Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems

zbMATH Open1191.91057MaRDI QIDQ5486566FDOQ5486566

Authors: Naoto Kunitomo, Akihiko Takahashi 

Publication date: 11 September 2006

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0010.html

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zbMATH Keywords

asymptotic expansionMonte Carlo methodterm structure of interest ratesMalliavin-Watanabe calculusoptimal portfolio insurance

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cited In (12)

• EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL
• Asymptotic Expansion Approach in Finance
• 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
• On validity of the asymptotic expansion approach in contingent claim analysis
• An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
• Pricing exotic options and American options: a multidimensional asymptotic expansion approach
• Malliavin calculus method for asymptotic expansion of dual control problems
• A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
• A new computational scheme for computing Greeks by the asymptotic expansion approach
• Matched asymptotic expansions in financial engineering

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