scientific article; zbMATH DE number 5052228
From MaRDI portal
Publication:5486566
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
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
asymptotic expansionterm structure of interest ratesMonte Carlo methodMalliavin-Watanabe calculusoptimal portfolio insurance
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)
Related Items
A new computational scheme for computing Greeks by the asymptotic expansion approach, Asymptotic Expansion Approach in Finance, Pricing exotic options and American options: a multidimensional asymptotic expansion approach, A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance, EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL, An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets, An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates, Large-maturity regimes of the Heston forward smile, Asymptotics of Forward Implied Volatility
