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Asymptotic Expansion Approach in Finance

Citations

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Cited by:

  1. Masaaki Fujii & Akihiko Takahashi, 2016. "A General Framework for the Benchmark pricing in a Fully Collateralized Market," CIRJE F-Series CIRJE-F-1000, CIRJE, Faculty of Economics, University of Tokyo.
  2. Fujii, Masaaki & Takahashi, Akihiko, 2018. "Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 2083-2130.
  3. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver," CARF F-Series CARF-F-504, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2022.
  4. Masaaki Fujii & Akihiko Takahashi, 2015. "A General Framework for the Benchmark pricing in a Fully Collateralized Market," Papers 1508.06339, arXiv.org, revised Sep 2015.
  5. Akihiko Takahashi & Toshihiro Yamada, 2021. "Asymptotic Expansion and Deep Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Kolmogorov Partial Differential Equations with Nonlinear Coefficients," CIRJE F-Series CIRJE-F-1167, CIRJE, Faculty of Economics, University of Tokyo.
  6. Masaaki Fujii & Akihiko Takahashi, 2016. "A General Framework for the Benchmark pricing in a Fully Collateralized Market (formerly titled as "Choice of Collateral Currecy Updated" carf-f-371; Forthcoming in Journal of Financial Engi," CARF F-Series CARF-F-378, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  7. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2022. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver (Journal of Computational Physics, published online 19 January 2022)," CARF F-Series CARF-F-532, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Feb 2022.
  8. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver," Papers 2101.09890, arXiv.org, revised Jan 2021.
  9. Masaaki Fujii & Akihiko Takahashi, 2015. "Asymptotic Expansion for Forward-Backward SDEs with Jumps," CIRJE F-Series CIRJE-F-993, CIRJE, Faculty of Economics, University of Tokyo.
  10. Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2019. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs (Forthcoming in Asia-Pacific Financial Markets)," CARF F-Series CARF-F-456, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  11. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion formulas for European quanto options in a local volatility FX-LIBOR model," Papers 1801.01205, arXiv.org, revised Apr 2018.
  12. Masaaki Fujii & Akihiko Takahashi, 2016. "Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability (revised version of CARF-F-376)," CARF F-Series CARF-F-395, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  13. Masaaki Fujii & Akihiko Takahashi, 2017. "Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability (Forthcoming in Stochastic Processes and their Applications)(revised version of CARF-F-395)," CARF F-Series CARF-F-420, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  14. Masaaki Fujii & Akihiko Takahashi, 2015. "Asymptotic Expansion for Forward-Backward SDEs," CARF F-Series CARF-F-372, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  15. Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2017. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs," CIRJE F-Series CIRJE-F-1069, CIRJE, Faculty of Economics, University of Tokyo.
  16. Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2017. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs," CARF F-Series CARF-F-423, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  17. Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2017. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs," Papers 1710.07030, arXiv.org, revised Mar 2019.
  18. Toshihiro Yamada, 2017. "A weak approximation with Malliavin weights for local stochastic volatility model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-17, March.
  19. Masaaki Fujii & Akihiko Takahashi, 2015. "Quadratic-exponential Growth BSDEs with Jumps and their Malliavin's Differentiability," CIRJE F-Series CIRJE-F-997, CIRJE, Faculty of Economics, University of Tokyo.
  20. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A New Efficient Approximation Scheme for Solving High-Dimensional Semilinear PDEs: Control Variate Method for Deep BSDE Solver," CIRJE F-Series CIRJE-F-1159, CIRJE, Faculty of Economics, University of Tokyo.
  21. Yuga Iguchi & Riu Naito & Yusuke Okano & Akihiko Takahashi & Toshihiro Yamada, 2021. "Deep Asymptotic Expansion: Application to Financial Mathematics," CIRJE F-Series CIRJE-F-1178, CIRJE, Faculty of Economics, University of Tokyo.
  22. Masaaki Fujii & Akihiko Takahashi, 2015. "Asymptotic Expansion for Forward-Backward SDEs with Jumps," Papers 1510.03220, arXiv.org, revised Sep 2018.
  23. Masaaki Fujii & Akihiko Takahashi, 2016. "A general framework for the benchmark pricing in a fully collateralized market," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-30, September.
  24. Masaaki Fujii & Akihiko Takahashi, 2015. "Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability," Papers 1512.05924, arXiv.org, revised Sep 2017.
  25. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion Formulas For European Quanto Options In A Local Volatility Fx-Libor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-43, March.
  26. Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2019. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 391-408, September.
  27. Gulisashvili, Archil, 2021. "Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness," Stochastic Processes and their Applications, Elsevier, vol. 139(C), pages 37-79.
  28. Masaaki Fujii & Akihiko Takahashi, 2018. "Asymptotic Expansion for Forward-Backward SDEs with JumpsAsymptotic Expansion for Forward-Backward SDEs with Jumps (Forthcoming in Stochastics) (Revised version of F-372)," CARF F-Series CARF-F-445, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  29. Yuga Iguchi & Riu Naito & Yusuke Okano & Akihiko Takahashi & Toshihiro Yamada, 2021. "Deep Asymptotic Expansion with Weak Approximation ," CIRJE F-Series CIRJE-F-1168, CIRJE, Faculty of Economics, University of Tokyo.
  30. Yuga Iguchi & Riu Naito & Yusuke Okano & Akihiko Takahashi & Toshihiro Yamada, 2021. "Deep Asymptotic Expansion: Application to Financial Mathematics（forthcoming in proceedings of IEEE CSDE 2021)," CARF F-Series CARF-F-523, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  31. Masaaki Fujii & Akihiko Takahashi, 2015. "Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability," CARF F-Series CARF-F-376, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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