Publication:5486566
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zbMath1191.91057MaRDI QIDQ5486566
Akihiko Takahashi, Naoto Kunitomo
Publication date: 11 September 2006
Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0010.html
asymptotic expansion; term structure of interest rates; Monte Carlo method; Malliavin-Watanabe calculus; optimal portfolio insurance
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
60H07: Stochastic calculus of variations and the Malliavin calculus
91G10: Portfolio theory
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