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Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems

In: Stochastic Processes And Applications To Mathematical Finance

Author

Listed:
  • Naoto Kunitomo

    (Graduate School of Economics, University of Tokyo, Japan)

  • Akihiko Takahashi

    (Graduate School of Mathematical Sciences, University of Tokyo, Japan)

Abstract

This paper reviews the asymptotic expansion approach based on Malliavin-Watanabe Calculus in Mathematical Finance. We give the basic formulation of the asymptotic expansion approach and discuss its power and usefulness to solve important problems arisen in finance. As illustrations we use three major problems in finance and give some useful formulae and new results including numerical analyses.

Suggested Citation

  • Naoto Kunitomo & Akihiko Takahashi, 2004. "Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 10, pages 195-232, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812702852_0010
    as

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