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Jiro Akahori

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First Name:Jiro
Middle Name:
Last Name:Akahori
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RePEc Short-ID:pak46
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http://www.ritsumei.ac.jp/~akahori/index-e.html

Affiliation

Ritsumeikan Univeristy

http://www.math.ritsumei.ac.jp/index-e.html
Kusatsu, Shiga

Research output

as
Jump to: Working papers Articles Chapters Books Editorship

Working papers

  1. Jir^o Akahori & Nien-Lin Liu & Maria Elvira Mancino & Tommaso Mariotti & Yukie Yasuda, 2023. "Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix," Papers 2304.04372, arXiv.org.
  2. Jir^o Akahori & Yuuki Ida & Maho Nishida & Shuji Tamada, 2020. "The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk," Papers 2012.09606, arXiv.org.
  3. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2018. "Asymptotic Static Hedge via Symmetrization," Papers 1801.04045, arXiv.org.
  4. Jiro Akahori & Xiaoming Song & Tai-Ho Wang, 2017. "Probability density of lognormal fractional SABR model," Papers 1702.08081, arXiv.org, revised Jan 2019.
  5. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2017. "The Value of Timing Risk," Papers 1701.05695, arXiv.org.
  6. Jiro Akahori & Hai Ha Pham, 2017. "Default Contagion with Domino Effect , A First Passage Time Approach," Papers 1708.08411, arXiv.org.
  7. Jir^o Akahori & Nien-Lin Liu & Maria Elvira Mancino & Yukie Yasuda, 2014. "The Fourier estimation method with positive semi-definite estimators," Papers 1410.0112, arXiv.org.
  8. Jiro Akahori & Yuri Imamura, 2012. "On a Symmetrization of Diffusion Processes," Papers 1206.5983, arXiv.org.
  9. Jiro Akahori & Andrea Macrina, 2010. "Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes," Papers 1012.1878, arXiv.org.
  10. Jiro Akahori & Yuji Hishida & Josef Teichmann & Takahiro Tsuchiya, 2009. "A Heat Kernel Approach to Interest Rate Models," Papers 0910.5033, arXiv.org.
  11. Jir^o Akahori & Yuuki Kanishi & Yuichi Morimura, 2008. "Calibration of transparency risks: a note," Papers 0804.1642, arXiv.org, revised Oct 2009.
  12. Jir^o Akahori & Takahiro Tsuchiya, 2006. "What is the natural scale for a L\'evy process in modelling term structure of interest rates?," Papers math/0612341, arXiv.org.
  13. Jir^o Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor," Papers math/0606183, arXiv.org.

Articles

  1. J. Akahori & F. Barsotti & Y. Imamura, 2023. "Hedging error as generalized timing risk," Quantitative Finance, Taylor & Francis Journals, vol. 23(4), pages 693-703, April.
  2. Jirô Akahori & Ryuya Namba & Shunsuke Semba, 2023. "Limit Theorems for Iterates of the Szász–Mirakyan Operator in Probabilistic View," Journal of Theoretical Probability, Springer, vol. 36(2), pages 1321-1338, June.
  3. Akahori, Jirô & Fan, Jie Yen & Imamura, Yuri, 2023. "On the convergence order of a binary tree approximation of symmetrized diffusion processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 211(C), pages 263-277.
  4. Jiro Akahori & Xiaoming Song & Tai-Ho Wang, 2022. "Probability Density of Lognormal Fractional SABR Model," Risks, MDPI, vol. 10(8), pages 1-27, August.
  5. J. Akahori & C. Constantinescu & Y. Imamura & H. H. Pham, 2022. "An application of risk theory to mortgage lending," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2022(5), pages 447-469, May.
  6. Akahori, Jirô & Kinuya, Masahiro & Sawai, Takashi & Yuasa, Tomooki, 2021. "An efficient weak Euler–Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 187(C), pages 540-565.
  7. Akahori, Jirô & Ida, Yuuki & Markowsky, Greg, 2019. "p-conformal maps on the triangular lattice," Statistics & Probability Letters, Elsevier, vol. 151(C), pages 42-48.
  8. Akahori, Jiro & Song, Xiaoming & Wang, Tai-Ho, 2019. "Bridge representation and modal-path approximation," Stochastic Processes and their Applications, Elsevier, vol. 129(1), pages 174-204.
  9. Jirô Akahori & Takafumi Amaba & Kaori Okuma, 2017. "A Discrete-Time Clark–Ocone Formula and its Application to an Error Analysis," Journal of Theoretical Probability, Springer, vol. 30(3), pages 932-960, September.
  10. Jirô Akahori & Yuri Imamura, 2014. "On a symmetrization of diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1211-1216, July.
  11. Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-15.
  12. Jirô Akahori & Yuri Imamura & Yuko Yano, 2009. "On the Pricing of Options Written on the Last Exit Time," Methodology and Computing in Applied Probability, Springer, vol. 11(4), pages 661-668, December.
  13. Jirô Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 151-179, June.
  14. Jirô Akahori & Keisuke Hara, 2006. "Lifting Quadratic Term Structure Models To Infinite Dimension," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 635-645, October.
  15. Jirô Akahori & Takahiro Tsuchiya, 2006. "What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 299-313, December.
  16. Jirô Akahori, 2005. "A discrete Itô calculus approach to He’s framework for multi-factor discrete markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 273-287, September.
  17. Jirô Akahori, 1999. "On the Quasi Gaussian Interest Rate Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 6(1), pages 3-6, January.

Chapters

  1. Jirô Akahori & Andrea Macrina, 2022. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Dorje Brody & Lane Hughston & Andrea Macrina (ed.), Financial Informatics An Information-Based Approach to Asset Pricing, chapter 9, pages 179-193, World Scientific Publishing Co. Pte. Ltd..
  2. Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 1, pages 1-15, World Scientific Publishing Co. Pte. Ltd..

Books

  1. Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), 2007. "Stochastic Processes and Applications to Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6330.
  2. Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), 2006. "Stochastic Processes and Applications to Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5956.
  3. Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), 2004. "Stochastic Processes and Applications to Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5487.

Editorship

  1. Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jiro Akahori & Xiaoming Song & Tai-Ho Wang, 2017. "Probability density of lognormal fractional SABR model," Papers 1702.08081, arXiv.org, revised Jan 2019.

    Cited by:

    1. Elisa Alos & Rupak Chatterjee & Sebastian Tudor & Tai-Ho Wang, 2018. "Target volatility option pricing in lognormal fractional SABR model," Papers 1801.08215, arXiv.org.
    2. Tudor, Sebastian F. & Chatterjee, Rupak & Nguyen, Lac & Huang, Yuping, 2019. "Quantum systems for Monte Carlo methods and applications to fractional stochastic processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    3. Elisa Alòs & Kenichiro Shiraya, 2019. "Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach," Finance and Stochastics, Springer, vol. 23(2), pages 423-447, April.

  2. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2017. "The Value of Timing Risk," Papers 1701.05695, arXiv.org.

    Cited by:

    1. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2018. "Asymptotic Static Hedge via Symmetrization," Papers 1801.04045, arXiv.org.

  3. Jiro Akahori & Yuri Imamura, 2012. "On a Symmetrization of Diffusion Processes," Papers 1206.5983, arXiv.org.

    Cited by:

    1. Yuri Imamura & Yuta Ishigaki & Takuya Kawagoe & Toshiki Okumura, 2012. "A Numerical Scheme Based on Semi-Static Hedging Strategy," Papers 1206.2934, arXiv.org, revised Aug 2012.
    2. Akahori, Jirô & Fan, Jie Yen & Imamura, Yuri, 2023. "On the convergence order of a binary tree approximation of symmetrized diffusion processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 211(C), pages 263-277.
    3. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2018. "Asymptotic Static Hedge via Symmetrization," Papers 1801.04045, arXiv.org.
    4. Ngo, Hoang-Long & Taguchi, Dai, 2017. "Strong convergence for the Euler–Maruyama approximation of stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 55-63.
    5. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2017. "The Value of Timing Risk," Papers 1701.05695, arXiv.org.
    6. Yuji Hishida & Yuta Ishigaki & Toshiki Okumura, 2019. "A Numerical Scheme for Expectations with First Hitting Time to Smooth Boundary," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 553-565, December.
    7. Ngo, Hoang-Long & Taguchi, Dai, 2019. "On the Euler–Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 161(C), pages 102-112.

  4. Jiro Akahori & Andrea Macrina, 2010. "Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes," Papers 1012.1878, arXiv.org.

    Cited by:

    1. Andrea Macrina, 2012. "Heat Kernel Framework for Asset Pricing in Finite Time," Papers 1211.0856, arXiv.org, revised Sep 2013.
    2. Andrea Macrina & Priyanka A. Parbhoo, 2011. "Randomised Mixture Models for Pricing Kernels," Papers 1112.2059, arXiv.org.
    3. Andrea Macrina & Priyanka A. Parbhoo, 2010. "Security Pricing with Information-Sensitive Discounting," Papers 1001.3570, arXiv.org, revised Jun 2010.
    4. Andrea Macrina & Priyanka Parbhoo, 2014. "Randomised Mixture Models for Pricing Kernels," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 281-315, November.
    5. Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Papers 1801.04994, arXiv.org, revised Feb 2018.
    6. Andrea Macrina & David Skovmand, 2020. "Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks," Risks, MDPI, vol. 8(1), pages 1-18, March.
    7. Andrea Macrina & Priyanka A. Parbhoo, 2010. "Securities Pricing with Information-Sensitive Discounting," KIER Working Papers 695, Kyoto University, Institute of Economic Research.
    8. Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Risks, MDPI, vol. 6(1), pages 1-39, March.

  5. Jiro Akahori & Yuji Hishida & Josef Teichmann & Takahiro Tsuchiya, 2009. "A Heat Kernel Approach to Interest Rate Models," Papers 0910.5033, arXiv.org.

    Cited by:

    1. Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-15.
    2. Andrea Macrina, 2012. "Heat Kernel Framework for Asset Pricing in Finite Time," Papers 1211.0856, arXiv.org, revised Sep 2013.
    3. Andrea Macrina & Priyanka A. Parbhoo, 2011. "Randomised Mixture Models for Pricing Kernels," Papers 1112.2059, arXiv.org.
    4. Andrea Macrina & Priyanka A. Parbhoo, 2010. "Security Pricing with Information-Sensitive Discounting," Papers 1001.3570, arXiv.org, revised Jun 2010.
    5. Andrea Macrina & Priyanka Parbhoo, 2014. "Randomised Mixture Models for Pricing Kernels," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 281-315, November.
    6. Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand, 2015. "Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments," Papers 1502.07397, arXiv.org.
    7. Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Papers 1801.04994, arXiv.org, revised Feb 2018.
    8. Andrea Macrina & David Skovmand, 2020. "Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks," Risks, MDPI, vol. 8(1), pages 1-18, March.
    9. Andrea Macrina & Priyanka A. Parbhoo, 2010. "Securities Pricing with Information-Sensitive Discounting," KIER Working Papers 695, Kyoto University, Institute of Economic Research.

  6. Jir^o Akahori & Takahiro Tsuchiya, 2006. "What is the natural scale for a L\'evy process in modelling term structure of interest rates?," Papers math/0612341, arXiv.org.

    Cited by:

    1. Jiro Akahori & Yuji Hishida & Josef Teichmann & Takahiro Tsuchiya, 2009. "A Heat Kernel Approach to Interest Rate Models," Papers 0910.5033, arXiv.org.
    2. Yuta Inoue & Takahiro Tsuchiya, 2011. "Defaultable Bonds via HKA," Papers 1103.4541, arXiv.org.

  7. Jir^o Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor," Papers math/0606183, arXiv.org.

    Cited by:

    1. Young Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017. "Another Look at the Ho-Lee Bond Option Pricing Model," Papers 1712.06664, arXiv.org.
    2. Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.

Articles

  1. Akahori, Jirô & Kinuya, Masahiro & Sawai, Takashi & Yuasa, Tomooki, 2021. "An efficient weak Euler–Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 187(C), pages 540-565.

    Cited by:

    1. Tsubasa Nishimura & Kenji Yasutomi & Tomooki Yuasa, 2022. "Higher-Order Error Estimates of the Discrete-Time Clark–Ocone Formula," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2518-2539, December.

  2. Akahori, Jiro & Song, Xiaoming & Wang, Tai-Ho, 2019. "Bridge representation and modal-path approximation," Stochastic Processes and their Applications, Elsevier, vol. 129(1), pages 174-204.

    Cited by:

    1. Liang-Ching Lin & Li-Hsien Sun, 2019. "Modeling financial interval time series," PLOS ONE, Public Library of Science, vol. 14(2), pages 1-20, February.

  3. Jirô Akahori & Takafumi Amaba & Kaori Okuma, 2017. "A Discrete-Time Clark–Ocone Formula and its Application to an Error Analysis," Journal of Theoretical Probability, Springer, vol. 30(3), pages 932-960, September.

    Cited by:

    1. Tsubasa Nishimura & Kenji Yasutomi & Tomooki Yuasa, 2022. "Higher-Order Error Estimates of the Discrete-Time Clark–Ocone Formula," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2518-2539, December.

  4. Jirô Akahori & Yuri Imamura, 2014. "On a symmetrization of diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1211-1216, July.
    See citations under working paper version above.
  5. Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-15.
    See citations under working paper version above.
  6. Jirô Akahori & Yuri Imamura & Yuko Yano, 2009. "On the Pricing of Options Written on the Last Exit Time," Methodology and Computing in Applied Probability, Springer, vol. 11(4), pages 661-668, December.

    Cited by:

    1. Yuri Imamura, 2011. "A remark on static hedging of options written on the last exit time," Review of Derivatives Research, Springer, vol. 14(3), pages 333-347, October.

  7. Jirô Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 151-179, June.
    See citations under working paper version above.
  8. Jirô Akahori & Keisuke Hara, 2006. "Lifting Quadratic Term Structure Models To Infinite Dimension," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 635-645, October.

    Cited by:

    1. Jir^o Akahori & Takahiro Tsuchiya, 2006. "What is the natural scale for a L\'evy process in modelling term structure of interest rates?," Papers math/0612341, arXiv.org.

  9. Jirô Akahori & Takahiro Tsuchiya, 2006. "What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 299-313, December.
    See citations under working paper version above.
  10. Jirô Akahori, 2005. "A discrete Itô calculus approach to He’s framework for multi-factor discrete markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 273-287, September.

    Cited by:

    1. Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö, 2017. "The scaling limit of superreplication prices with small transaction costs in the multivariate case," Finance and Stochastics, Springer, vol. 21(2), pages 487-508, April.
    2. Jirô Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 151-179, June.

Chapters

  1. Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 1, pages 1-15, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.Sorry, no citations of chapters recorded.

Books

  1. Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), 2006. "Stochastic Processes and Applications to Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5956.

    Cited by:

    1. Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski, 2011. "Hedging of a credit default swaption in the CIR default intensity model," Finance and Stochastics, Springer, vol. 15(3), pages 541-572, September.

  2. Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), 2004. "Stochastic Processes and Applications to Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5487.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. Ankush Agarwal & Stefano de Marco & Emmanuel Gobet & Gang Liu, 2017. "Rare event simulation related to financial risks: efficient estimation and sensitivity analysis," Working Papers hal-01219616, HAL.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (3) 2017-01-29 2018-01-22 2021-01-25
  2. NEP-ECM: Econometrics (2) 2014-10-22 2023-05-08
  3. NEP-ETS: Econometric Time Series (2) 2017-03-05 2023-05-08
  4. NEP-IAS: Insurance Economics (1) 2021-01-25
  5. NEP-MAC: Macroeconomics (1) 2023-05-08

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