahashi, Akihiko
5
2019
Pricing average and spread options under local-stochastic volatility jump-diffusion models. Zbl 1435.91191
Shiraya, Kenichiro; Takahashi, Akihiko
4
2019
Asymptotic expansion for forward-backward SDEs with jumps. Zbl 1500.60031
Fujii, Masaaki; Takahashi, Akihiko
3
2019
Term structure models during the global financial crisis: a parsimonious text mining approach. Zbl 1422.91738
Nishimura, Kiyohiko G.; Sato, Seisho; Takahashi, Akihiko
2
2019
Anticipated backward SDEs with jumps and quadratic-exponential growth drivers. Zbl 1415.39013
Fujii, Masaaki; 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
1
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
6
2017
Derivatives pricing with market impact and limit order book. Zbl 1375.93141
Saito, Taiga; Takahashi, Akihiko
5
2017
An asymptotic expansion for local-stochastic volatility with jump models. Zbl 1379.60061
Shiraya, Kenichiro; Takahashi, Akihiko
4
2017
A weak approximation with asymptotic expansion and multidimensional Malliavin weights. Zbl 1339.60099
Takahashi, Akihiko; Yamada, Toshihiro
27
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
3
2016
On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model. Zbl 1337.60158
Takahashi, Akihiko; Yamada, Toshihiro
12
2015
Asymptotic expansion approach in finance. Zbl 1418.91541
Takahashi, Akihiko
9
2015
Perturbative expansion technique for non-linear FBSDEs with interacting particle method. Zbl 1368.65009
Fujii, Masaaki; Takahashi, Akihiko
9
2015
An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko
5
2015
Optimal hedging for fund and insurance managers with partially observable investment flows. Zbl 1396.91300
Fujii, Masaaki; Takahashi, Akihiko
2
2015
Making mean-variance hedging implementable in a partially observable market. Zbl 1402.91695
Fujii, Masaaki; Takahashi, Akihiko
6
2014
A semigroup expansion for pricing barrier options. Zbl 1303.91179
Kato, Takashi; Takahashi, Akihiko; Yamada, Toshihiro
6
2014
Derivative pricing under asymmetric and imperfect collateralization and CVA. Zbl 1281.91164
Fujii, Masaaki; Takahashi, Akihiko
16
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
5
2013
Note on an extension of an asymptotic expansion scheme. Zbl 1303.91192
Takahashi, Akihiko; Toda, Masashi
4
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
An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052
Takahashi, Akihiko; Yamada, Toshihiro
39
2012
Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159
Fujii, Masaaki; Takahashi, Akihiko
21
2012
A general computation scheme for a high-order asymptotic expansion method. Zbl 1262.91072
Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi
16
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
7
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
15
2007
New acceleration schemes with the asymptotic expansion in Monte Carlo simulation. Zbl 1108.41022
Takahashi, Akihiko; Uchida, Yoshihiko
3
2006
An asymptotic expansion scheme for optimal investment problems. Zbl 1181.91302
Takahashi, Akihiko; Yoshida, Nakahiro
28
2004
A new computational scheme for computing Greeks by the asymptotic expansion approach. Zbl 1154.91512
Matsuoka, Ryosuke; Takahashi, Akihiko; Uchida, Yoshihiko
13
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
32
2003
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
61
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
55
1999
all top 5

Cited by 317 Authors

40 Takahashi, Akihiko
31 Yamada, Toshihiro
17 Jentzen, Arnulf
15 Fujii, Masaaki
8 Hutzenthaler, Martin
6 Funahashi, Hideharu
6 Grohs, Philipp
5 Becker, Sebastian
5 Crepey, Stephane
5 Kruse, Thomas
5 Li, Chenxu
5 Sato, Seisho
5 Shiraya, Kenichiro
4 Beck, Christian
4 Gobet, Emmanuel
4 Ma, Guiyuan
4 Naito, Riu
4 Takehara, Kohta
4 von Wurstemberger, Philippe
3 Darbon, Jerome
3 Hornung, Fabian
3 Kato, Takashi
3 Kim, Jeong-Hoon
3 Long, Hongwei
3 Meng, Tingwei
3 Nguyen, Tuan-Anh
3 Oosterlee, Cornelis Willebrordus
3 Saito, Taiga
3 Wu, Jianglun
3 Yamamoto, Kenta
3 Yamamoto, Kyo
3 Yoshida, Nakahiro
3 Zhang, Xuekang
3 Zheng, Harry H.
2 Akiyama, Naho
2 Bielecki, Tomasz R.
2 Cai, Ning
2 Cao, Jiling
2 Chen, Bin
2 Cheridito, Patrick
2 Cordoni, Francesco Giuseppe
2 Cui, Zhenyu
2 Di Persio, Luca
2 Fukasawa, Masaaki
2 Gatheral, Jim
2 Gomes, Diogo Luís Aguiar
2 Gutierrez, Julian
2 Han, Jinhui
2 Hok, Julien
2 Iguchi, Yuga
2 Ishikawa, Yasushi
2 Jacquier, Antoine
2 Kawai, Reiichiro
2 Kijima, Masaaki
2 Kunitomo, Naoto
2 Laurence, Peter
2 Li, Jingjie
2 Miri, Mohammed
2 Muroi, Yoshifumi
2 Pagliarani, Stefano
2 Pallavicini, Andrea
2 Roome, Patrick
2 Rüschendorf, Ludger
2 Rutkowski, Marek
2 Shi, Chao
2 Shimizu, Yasutaka
2 Shinozaki, Yuji
2 Shu, Huisheng
2 Siu, Chi Chung
2 Tanaka, Keiichi
2 Toda, Masashi
2 Tsuchida, Yoshifumi
2 Uchida, Masayuki
2 Wan, Justin W. L.
2 Wang, Tai-Ho
2 Warin, Xavier
2 Xu, Guoping
2 Yam, Sheung Chi Phillip
2 Yamazaki, Akira
2 Zhang, Wenjun
1 Abbas-Turki, Lokman A.
1 Aït-Sahalia, Yacine
1 Albeverio, Sergio A.
1 Alfajriyahe, A. U.
1 Amzelek, Philippe
1 An, Yu
1 Andersson, Adam
1 Andersson, Kristoffer
1 Arguin, Louis-Pierre
1 Armenti, Yannick
1 Ashrafyan, Yuri A.
1 Bakaryan, Tigran K.
1 Bardi, Martino
1 Barker, Matt
1 Ben Arous, Gérard
1 Benhamou, Eric
1 Bermin, Hans-Peter
1 Bernard, Carole L.
1 Berner, Julius
1 Blechschmidt, Jan
...and 217 more Authors
all top 5

Cited in 88 Serials

20 International Journal of Theoretical and Applied Finance
18 Asia-Pacific Financial Markets
15 Quantitative Finance
9 European Journal of Operational Research
9 Stochastic Processes and their Applications
9 Monte Carlo Methods and Applications
7 SIAM Journal on Financial Mathematics
6 Automatica
5 Journal of Computational and Applied Mathematics
5 Mathematical Finance
4 Statistics & Probability Letters
4 Applied Numerical Mathematics
4 Applied Mathematical Finance
4 JSIAM Letters
3 Journal of Computational Physics
3 Mathematics and Computers in Simulation
3 Mathematics of Operations Research
3 Insurance Mathematics & Economics
3 Journal of Economic Dynamics & Control
3 Japan Journal of Industrial and Applied Mathematics
3 SIAM Journal on Scientific Computing
3 Review of Derivatives Research
3 SN Partial Differential Equations and Applications
2 Applied Mathematics and Computation
2 Stochastic Analysis and Applications
2 Journal of Scientific Computing
2 The Annals of Applied Probability
2 Communications in Statistics. Theory and Methods
2 Advances in Computational Mathematics
2 Finance and Stochastics
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 Methodology and Computing in Applied Probability
2 Discrete and Continuous Dynamical Systems. Series B
2 Decisions in Economics and Finance
2 Journal of Numerical Mathematics
2 Probability Surveys
2 Minimax Theory and its Applications
1 Advances in Applied Probability
1 International Journal of Control
1 Metrika
1 Nonlinearity
1 Annals of the Institute of Statistical Mathematics
1 The Annals of Statistics
1 Applied Mathematics and Optimization
1 BIT
1 Journal of Differential Equations
1 Journal of Econometrics
1 Journal of Multivariate Analysis
1 Mathematische Nachrichten
1 Memoirs of the American Mathematical Society
1 SIAM Journal on Numerical Analysis
1 Optimization
1 Constructive Approximation
1 MCSS. Mathematics of Control, Signals, and Systems
1 European Journal of Applied Mathematics
1 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences
1 Numerical Algorithms
1 International Journal of Computer Mathematics
1 Computational Economics
1 Electronic Journal of Probability
1 Discrete and Continuous Dynamical Systems
1 Mathematical Problems in Engineering
1 Abstract and Applied Analysis
1 Discrete Dynamics in Nature and Society
1 Communications in Nonlinear Science and Numerical Simulation
1 Probability in the Engineering and Informational Sciences
1 Brazilian Journal of Probability and Statistics
1 Foundations of Computational Mathematics
1 Nonlinear Dynamics and Systems Theory
1 ASTIN Bulletin
1 North American Actuarial Journal
1 International Journal of Computational Methods
1 Advances in Difference Equations
1 Stochastics
1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
1 GAMM-Mitteilungen
1 Mathematics and Financial Economics
1 Communications in Computational Physics
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 Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences
1 Japanese Journal of Statistics and Data Science
1 Probability, Uncertainty and Quantitative Risk
1 SIAM Journal on Mathematics of Data Science

Citations by Year