Kohta Takehara

University of Tokyo - Graduate School of Economics

Ph.D Student

Yayoi 1-1-1

Bunkyo-ku

Tokyo, Tokyo 113-8657

Japan

SCHOLARLY PAPERS

6

DOWNLOADS

1,099

SSRN CITATIONS

0

CROSSREF CITATIONS

11

Scholarly Papers (6)

1.

Computation in an Asymptotic Expansion Method

CARF Working Paper Series CARF-F-149
Number of pages: 51 Posted: 08 Jun 2009 Last Revised: 25 Aug 2011
Akihiko Takahashi, Kohta Takehara and Masashi Toda
University of Tokyo - Faculty of Economics, University of Tokyo - Graduate School of Economics and University of Tokyo - Graduate School of Economics
Downloads 696 (70,434)
Citation 19

Abstract:

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asymptotic expansion, stochastic volatility, λ-SABR model, Libor market model, Malliavin calculus, cross currency model, foreign exchange rate option (Forex Option)

2.

A Hybrid Asymptotic Expansion Scheme: An Application to Long-Term Currency Options

CARF Working Paper Series No. CARF-F-116
Number of pages: 45 Posted: 18 Jun 2009
Akihiko Takahashi and Kohta Takehara
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Downloads 162 (338,634)
Citation 3

Abstract:

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Currency option, libor market model, stochastic volatility, asymptotic expansion, Monte Carlo simulation

3.

New Unifi ed Computational Algorithm in a High-Order Asymptotic Expansion Scheme

Proceedings of 2009 KIER-TMU International Workshop on Financial Engineering, Forthcoming
Number of pages: 17 Posted: 21 Mar 2010
Kohta Takehara, Akihiko Takahashi and Masashi Toda
University of Tokyo - Graduate School of Economics, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Downloads 134 (394,831)

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Asymptotic Expansion, Malliavin Calculus, Approximation Formula, Stochastic Volatility, λ-SABR Model, Libor Market Model, Currency Options

4.

Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options

The International Journal of Business and Finance Research, Vol. 5, No. 3, pp. 87-99, 2011
Number of pages: 13 Posted: 07 Jul 2011
Kohta Takehara, Masashi Toda and Akihiko Takahashi
University of Tokyo - Graduate School of Economics, University of Tokyo - Graduate School of Economics and University of Tokyo - Faculty of Economics
Downloads 107 (467,370)

Abstract:

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Asymptotic Expansion, Malliavin Calculus, Stochastic Volatility, Libor Market Model, Currency Options

5.

An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates Under Stochastic Volatility Processes of Spot Exchange Rates

CARF Working Paper Series No. CARF-F-092
Posted: 24 Jun 2009
Akihiko Takahashi and Kohta Takehara
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics

Abstract:

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asymptotic expansion, currency options, libor market model, Malliavin calculus, stochastic volatility

6.

Fourier Transform Method with an Asymptotic Expansion Approach: An Application to Currency Options

International Journal of Theoretical and Applied Finance, Vol.11, No. 4, pp.381-401, December 2008
Posted: 23 Jun 2009
Akihiko Takahashi and Kohta Takehara
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics

Abstract:

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Currency option, libor market model, stochastic volatility, asymptotic expansion, Fourier transform