.
Takahashi, Akihiko's
Scholarly Papers
Click on the title of any column to sort the table by that
column.
Aggregate Statistics
Total 11,562
Total Citations 96
1.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Shimada, Yasufumi Shinsei Bank, Ltd
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Posted:
30 Jul 09
Last Revised:
29 Jan 10
4,199(762)
13
Libor, swap, tenor, yield curve, collateral, overnight index swap, cross currency, basis spread
2.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Shimada, Yasufumi Shinsei Bank, Ltd
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
1,380(5,495)
14
Market Model, HJM model, Libor, tenor, swap, curve, OIS, cross currency, basis spread, interest rate model, derivatives, multi-currency
3.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Shimada, Yasufumi Shinsei Bank, Ltd
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Posted:
21 Feb 10
Last Revised:
23 Mar 10
1,091(8,151)
6
Libor, Swap, Tenor, Yield Curve, Collateral, Overnight Index Swap, Cross Currency, Basis Spread, Market Model, HJM
4.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Shimada, Yasufumi Shinsei Bank, Ltd
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
951(10,165)
2
swap, collateral, derivatives, Libor, currency, OIS, EONIA, Fed-Fund, CCS, basis, risk management, CSA, CVA, term structure
5.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Shimada, Yasufumi Shinsei Bank, Ltd
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
944(10,277)
Libor, swap, tenor, swap spread, curve, overnight index swap, cross currency, basis spread
6.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Shimada, Yasufumi Shinsei Bank, Ltd
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
493(26,236)
5
swap, collateral, Libor, OIS, EONIA, Fed-Fund, cross currency, basis, HJM, CSA, CVA
7.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Posted:
28 Dec 10
Last Revised:
19 Dec 11
381(36,580)
7
CSA, CVA, Swap, Collateral, Derivatives, one-way CSA, Currency, OIS, CCS, Basis, Risk Management
8.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Takehara, Kohta University of Tokyo - Graduate School of Economics
Toda, Masashi University of Tokyo - Graduate School of Economics
Posted:
08 Jun 09
Last Revised:
25 Aug 11
347(41,037)
14
asymptotic expansion, stochastic volatility, λ-SABR model, Libor market model, Malliavin calculus, cross currency model, foreign exchange rate option (Forex Option)
9.
Shiraya, Kenichiro University of Tokyo - Graduate School of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Toda, Masashi University of Tokyo - Graduate School of Economics
200(75,587)
7
barrier option, average option, knock-out option, stochastic volatility, static hedge, asymptotic expansion,lambda-SABR model, SABR model
10.
Shiraya, Kenichiro University of Tokyo - Graduate School of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Toda, Masashi University of Tokyo - Graduate School of Economics
193(78,307)
barrier option, knock-out option, static hedge, asymptotic expansion, stochastic volatility, lambda-SABR model
11.
Shiraya, Kenichiro University of Tokyo - Graduate School of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Posted:
27 Oct 09
Last Revised:
23 Apr 12
184(82,036)
2
12.
Shiraya, Kenichiro University of Tokyo - Graduate School of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Yamazaki, Akira Hosei University - Graduate School of Business Administration
Posted:
18 Apr 10
Last Revised:
12 Jan 13
182(82,847)
Asymptotic Expansion, Local Volatility, Affine-type Stochastic Volatility, Libor Market Model, Approximation Formula
13.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
128(113,257)
CVA, CSA, CCP, swap, collateral, derivatives, OIS, EONIA, Fed-Fund, bais, risk management
14.
Shiraya, Kenichiro University of Tokyo - Graduate School of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Yamada, Toshihiro University of Tokyo
Posted:
05 Apr 10
Last Revised:
25 Aug 11
112(125,950)
5
discrete barrier option, barrier option, knock-out option, double barrier option, stochastic volatility, asymptotic expansion, Malliavin calculus, Malliavin weight
15.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Tsuzuki, Yukihiro University of Tokyo - Graduate School of Economics
Yamazaki, Akira Hosei University - Graduate School of Business Administration
Posted:
22 Oct 09
Last Revised:
20 Jul 11
97(139,446)
European Derivatives, Black-Scholes Delta Hedging, Uncertain Volatility Risk, Polynomial Variance Swap
16.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Takehara, Kohta University of Tokyo - Graduate School of Economics
88(148,881)
6
Currency option, libor market model, stochastic volatility, asymptotic expansion, Monte Carlo simulation
17.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Yamada, Toshihiro University of Tokyo
Posted:
23 Aug 11
Last Revised:
23 Dec 11
80(158,007)
Barrier Options, Knock-out options, SABR model, lambda-SABR models, Heston model, Short time asymptotics, Heat kernel expansions, Malliavin calculus, Bismut indentity, Stochastic volatility, Local volatility, Integration-by-parts, Semigroup, Derivatives pricing
18.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
76(163,033)
1
CSA, SCSA, OIS, Collateralization, basis spreads, HJM
19.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Posted:
02 Jun 11
Last Revised:
23 Jan 12
62(182,646)
4
BSDE, FBSDE, Four Step Scheme, Asymptotic Expansion, Malliavin Derivative, Non-linear PDE, CVA
20.
Takehara, Kohta University of Tokyo - Graduate School of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Toda, Masashi University of Tokyo - Graduate School of Economics
61(184,182)
Asymptotic Expansion, Malliavin Calculus, Approximation Formula, Stochastic Volatility, λ-SABR Model, Libor Market Model, Currency Options
21.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
53(197,274)
2
22.
Shiraya, Kenichiro University of Tokyo - Graduate School of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
52(199,054)
2
23.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Posted:
13 Apr 12
Last Revised:
23 Apr 12
50(202,523)
2
BSDE, FBSDE, interacting particle method, branching diffusion, Malliavin derivative, asymptotic expansion
24.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Tsuzuki, Yukihiro University of Tokyo - Graduate School of Economics
Posted:
08 Apr 11
Last Revised:
23 Jan 13
43(215,996)
1
super-replication, Doob-Meyer decomposition, rebalance, cross-currency option, one-touch option
25.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Tsuzuki, Yukihiro University of Tokyo - Graduate School of Economics
42(218,055)
Density approximation, Probability density function, Asymptotic expansion, Best approximation in inner product spaces, Dykstra’s algorithm, Option pricing, SABR model
26.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Posted:
05 Feb 12
Last Revised:
06 Feb 12
40(222,144)
3
FBSDE, optimal portfolio, incomplete market, quadratic growth, perturbative expnasion, asymptotic expansion
27.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Sato, Seisho The Graduate University for Advanced Studies - The Institute of Statistical Mathematics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
23(267,499)
BSDE, FBSDE, asymptotic expansion, perturbation, particle method
28.
Fujii, Masaaki University of Tokyo - Faculty of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
10(313,364)
Mean-variance hedging, BSDE, Bayesian analysis, Kalman-Bucy filter
29.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Yamazaki, Akira Hosei University - Graduate School of Business Administration
Static Hedging, Stochastic Volatility, Markovian Projection, Plain Vanilla Option, Heston Model
30.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Yamazaki, Akira Hosei University - Graduate School of Business Administration
Static Replication, Exponential Levy Model, Fourier Transform, Plain Vanilla Option, CGMY Model
31.
Yamamoto, Kyo GCI Asset Management, Inc.
Sato, Seisho The Graduate University for Advanced Studies - The Institute of Statistical Mathematics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Posted:
08 Jun 10
Last Revised:
09 Jun 10
Drawdown, Stochastic Voaltility, Singular Perturbation
32.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Yamamoto, Kyo GCI Asset Management, Inc.
Posted:
30 Mar 10
Last Revised:
11 Dec 10
Hedge Fund Replication, Dynamic Portfolio Optimization, Martingale Method, Malliavin Calculus
33.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Takehara, Kohta University of Tokyo - Graduate School of Economics
asymptotic expansion, currency options, libor market model, Malliavin calculus, stochastic volatility
34.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Takehara, Kohta University of Tokyo - Graduate School of Economics
Currency option, libor market model, stochastic volatility, asymptotic expansion, Fourier transform
35.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Yamamoto, Kyo GCI Asset Management, Inc.
Posted:
18 Jun 09
Last Revised:
07 Nov 10
hedge funds, alternative investments, hedge fund clones
36.
Shiraya, Kenichiro University of Tokyo - Graduate School of Economics
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Posted:
18 Jun 09
Last Revised:
10 Apr 10
37.
Yamamoto, Kyo GCI Asset Management, Inc.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Posted:
18 Jun 09
Last Revised:
10 Nov 09
option pricing, stochastic volatility, partial differential equation, singular perturbation, approximation accuracy
38.
Hakamada, Takeshi GCI Asset Management, Inc.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Yamamoto, Kyo GCI Asset Management, Inc.
39.
Takahashi, Akihiko University of Tokyo - Graduate School of Economics
Yamamoto, Kyo GCI Asset Management, Inc.
Posted:
15 Jun 09
Last Revised:
20 Feb 13
Hedge Fund Replication, Hedge Fund Clone, Alternative Investment
