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"On Recent Developments in Mathematical Finance" (in Japanese)

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Author Info
Naoto Kunitomo (Faculty of Economics, University of Tokyo)
Akoihiko Takahashi (Department of Mathematical Informatics, University of Tokyo)
Abstract

We review some recent developments in mathematical finance and financial econometrics. In particular we discuss the asymptotic expansion approach recently proposed by Kunitomo and Takahashi (1995, 2001, 2002). Its mathematical validity is closely related to the Watanabe=Yoshida theory on Malliavin Calculus in Stochastic Analysis.

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Publisher Info
Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-84.

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Length: 14 pages
Date of creation: Nov 2002
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Handle: RePEc:tky:jseres:2002cj84

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