Toshihiro Yamada

Hitotsubashi University

2-1 Naka Kunitachi-shi

Tokyo 186-8601

Japan

SCHOLARLY PAPERS

16

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725

CITATIONS
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11

Scholarly Papers (16)

1.

On Approximation of the Solutions to Partial Differential Equations in Finance

Number of pages: 44 Posted: 23 Aug 2011 Last Revised: 23 Dec 2011
Akihiko Takahashi and Toshihiro Yamada
University of Tokyo - Faculty of Economics and Hitotsubashi University
Downloads 134 (209,515)

Abstract:

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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

2.

A Remark on Approximation of the Solutions to Partial Differential Equations in Finance

Number of pages: 34 Posted: 19 Feb 2012
Akihiko Takahashi and Toshihiro Yamada
University of Tokyo - Faculty of Economics and Hitotsubashi University
Downloads 96 (266,523)
Citation 1

Abstract:

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Malliavin calculus, Bismut indentity, Integration-by-parts, Semigroup, Asymptotic expansion, Short time asymptotics, Heat kernel expansions, Derivatives pricing, Stochastic volatility, Local volatility, SABR model, lambda-SABR models, Heston model

3.

An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach

Number of pages: 26 Posted: 02 Oct 2012 Last Revised: 13 Sep 2016
Akihiko Takahashi and Toshihiro Yamada
University of Tokyo - Faculty of Economics and Hitotsubashi University
Downloads 85 (287,831)
Citation 3

Abstract:

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Forward-backward Stochastic Differential Equations (FBSDEs), Asymptotic expansion, Malliavin calculus, CVA

4.

A Second Order Discretization with Malliavin Weight and Quasi-Monte Carlo Method for Option Pricing

Number of pages: 22 Posted: 07 Aug 2017 Last Revised: 06 Feb 2018
Toshihiro Yamada and Kenta Yamamoto
Hitotsubashi University and Bank of Tokyo-Mitsubishi, Ltd.
Downloads 67 (329,896)

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option pricing, European option, digital option, Quasi Monte Carlo method, SABR model, weak approximation, stochastic differential equations, Malliavin calculus

5.

An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver

Number of pages: 26 Posted: 02 Sep 2013 Last Revised: 08 Nov 2014
Akihiko Takahashi and Toshihiro Yamada
University of Tokyo - Faculty of Economics and Hitotsubashi University
Downloads 63 (340,592)
Citation 1

Abstract:

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Forward-Backward SDEs, Asymptotic expansion, Malliavin calculus, Kusuoka-Stroock functions

6.

A Semi-Group Expansion for Pricing Barrier Options

Forthcoming in International Journal of Stochastic Analysis
Number of pages: 29 Posted: 18 Feb 2012 Last Revised: 27 Aug 2014
Takashi Kato, Akihiko Takahashi and Toshihiro Yamada
Association of Mathematical Finance Laboratory (AMFiL), University of Tokyo - Faculty of Economics and Hitotsubashi University
Downloads 55 (363,898)
Citation 3

Abstract:

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asymptotic expansion, The Cauchy-Dirichlet problem, second order parabolic PDEs, barrier options, stochastic volatility model

7.

A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights

Number of pages: 32 Posted: 23 Nov 2013 Last Revised: 12 May 2015
Akihiko Takahashi and Toshihiro Yamada
University of Tokyo - Faculty of Economics and Hitotsubashi University
Downloads 53 (370,166)

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Asymptotic expansion, Weak approximation, Malliavin calculus, Watanabe theory, Kusuoka Scheme, Option pricing

8.

A Higher Order Weak Approximation Scheme of Multidimensional Stochastic Differential Equations Using Malliavin Weights

Journal of Computational and Applied Mathematics, Volume 321, Pages 427-447, Forthcoming
Number of pages: 28 Posted: 05 Jun 2017 Last Revised: 11 Aug 2017
Toshihiro Yamada
Hitotsubashi University
Downloads 44 (400,224)

Abstract:

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Weak Approximation, Stochastic Differential Equations, Malliavin Calculus

9.

An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price Under Stochastic Volatility Model

JSIAM Letters, Vol. 5 (2013) p. 17-20
Number of pages: 9 Posted: 01 Jan 2013 Last Revised: 14 Jun 2014
Takashi Kato, Akihiko Takahashi and Toshihiro Yamada
Association of Mathematical Finance Laboratory (AMFiL), University of Tokyo - Faculty of Economics and Hitotsubashi University
Downloads 39 (418,795)
Citation 1

Abstract:

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barrier option, up-and-out call option, asymptotic expansion, stochastic volatility model

10.

On Error Estimates for Asymptotic Expansions with Malliavin Weights -- Application to Stochastic Volatility Model

Number of pages: 44 Posted: 02 Sep 2013 Last Revised: 08 Nov 2014
Akihiko Takahashi and Toshihiro Yamada
University of Tokyo - Faculty of Economics and Hitotsubashi University
Downloads 32 (447,558)
Citation 2

Abstract:

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Asymptotic expansion, Malliavin calculus, Kusuoka-Stroock functions, Stochastic volatility model, Option price, Greeks

11.

A Weak Approximation with Malliavin Weights for Local Stochastic Volatility Model

International Journal of Financial Engineering, Forthcoming
Number of pages: 14 Posted: 02 Nov 2016 Last Revised: 03 Mar 2017
Toshihiro Yamada
Hitotsubashi University
Downloads 29 (461,471)

Abstract:

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Local stochastic volatility model, Weak approximation, Malliavin calculus

12.

Weak Milstein Scheme Without Commutativity Condition and Its Error Bound

Number of pages: 18 Posted: 20 Apr 2018 Last Revised: 10 May 2018
Toshihiro Yamada
Hitotsubashi University
Downloads 20 (509,710)

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13.

A Second Order Weak Approximation of SDEs Using Markov Chain Without Levy Area Simulation

Number of pages: 21 Posted: 23 Oct 2018
Toshihiro Yamada and Kenta Yamamoto
Hitotsubashi University and Bank of Tokyo-Mitsubishi, Ltd.
Downloads 8 (579,465)

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14.

An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions

SIAM Journal on Numerical Analysis, Forthcoming
Posted: 12 Apr 2019
Toshihiro Yamada
Hitotsubashi University

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stochastic differential equation, weak approximation, Malliavin calculus, Monte Carlo simulation

15.

Second Order Discretization of Bismut-Elworthy-Li Formula: Application to Sensitivity Analysis

SIAM/ASA Journal on Uncertainty Quantification, 2018
Posted: 12 Feb 2019
Toshihiro Yamada and Kenta Yamamoto
Hitotsubashi University and Bank of Tokyo-Mitsubishi, Ltd.

Abstract:

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Bismut-Elworthy-Li Formula, Stochastic Differential Equations, Weak Approximation, Sensitivity Analysis, Malliavin Calculus, Monte Carlo Simulation

16.

An Asymptotic Expansion with Push-Down of Malliavin Weights

Posted: 17 Apr 2011 Last Revised: 19 Feb 2012
Akihiko Takahashi and Toshihiro Yamada
University of Tokyo - Faculty of Economics and Hitotsubashi University

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Malliavin calculus, Asymptotic expansion, Stochastic volatility, Implied volatility, Local volatility, Shifted log-normal model, Jump-diffusion model, Integration-by-parts, Malliavin weight, Push-down, Bismut identity