m Akihiko Takahashi

Akihiko Takahashi Homepage

Edited Books

  • [EB-02]Recent Advances in Financial Engineering 2012
    Proceedings of the International Workshop on Finance 2012, World Scientific, Feb. 2014.
    (Edited by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata)
  • [EB-01]Recent Advances in Financial Engineering 2011
    Proceedings of the International Workshop on Finance 2011, World Scientific, Jun. 2012.
    (Edited by Akihiko Takahashi,Yukio Muromachi, Hidetaka Nakaoka)

Published or Accepted Papers

  • [P-80]"Robust technical trading with fuzzy knowledge-based systems "
    (Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi)
    Abstract/PDF : CARF-F-413 (Forthcoming in Frontiers in Artificial Intelligence and Applications)
  • [P-79]"Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability"
    (Masaaki Fujii, Akihiko Takahashi)
    Abstract/PDF : CARF-F-420 (Forthcoming in Stochastic Processes and their Applications)
  • [P-78]"Derivatives Pricing with Market Impact and Limit Order Book"
    (Taiga Saito, Akihiko Takahashi)
    Abstract/PDF : CARF-F-417 (Forthcoming in Automatica)
  • [P-77]"Style Analysis with Particle Filtering and Generalized Simulated Annealing"
    (Takaya Fukui, Seisho Sato, Akihiko Takahashi)
    Abstract/PDF : CARF-F-383 (Forthcoming in International Journal of Financial Engineering)
  • [P-76]"Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection"
    (Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi)
    Knowledge-Based Systems, Volume 131, 1 September 2017, Pages 113–124
    DOI:10.1016/j.knosys.2017.06.006
    Abstract/PDF
  • [P-75]"Creating Investment Scheme with State Space Modeling"
    (Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi)
    Expert Systems with Applications, Volume 81, 15 September 2017, Pages 53-66
    DOI:10.1016/j.eswa.2017.03.045
    Abstract/PDF
  • [P-74]"Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection"
    (Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi)
    Expert Systems with Applications, Volume 73, 1 May 2017, Pages 187–200
    DOI:10.1016/j.eswa.2016.12.034
    Abstract/PDF
  • [P-73]"Rebalancing Static Super-Replications"
    (Akihiko Takahashi and Yukihiro Tsuzuki)
    Abstract/PDF : CARF-F-384 (Forthcoming in International Journal of Financial Engineering)
  • [P-72]"An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach"
    (Akihiko Takahashi and Toshihiro Yamada)
    Abstract/PDF : CARF-F-394 (Forthcoming in Asia-Pacific Financcial Markets)
  • [P-71]"A General Control Variate Method for Multi-dimensional SDEs: An Application to Multi-asset Options under Local Stochastic Volatility with Jumps Models in Finance"
    (Kenichiro Shiraya and Akihiko Takahashi)
    European Journal of Operational Research, Volume 258, Issue 1, 1 April 2017, Pages 358–371
    DOI:10.1016/j.ejor.2016.08.060
    Abstract/PDF
  • [P-70]"Optimal Room Charge and Expected Sales under Discrete Choice Models with Limited Capacity"
    (Saito Taiga, Akihiko Takahashi and Hiroshi Tsuda)
    International Journal of Hospitality Management, 57 (2016), 116-131 DOI:10.1016/j.ijhm.2016.06.006
    Abstract/PDF
  • [P-69]"A General Framework for the Benchmark pricing in a Fully Collateralized Market"
    International Journal of Financial Engineering, Volume 03, Issue 03, September 2016 , 1650019(30pages) (Masaaki Fujii, Akihiko Takahashi)
    DOI: 10.1142/S2424786316500195
    Abstract/PDF : CARF-F-378(preprint version)
  • [P-28-2]"Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model"
    (Kenichiro Shiraya and Akihiko Takahashi)
    in Section I-3 (pp.31-53) of the book "Commodities" edited by M. A. H. Dempster, Ke Tang, November, 2015, Chapman and Hall/CRC. ISBN 9781498712323 - CAT# K25111
    https://www.crcpress.com/Commodities/Dempster-Tang/p/book/9781498712323
    Abstract/PDF : CARF-F-113 (preprint version)
  • [P-68]"An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models"
    Stochastics: An International Journal of Probability and Stochastic Processes, DOI:10.1080/17442508.2015.1136630, Published online: 01 Feb 2016(Kenichiro Shiraya, Akihiko Takahashi)
    Abstract/PDF : CARF-F-377(preprint version)
  • [P-67] "Price Impacts of Imperfect Collateralization"
    International Journal of Financial Engineering, Volume 03, Issue 01, March 2016 , 155045(31pages)(Kenichiro Shiraya, Akihiko Takahashi)
    DOI:10.1142/s2424786315500450
    Abstract/PDF : CARF-F-375
  • [P-66]"An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets"
    Journal of Computational and Applied Mathematics, Volume 292, 15 January 2016, Pages 230–256(Kenichiro Shiraya, Akihiko Takahashi)
    DOI:10.1016/j.cam.2015.06.027
    Abstract/PDF
  • [P-65]"An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver"
    International Journal of Financial Engineering, Vol. 2, No. 2 (2015) 1550020 (29 pages)(Akihiko Takahashi, Toshihiro Yamada)
    DOI:10.1142/S2424786315500206
    Abstract/PDF : CARF-F-363(preprint version)
  • [P-64]"A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights"
    Annals of Applied Probability, Vol. 26, No.2, pp.818–856, April 2016 (Akihiko Takahashi, Toshihiro Yamada)
    DOI:10.1214/15-AAP1105
    Abstract/PDF : CARF-F-358(preprint version)
  • [P-63]"Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method"
    Asia-Pacific Financial Markets, Vol. 22- 3, pp 283-304, 2015(Masaaki Fujii, Akihiko Takahashi)
    DOI:10.1007/s10690-015-9201-7
    Abstract/PDF : CARF-F-278(preprint version)
  • [P-62]"Asymptotic Expansion Approach in Finance"
    Large Deviations and Asymptotic Methods in Finance, Vol.110, Ch.13, Springer, pp.345-411(67 pages), 2015(Akihiko Takahashi)
    DOI: 10.1007/978-3-319-11605-1
    Abstract/PDF : CIRJE-F-950,CARF-F-356 (preprint version)
  • [P-61]"An FBSDE Approach to American Option Pricing with an Interacting Particle Method"
    Asia-Pacific Financial Markets, Vol. 22-3,pp 239-260, 2015(Masaaki Fujii, Seisho Sato, Akihiko Takahashi)
    DOI:10.1007/s10690-014-9195-6
    Abstract/PDF : CARF-F-352(preprint version)
  • [P-60]"A New Improvement Scheme for Approximation Methods of Probability Density Functions"
    Journal of Computational Finance, 19(4), 73–94, Feb.26, 2016(Akihiko Takahashi, Yukihiro Tsuzuki)
    DOI:10.21314/JCF.2016.213
    Abstract/PDF : CARF-F-350(preprint version)
  • [P-59]"A Semi-group Expansion for Pricing Barrier Options"
    International Journal of Stochastic Analysis, Volume 2014(2014), ArticleID 268086, 15pages(Takashi Kato, Akihiko Takahashi, Toshihiro Yamada)
    DOI:10.1155/2014/268086
    Abstract/PDF : CARF-F-349(preprint version)
  • [P-58]"Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows"
    Quantitative Finance, Volume 15, Issue 3, 2015, pp.535-551(Masaaki Fujii, Akihiko Takahashi)
    DOI:10.1080/14697688.2014.950320
    Abstract/PDF : CARF-F-348(preprint version)
  • [P-57]"On Error Estimates for Asymptotic Expansions with Malliavin Weights --Application to Stochastic Volatility Model--"
    Mathematics of Operations Research, vol.40(3), 2015, pp. 513–541(Published Online: November 7, 2014(Akihiko Takahashi, Toshihiro Yamada))
    DOI:10.1287/moor.2014.0683
    Abstract/PDF : CARF-F-347(preprint version)
  • [P-56]"Making Mean-Variance Hedging Implementable in a Partially Observable Market"
    Quantitative Finance, Volume 14, Issue 10, 2014, pages1709-1724(Masaaki Fujii, Akihiko Takahashi)
    DOI:10.1080/14697688.2013.867453
    Abstract/PDF : CARF-F-332(preprint version)
  • [P-55]"Note on an Extension of an Asymptotic Expansion Scheme,"
    International Journal of Theoretical and Applied Finance, Volume.16, Issue.05, 2013 pp.1350031-1-1350031-23(Akihiko Takahashi, Masashi Toda)
    DOI:10.1142/S0219024913500313
    Abstract/PDF : CARF-F-312(preprint version)
  • [P-54]"Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication"
    Quantitative Finance, Volume.13, Issue.10, 2013, Special Issue: Themed Issue on Fund Management, pages 1559-1573, DOI:10.1080/14697688.2013.779014(Akihiko Takahashi, Kyo Yamamoto)
    Abstract/PDF : CARF-F-308(preprint version)
  • [P-53]"An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model,"
    JSIAM Letters, Vol. 5, 2013, pp.17-20. (Takashi Kato, Akihiko Takahashi, Toshihiro Yamada)
    https://www.jstage.jst.go.jp/article/jsiaml/5/0/5_17/_pdf
    Abstract/PDF : CARF-F-304(preprint version)
  • [P-52]"Pricing Multi-Asset Cross Currency Options,"
    Journal of Futures Markets, Vol.34-1, pp.1-19, lead_article, 2014 (first published online: Dec., 2012)(Kenichiro Shiraya, Akihiko Takahashi)
    DOI:10.1002/fut.21590
    Abstract/PDF : CARF-F-290(preprint version)
  • [P-51]"Derivative Pricing under Asymmetric and Imperfect Collateralization, and CVA,"
    Quantitative Finance, Vol. 13, No.5, pp.749-768, 2013 (Masaaki Fujii, Akihiko Takahashi)
    DOI:10.1080/14697688.2012.738931
    Abstract/PDF : CARF-F-265(preprint version)
  • [P-50]"Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility"
    Quarterly Jornal of Finance, Vol.2, No.3 (2012) 1250015, DOI:10.1142/S2010139212500152 (Masaaki Fujii, Akihiko Takahashi)
    Abstract/PDF : CARF-F-270 (preprint version)
  • [P-49]"Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)"
    associated with Chapter 6 (pp.241-282): Interest Rate Modelling under Full Collateralisation, in 「Interest Rate Modelling After The Financial Crisis,」 Risk books, Incisive Media, published in 11, June, 2013.(Masaaki Fujii, Akihiko Takahashi)
    http://riskbooks.com/interest-rate-modelling-after-the-financial-crisis
    Abstract/PDF : CARF-F-260
  • [P-48]"Collateralized CDS and Default Dependence -Implications for the Central Clearing"
    The Journal of Credit Risk, Vol.8-3, fall, 2012. (Masaaki Fujii, Akihiko Takahashi)
    Abstract/PDF : CARF-F-246 (preprint version)
  • [P-47]"A Remark on Approximation of the Solutions to Partial Differential Equations in Finance"
    Recent Advances in Financial Engineering 2011, 2011, pp.133-181. (Akihiko Takahashi, Toshihiro Yamada)
    Abstract/PDF : CARF-F-273(preprint version)
  • [P-46]"A General Computation Scheme for a High-Order Asymptotic Expansion Method"
    International Journal of Theoretical and Applied Finance, Vol.15-6, 2012. (Akihiko Takahashi, Kohta Takehara, Masashi Toda)
    Abstract/PDF : CARF-F-272(preprint version)
  • [P-45]"A Survey on Modeling and Analysis of Basis Spreads"
    Recent Advances in Financial Engineering 2011, 2011, pp.43-53. (Masaaki Fujii, Akihiko Takahashi )
    Abstract/PDF : CARF-F-195(preprint version)
  • [P-44]"Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme"
    International Journal of Theoretical and Applied Finance, Vol.15-5, 2012.(Masaaki Fujii, Akihiko Takahashi)
    Abstract/PDF : CARF-F-248 (preprint version)
  • [P-43]"An Asymptotic Expansion with Push-Down of Malliavin Weights"
    SIAM Journal on Financial Mathematics, Volume.3, pp.95-136, 2012(Akihiko Takahashi and Toshihiro Yamada)
    Abstract/PDF : CARF-F-256 (preprint version)
  • [P-42]"Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models"
    Wilmott , Volume 2012, Issue 61, pp.48-63, September 2012(Kenichiro Shiraya, Akihiko Takahashi, and Akira Yamazaki)
    Abstract/PDF : CARF-F-255 (preprint version)
  • [P-41]"Pricing Discrete Barrier Options Under Stochastic Volatility"
    Asia-Pacific Financial Markets, Vol. 19 -3, pp 205-232,2012(Kenichiro Shiraya, Akihiko Takahashi, Toshihiro Yamada)
    Abstract/PDF : CARF-F-210 (preprint version)
  • [P-40]"A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies"
    Wilmott Magazine, Volume 2011, Issue 54, pp.61-73, 2011 (Masaaki Fujii, Yasufumi Shimada, Akihiko Takahashi)
    Abstract/PDF : CARF-F-196 (preprint version)]
  • [P-39]"Modeling of Interest Rate Term Structures under Collateralization and its Implications"
    Recent Advances in Financial Engineering 2010, pp.83-104, 2011.(Masaaki Fujii, Akihiko Takahashi)
    Abstract/PDF : CARF-F-230 (preprint version)
  • [P-38]"Choice of Collateral Currency"
    Risk Magazine, January 2011, pp.120-125, 2011 (Masaaki Fujii, Akihiko Takahashi)
    Abstract/PDF : CARF-F-239 (preprint version)
  • [P-37]"Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments"
    International Journal of Theoretical and Applied Finance, Vol 14-4, pp.485-505, 2011 ( Akihiko Takahashi, Yukihiro Tsuzuki, Akira Yamazaki )
    Abstract/PDF : CARF-F-238 (preprint version)
  • [P-36]"Application of a High-Order Aymptotic Expantion Scheme to Long-Term Currency Options"
    The International Journal of Business and Finance Research, vol. 5-3, pp.87-100, 2011(Kohta Takehara, Masashi Toda , Akihiko Takahashi)
    Abstract/PDF : CARF-F-225 (preprint version)
  • [P-35]"Pricing Average Options on Commodities"
    Journal of Futures Markets, Vol.31-5, pp.407-439, lead_article, 2011. (Kenichiro Shiraya , Akihiko Takahashi)
    Abstract/PDF : CARF-F-177 (preprint version)
  • [P-34]"Pricing Barrier and Average Options under Stochastic Volatility Environment"
    Journal of Computational Finance, vol.15-2,winter 2011/12, pp.111-148(Kenichiro Shiraya, Akihiko Takahashi, Masashi Toda )
    Abstract/PDF : CARF-F-176 (preprint version)
  • [P-33]"A Note on Construction of Multiple Swap Curves with and without Collateral"
    FSA Research Review, Vol.6, pp.139-157, March, 2010. (Masaaki Fujii, Yasufumi Shimada, Akihiko Takahashi )
    Abstract/PDF : CARF-F-154 (preprint version)
  • [P-32]"A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options,"
    International Journal of Theoretical and Applied Finance, Vol.13-8, pp.1179-1221, 2010. (Akihiko Takahashi , Kohta Takehara)
    Abstract/PDF : CARF-F-116 (preprint version)
  • [P-31]"New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme"
    Recent Advances in Financial Engineering, pp.231-251, 2011 ( Kohta Takehara, Akihiko Takahashi, Masashi Toda )
    Abstract/PDF : CARF-F-212 (preprint version)
  • [P-30]"A New Hedge Fund Replication Method With The Dynamic Optimal Portfolio"
    Global Journal of Business Research, Vol. 4, No. 4, pp.23-34, 2010 ( Akihiko Takahashi, Kyo Yamamoto )
    Abstract/PDF : CARF-F-211 (preprint version)
  • [P-29]"Hedge Fund Replication,"
    The Recent Trend of Hedge Fund Strategies, pp.57-96, Nova Science Publishers, Chapter 2, 2010 (Akihiko Takahashi, Kyo Yamamoto )
    Abstract/PDF : CARF-F-137 (preprint version)
  • [P-28]"Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model,"
    Quantitative Finance, Vol.12-12, pp.1811-1826, 2012(First Published 24, March 2012)(Kenichiro Shiraya, Akihiko Takahashi )
    Abstract/PDF : CARF-F-113 (preprint version)
  • [P-27]"Asymptotic Expansion Approaches in Finance: Applications to Currency Options,"
    Finance and Banking Developments, pp.185-232, Nova Science Publishers, 2010 (Akihiko Takahashi, Kohta Takehara )
    Abstract/PDF : CARF-F-165 (preprint version)
  • [P-26]"A Remark on a Singular Perturbation Method for Option Pricing under a Stochastic Volatility Model,"
    Asia-Pacific Financial Markets, Vol.16-4, pp.333-345, 2009.(Kyo Yamamoto, Akihiko Takahashi)
    Download (preprint version)
  • [P-25]"Macroeconomic Implications of Term Structures of Interest Rates under Stochastic Differential Utility with Non-Unitary EIS,"
    Asia-Pacific Financial Markets, vol.16-3, pp.231-263, 2009(Hisashi Nakamura, Wataru Nozawa, Akihiko Takahashi )
    Abstract/PDF : CARF-F-141 (preprint version)
  • [P-24]"On an Asymptotic Expansion Approach to Numerical Problems in Finance,"
    Selected Papers on Probability and Statistics, pp.199-217, 2009, American Mathematical Society
    Download (preprint version)
  • [P-23]"Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment,"
    International Journal of Theoretical and Applied Finance, vol.13-2, pp.335-354, 2010(Yamamoto Kyo, Seisho Sato, Akihiko Takahashi )
    Abstract/PDF : CARF-F-138 (preprint version)
  • [P-22]"Term Structure of Interest Rates under Recursive Preferences in Continuous Time,"
    Asia-Pacific Financial Markets, Vol.15-3,4, pp.273-305, 2008. (Hisashi Nakamura, Keita Nakayama, Akihiko Takahashi )
    Abstract/PDF : CARF-F-118 (preprint version)
  • [P-21]"Efficient Static Replication of European Options under Exponential Levy Models,"
    Journal of Futures Markets, Vol.29-1, pp.1-15, 2009. (Akihiko Takahashi, Akira Yamazaki )
    Abstract/PDF : CARF-F-105 (preprint version)
  • [P-20]"A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models,"
    Journal of Futures Markets, Vol.29-5, pp.397-413, 2009. (Akihiko Takahashi, Akira Yamazaki )
    Abstract/PDF : CARF-F-120 (preprint version)
  • [P-19]"A Factor Allocation Approach to Optimal Bond Portfolio,"
    Asia-Pacific Financial Markets, Vol.14-4, pp.299-324, 2007. (Keita Nakayama and Akihiko Takahashi)
    Abstract/PDF : CARF-F-076 (preprint version)
  • [P-18]"Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options,"
    International Journal of Theoretical and Applied Finance, Vol.11-4, pp.381-401, 2008. (Akihiko Takahashi and Kohta Takehara )
    Abstract/PDF : CARF-F-097 (preprint version)
  • [P-17]"Selection and Performance Analysis of Asia-Pacific Hedge Funds,"
    The Journal of Alternative Investments, Vol.10-3, pp.7-29, Winter 2007. (Takeshi Hakamada, Akihiko Takahashi, Kyo Yamamoto)
    Download (preprint version)
  • [P-16]"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, Vol.14-1,2, pp.69-121, 2007. (Akihiko Takahashi and Kohta Takehara)
    Abstract/PDF : CARF-F-092 (preprint version)
  • [P-15]"A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach,"
    Asia-Pacific Financial Markets, Vol.11, pp.393-430, 2006. (Ryosuke Matsuoka, Akihiko Takahashi and Yoshihiko Uchida )
    Abstract/PDF : CARF-F-044 (preprint version)
  • [P-14]"New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation,"
    Advances in Mathematical Economics, Vol. 8, pp.411-431, 2006. (Takahashi Akihiko and Yoshihiko Uchida )
    Abstract/PDF : CARF-F-012 (preprint version)
  • [P-13]"Monte Carlo Simulation with Asymptotic Method,"
    Journal of Japan Statistical Society, Vol. 35-2, pp.171-203, 2005. (Takahashi Akihiko and Nakahiro Yoshida )
    Abstract/PDF : CARF-F-030 (preprint version)
  • [P-12]"An Asymptotic Expansion Approach to Computing Greeks,"
    FSA Research Review 2005, pp.72-108, 2005. (Ryosuke Matsuoka and Akihiko Takahashi)
    Download (preprint version)
  • [P-11]"Dynamic Optimality of Yield Curve Strategies,"
    International Review of Finance, Vol.4, pp.49-78, 2003, (published in 2005.). (Kobayashi, Takao, Akihiko Takahashi and Norio Tokioka )
    Abstract/PDF : CARF-F-013 (preprint version)
  • [P-10]"An Asymptotic Expansion Scheme for Optimal Investment Problems,"
    Statistical Inference for Stochastic Processes, Vol.7-2, pp.153-188, 2004. (Akihiko Takahashi, Nakahiro Yoshida)
    Abstract/PDF : CIRJE-F-248 (preprint version)
  • [P-09]"Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems,"
    Stochastic Processes and Applications to Mathematical Finance, pp.195-232, 2004. (Naoto Kunitomo, Akihiko Takahashi)
    Abstract/PDF : CIRJE-F-245 (preprint version)
  • [P-08]"Option Pricing in HJM Model using an Asymptotic Expansion Method,"
    FSA Research Review 2004, pp.82-103, 2004. (Akihiko Takahashi and Shuichiro Matsushima)
    Download (preprint version)
  • [P-07]"On Validity of the Asymptotic Expansion Approach in Contingent Claim Analysis,"
    Annals of Applied Probability, Vol.13-3 August, pp.914-952, 2003. (Naoto Kunitomo, Akihiko Takahashi)
    Download (preprint version)
  • [P-06]"A Monte Carlo Filtering Approach for Estimating the Term Structure of Interest Rates,"
    Annals of the Institute of Statistical Mathematics, Vol.53, pp.50-62, 2001. (Akihiko Takahashi, Seisho Sato)
    Download (preprint version)
  • [P-05]"The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims,"
    Mathematical Finance, Vol.11, pp.117-151, 2001. (Naoto Kunitomo, Akihiko Takahashi)
    Download (preprint version)
  • [P-04]"Pricing Convertible Bonds with Default Risk,"
    The Journal of Fixed Income, Vol.11-3, December, pp.20-29, 2001. (Akihiko Takahashi, Takao Kobayashi, Naruhisa Nakagawa)
    Download (preprint version)
  • [P-03]"An Asymptotic Expansion Scheme for the Optimal Portfolio for Investment,"
    Mathematical Economics, Kokyuroku 1215, Research Institute for Mathematical Sciences(RIMS), Kyoto University, 2001. (Akihiko Takahashi, Nakahiro Yoshida)
    Download (preprint version)
  • [P-02]"A Variable Reduction Technique for Pricing Average-Rate Options,"
    International Review of Finance, Vol. 1, pp.123-142, 2000. (Hua He, Akihiko Takahashi)
    Download (preprint version)
  • [P-01]"An Asymptotic Expansion Approach to Financial Contingent Claims,"
    Asia-Pacific Financial Markets, Vol. 6, pp.115-151, 1999.
    Download (preprint version)


Working Papers

  • [WP-27]"An Asymptotic Expansion for Solutions of Cauchy-Dirichlet Problem for Second Order ParabolicPDEs and its Application to Pricing Barrier Options"
    2012.2. (Takashi Kato, Akihiko Takahashi, Toshihiro Yamada)
    Abstract/PDF : CARF-F-271
  • [WP-25]"On Approximation of the Solutions to Partial Differential Equations in Finance"
    2011.8. (Akihiko Takahashi, Toshihiro Yamada )
    Abstract/PDF : CARF-F-249
  • [WP-22]"Rebalancing Super-Replications,"
    2011.4. (Akihiko Takahashi, Yukihiro Tsuzuki )
    Abstract/PDF : CARF-F-245
  • [WP-20]"Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management-"
    2010.05. (Masaaki Fujii, Yasufumi Shimada, Akihiko Takahashi )
    Abstract/PDF : CARF-F-216
  • [WP-15]"An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options"
    2009.11. (Akihiko Takahashi, Toshihiro Yamada)
    Download (preprint version)
  • [WP-11]"A Note on Pricing Barrier Options under a Stochastic Volatility Model -An Asymptotic Expansion with Static Hedging-"
    2009.7. (Kenichiro Shiraya, Akihiko Takahashi, Masashi Toda)
    Download (preprint version)
  • [WP-09]"Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication"
    CARF-F-150 (CIRJE-F-624), 2009.6. (Akihiko Takahashi, Kyo Yamamoto )
    Abstract/PDF : CARF-F-150
  • [WP-08]"Computation in an Asymptotic Expansion Method,"
    CARF-F-149 (CIRJE-F-621), 2009.5. (Akihiko Takahashi, Kohta Takehara, Masashi Toda)
    Abstract/PDF : CIRJE-F-621
  • [WP-06]"An Asymptotic Expansion Approach in Finance,"
    CARF-F-102(CIRJE-F-509), 2007.8(revised in 2008.11).
    Abstract/PDF : CARF-F-102
  • [WP-05]"Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates,"
    CARF-F-082, 2006.10. (Akihiko Takahashi, Kota Takehara, Akira Yamazaki )
    Abstract/PDF : CARF-F-082
  • [WP-04]A Note on Computing Greeks by an Asymptotic Expansion Scheme,
    2005.11.
  • [WP-03]"Style Analysis Based on a General State Space Model and Monte Carlo Filter,"
    CARF-F-032(CIRJE-F-337), 2005.4(revised in 2007.11). (Kobayashi Takao, Seisho Sato, Akihiko Takahashi )
    Abstract/PDF : CARF-F-032
  • [WP-02]"Pricing of Securities with Default Risks,"
    Technical Report, The Industrial Bank of Japan, 1997.
  • [WP-01]"Practitioner's Recipe for Number-Theoretic Quasi Random Sequence Generator,"
    Technical Report, The Industrial Bank of Japan, 1997. (with Keiichiro Ikeda and Masakazu Ando)


Ph.D. Dissertation and Master Paper

  • [DM-02]"Essays on the Valuation Problems of Contingent Claims,"
    Ph.D. Dissertation, University of California, Berkeley, 1995.
  • [DM-01]"Valuation of Interest Rates Contingent Claims Based on HJM Model,"
    Unpublished Master Paper, Haas School of Business, University of California, Berkeley, 1992.

Office

Economics Research Building, The University of Tokyo, 7-3-1, Hongo, Bunkyo-ku, Tokyo, 113-0033, Japan