Masashi Toda

University of Tokyo - Graduate School of Economics

Hongo 7-3-1

Bunkyo-ku

Tokyo, Tokyo 113-0033

Japan

SCHOLARLY PAPERS

3

DOWNLOADS

954

SSRN CITATIONS

0

CROSSREF CITATIONS

9

Scholarly Papers (3)

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 701 (71,051)
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.

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 141 (386,653)

Abstract:

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

3.

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 112 (460,915)

Abstract:

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