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Pricing contingent claims with credit risk: Asymptotic expansion approach

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Cited by:

  1. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
  2. Kohta Takehara & Akihiko Takahashi & Masashi Toda, 2010. "New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme ( Forthcoming in "The Proceedings of KIER-TMU International Workshop on Financial Engineering 2009".)," CARF F-Series CARF-F-212, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  3. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 69-121, March.
  4. Akihiko Takahashi & Kohta Takehara, 2008. "A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options ( Revised in April 2008, January 2009 and April 2010; forthcoming in "International Journal of Theoretical and A," CARF F-Series CARF-F-116, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  5. SHerrill Shaffer, 2008. "Strategic Risk Aversion," CAMA Working Papers 2008-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Akihiko Takahashi & Kohta Takehara, 2007. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options ( Revised in December 2008; subsequently published in "International Journal of Theoretical and ," CARF F-Series CARF-F-097, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  7. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2009. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-682, CIRJE, Faculty of Economics, University of Tokyo.
  8. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2010. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-745, CIRJE, Faculty of Economics, University of Tokyo.
  9. Kohta Takehara & Masashi Toda & Akihiko Takahashi, 2010. "Application Of A High-Order Asymptotic Expansion Scheme To Long-Term Currency Options," CARF F-Series CARF-F-225, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  10. Colin Turfus & Alexander Shubert, 2017. "ANALYTIC PRICING OF CoCo BONDS," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-26, August.
  11. Akihiko Takahashi & Kohta Takehara, 2010. "A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options," CIRJE F-Series CIRJE-F-734, CIRJE, Faculty of Economics, University of Tokyo.
  12. Akihiko Takahashi & Kohta Takehara, 2009. "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CIRJE F-Series CIRJE-F-654, CIRJE, Faculty of Economics, University of Tokyo.
  13. Yoshifumi Muroi & E. Takino, 2011. "Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 345-372, November.
  14. Naoto Kunitomo & Akihiko Takahashi, 2003. "Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems," CIRJE F-Series CIRJE-F-245, CIRJE, Faculty of Economics, University of Tokyo.
  15. Kohta Takehara & Akihiko Takahashi & Masashi Toda, 2010. "New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme," CIRJE F-Series CIRJE-F-728, CIRJE, Faculty of Economics, University of Tokyo.
  16. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CIRJE F-Series CIRJE-F-621, CIRJE, Faculty of Economics, University of Tokyo.
  17. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," CIRJE F-Series CIRJE-F-474, CIRJE, Faculty of Economics, University of Tokyo.
  18. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2011. "A General Computation Scheme for a High-Order Asymptotic Expansion Method," CIRJE F-Series CIRJE-F-787, CIRJE, Faculty of Economics, University of Tokyo.
  19. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2009. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CARF F-Series CARF-F-176, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised May 2010.
  20. Kohta Takehara & Masashi Toda & Akihiko Takahashi, 2010. "Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options," CIRJE F-Series CIRJE-F-753, CIRJE, Faculty of Economics, University of Tokyo.
  21. Akihiko Takahashi & Kohta Takehara, 2008. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options," CIRJE F-Series CIRJE-F-538, CIRJE, Faculty of Economics, University of Tokyo.
  22. Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
  23. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2012. "A General Computation Scheme for a High-Order Asymptotic Expansion Method," CARF F-Series CARF-F-272, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  24. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2011. "A General Computation Scheme for a High-Order Asymptotic Expansion Method," CARF F-Series CARF-F-242, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jul 2011.
  25. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CARF F-Series CARF-F-149, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  26. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates (Revised in August 2007 and January 2009; subseq," CARF F-Series CARF-F-092, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  27. Akihiko Takahashi & Kohta Takehara, 2009. "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CARF F-Series CARF-F-165, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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