Akihiko Takahashi

University of Tokyo - Faculty of Economics

Associate Professor

7-3-1 Hongo, Bunkyo-ku

Tokyo 113-0033

Japan

  • University of Tokyo - Faculty of Economics

SCHOLARLY PAPERS

83

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63

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138

Scholarly Papers (83)

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1.

A Note on Construction of Multiple Swap Curves with and without Collateral

CARF Working Paper Series No. CARF-F-154
Number of pages: 20 Posted: 30 Jul 2009 Last Revised: 29 Jan 2010
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 6,782 (1,595)
Citation 43

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Libor, swap, tenor, yield curve, collateral, overnight index swap, cross currency, basis spread

2.

A Market Model of Interest Rates with Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies

Number of pages: 25 Posted: 08 Dec 2009
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 2,627 (7,897)
Citation 27

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Market Model, HJM model, Libor, tenor, swap, curve, OIS, cross currency, basis spread, interest rate model, derivatives, multi-currency

3.

Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management

Number of pages: 20 Posted: 12 May 2010
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 2,209 (10,447)
Citation 11

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swap, collateral, derivatives, Libor, currency, OIS, EONIA, Fed-Fund, CCS, basis, risk management, CSA, CVA, term structure

4.

On the Term Structure of Interest Rates with Basis Spreads, Collateral and Multiple Currencies

Number of pages: 75 Posted: 21 Feb 2010 Last Revised: 23 Mar 2010
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 1,836 (14,039)
Citation 11

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Libor, Swap, Tenor, Yield Curve, Collateral, Overnight Index Swap, Cross Currency, Basis Spread, Market Model, HJM

5.

A Survey on Modeling and Analysis of Basis Spreads

Number of pages: 10 Posted: 08 Dec 2009
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 1,326 (23,034)
Citation 3

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Libor, swap, tenor, swap spread, curve, overnight index swap, cross currency, basis spread

6.

Modeling of Interest Rate Term Structures Under Collateralization and its Implications

Number of pages: 19 Posted: 25 Sep 2010
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 873 (41,963)
Citation 6

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swap, collateral, Libor, OIS, EONIA, Fed-Fund, cross currency, basis, HJM, CSA, CVA

7.

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 635 (64,073)
Citation 19

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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)

8.

Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA

Number of pages: 34 Posted: 28 Dec 2010 Last Revised: 19 Dec 2011
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 630 (64,736)
Citation 11

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CSA, CVA, Swap, Collateral, Derivatives, one-way CSA, Currency, OIS, CCS, Basis, Risk Management

9.

Collateralized CDS and Default Dependence - Implications for the Central Clearing

Number of pages: 16 Posted: 12 Apr 2011
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 215 (214,184)
Citation 8

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CVA, CSA, CCP, swap, collateral, derivatives, OIS, EONIA, Fed-Fund, bais, risk management

10.

Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment - Empirical Study in the Japanese Stock Market

Number of pages: 61 Posted: 27 Jun 2017
Taiga Saito, Takanori Adachi, Teruo Nakatsuma, Akihiko Takahashi, Hiroshi Tsuda and Naoyuki Yoshino
University of Tokyo, Tokyo Metropolitan University, Hitotsubashi University - Institute of Economic Research, University of Tokyo - Faculty of Economics, Doshisha University and Asian Development Bank Institute
Downloads 204 (224,832)
Citation 2

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High frequency trading, Japanese stock market

11.

Stochastic Differential Game in High Frequency Market

Number of pages: 34 Posted: 02 May 2018
Taiga Saito and Akihiko Takahashi
University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 195 (234,170)
Citation 2

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12.

Mean-Variance Portfolio with Generalized EMA and Anomaly Detector

Number of pages: 20 Posted: 25 Oct 2016
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo, Graduate School of Economics, Students, University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.
Downloads 179 (252,444)

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Mean-Variance portfolio, anomaly detection, particle filtering, state space models, exponential moving averages

13.

A New Improvement Scheme on Approximation Methods for Probability Density Functions

Journal of Computational Finance, 2015
Number of pages: 19 Posted: 24 Jan 2013 Last Revised: 10 Jun 2016
Akihiko Takahashi and Yukihiro Tsuzuki
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Downloads 176 (256,198)
Citation 3

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Density approximation, Probability density function, Asymptotic expansion, Best approximation in inner product spaces, Dykstra’s algorithm, Option pricing, SABR model

14.

Clean Valuation Framework for the USD Silo - An Implication for the Forthcoming Standard Credit Support Annex (SCSA)

Number of pages: 15 Posted: 10 Dec 2011
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 161 (276,398)
Citation 1

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CSA, SCSA, OIS, Collateralization, basis spreads, HJM

15.

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 161 (276,398)
Citation 1

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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

16.

Robust Technical Trading with Fuzzy Knowledge-Based Systems

Number of pages: 16 Posted: 06 Jul 2017
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo, Graduate School of Economics, Students, University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.
Downloads 143 (304,485)
Citation 2

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knowledge-based system, fuzzy logic, technical trading, market phase, Japanese stock market

17.

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 126 (337,453)

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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

18.

Hedging European Derivatives with the Polynomial Variance Swap Under Uncertain Volatility Environments

International Journal of Theoretical and Applied Finance, Vol. 14, No. 4, 2011
Number of pages: 23 Posted: 22 Oct 2009 Last Revised: 20 Jul 2011
Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki
University of Tokyo - Faculty of Economics, University of Tokyo - Graduate School of Economics and Hosei University - Graduate School of Business Administration
Downloads 122 (343,550)
Citation 1

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European Derivatives, Black-Scholes Delta Hedging, Uncertain Volatility Risk, Polynomial Variance Swap

19.

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 116 (356,225)
Citation 3

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

20.

Analytical Approximation for Non-Linear FBSDEs with Perturbation Scheme

Number of pages: 35 Posted: 02 Jun 2011 Last Revised: 23 Jan 2012
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 110 (369,731)
Citation 4

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BSDE, FBSDE, Four Step Scheme, Asymptotic Expansion, Malliavin Derivative, Non-linear PDE, CVA

21.

A General Framework for the Benchmark Pricing in a Fully Collateralized Market

Number of pages: 26 Posted: 25 Aug 2015 Last Revised: 07 Sep 2015
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 108 (374,489)

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22.

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 108 (374,489)
Citation 8

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

23.

Perturbative Expansion Technique for Non-Linear FBSDEs With Interacting Particle Method

Number of pages: 21 Posted: 13 Apr 2012 Last Revised: 01 Dec 2014
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 108 (374,489)
Citation 10

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BSDE, FBSDE, interacting particle method, branching diffusion, Malliavin derivative, asymptotic expansion

24.

Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High Dimensional BSDEs

Number of pages: 16 Posted: 19 Oct 2017 Last Revised: 07 Mar 2019
Masaaki Fujii, Akihiko Takahashi and Masayuki Takahashi
University of Tokyo - Faculty of Economics, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Downloads 106 (379,291)
Citation 14

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Backward Stochastic Differential Equations, Non-Linear Partial Differential Equations, Machine Learning, Deep Neural Network

25.

Sup-Inf/Inf-Sup Problem on Choice of a Probability Measure by FBSDE Approach

Number of pages: 71 Posted: 25 Apr 2019 Last Revised: 02 Feb 2020
Taiga Saito and Akihiko Takahashi
University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 103 (386,901)

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26.

An Asymptotic Expansion Approach in Finance

CARF Working Paper Series No. CARF-F-102
Number of pages: 23 Posted: 18 Jun 2009
Akihiko Takahashi
University of Tokyo - Faculty of Economics
Downloads 101 (392,006)
Citation 7

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27.

A New Scheme for Proactive Risk Management in Stock Market

Number of pages: 26 Posted: 16 Sep 2020
Akihiko Takahashi and Soichiro Takahashi
University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.
Downloads 94 (410,829)

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state-space model, fuzzy system, technical analysis, yield curve, trend following, proactive risk management

28.

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 89 (425,506)
Citation 13

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

29.

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 89 (425,506)

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

30.

Derivatives Pricing with Market Impact and Limit Order Book

Number of pages: 32 Posted: 19 May 2016
Taiga Saito and Akihiko Takahashi
University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 85 (437,448)
Citation 2

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31.

An FBSDE Approach to American Option Pricing with an Interacting Particle Method

Number of pages: 18 Posted: 26 Nov 2012
Masaaki Fujii, Seisho Sato and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Graduate School of Economics, The University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 85 (437,448)
Citation 7

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BSDE, FBSDE, asymptotic expansion, perturbation, particle method

32.

On the Effect of Bank of Japan's Outright Purchase on the JGB Yield Curve

Number of pages: 25 Posted: 30 Aug 2017 Last Revised: 10 Mar 2019
Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi and Takami Tokioka
University of Tokyo, Graduate School of Economics, Students, University of Tokyo - Faculty of Economics, GCI Asset Management, Inc. and GCI Asset Management, Inc.
Downloads 81 (450,002)
Citation 1

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Yield Curve, QQE, Bank of Japan, Scenario Analysis, State Space Model, Kalman Filter

33.

Quadratic-Exponential Growth BSDEs with Jumps and Their Malliavin's Differentiability

Number of pages: 46 Posted: 20 Dec 2015 Last Revised: 05 Sep 2017
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 80 (456,504)
Citation 6

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jump, Levy, Malliavin, quadratic growth, BSDE

34.

Rebalancing Static Super-Replications

Number of pages: 21 Posted: 08 Apr 2011 Last Revised: 23 Jan 2013
Akihiko Takahashi and Yukihiro Tsuzuki
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Downloads 76 (466,805)

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super-replication, Doob-Meyer decomposition, rebalance, cross-currency option, one-touch option

35.

A Dynamic Analysis of the Bank of Japan's ETF/REIT Purchase Program

Number of pages: 26 Posted: 12 Apr 2022
Daiya Mita, Kiyohiko G. Nishimura, Taiga Saito and Akihiko Takahashi
Nomura Holdings, Inc. (NHI) - Nomura Asset Management Co., Ltd. (NAM), National Graduate Institute for Policy Studies (GRIPS), University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 74 (473,898)

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36.

Asymptotic Expansion for Forward-Backward SDEs with Jumps

Number of pages: 39 Posted: 13 Oct 2015 Last Revised: 16 Sep 2018
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 72 (481,060)
Citation 5

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SDE, jumps, random measure, asymptotic expansion, Levy process

37.

Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility

Number of pages: 21 Posted: 05 Feb 2012 Last Revised: 06 Feb 2012
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 72 (481,060)
Citation 3

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FBSDE, optimal portfolio, incomplete market, quadratic growth, perturbative expnasion, asymptotic expansion

38.

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 70 (488,312)
Citation 7

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

39.

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 68 (495,927)
Citation 3

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

40.

Estimating Style Weights of Mutual Funds by Monte Carlo Filter with Generalized Simulated Annealing

Number of pages: 44 Posted: 08 Jun 2016
Takaya Fukui, Takaya Fukui, Seisho Sato and Akihiko Takahashi
Mizuho Securities Co. LtdUniversity of Tokyo - Graduate School of Economics, Graduate School of Economics, The University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 64 (511,705)

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Style Weights, Mutual Fund, General State Space Model, Monte Carlo filer, Generalized Simulated Annealing

41.

Making Mean-Variance Hedging Implementable in a Partially Observable Market

Number of pages: 33 Posted: 16 Jun 2013 Last Revised: 24 Nov 2013
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 61 (524,074)

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Mean-variance hedging, BSDE, Bayesian analysis, Kalman-Bucy filter

42.

Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-Term Expansions

Number of pages: 41 Posted: 16 Jun 2016 Last Revised: 26 May 2018
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 59 (532,409)
Citation 3

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asymptotic expansion, discretization, quadratic-growth BSDEs, Lipschitz BSDEs, numerical scheme, BMO-martingales

43.

A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition

CARF Working Paper CARF-F-473
Number of pages: 30 Posted: 31 Mar 2020 Last Revised: 27 Sep 2021
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 58 (536,704)
Citation 6

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44.

A New Interval Type-2 Fuzzy Logic System Under Dynamic Environment: Application to Financial Investment

Number of pages: 21 Posted: 06 Mar 2020
Akihiko Takahashi and Soichiro Takahashi
University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.
Downloads 57 (541,159)
Citation 1

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interval type-2 fuzzy logic system, sequential learning, state space model, particle filtering, financial investment

45.

Optimal Room Charge and Expected Sales under Discrete Choice Models with Limited Capacity

Number of pages: 25 Posted: 27 Jan 2016 Last Revised: 22 Mar 2016
Taiga Saito, Akihiko Takahashi and Hiroshi Tsuda
University of Tokyo, University of Tokyo - Faculty of Economics and Doshisha University
Downloads 57 (541,159)

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Hotels in Kyoto, Revenue management, Online booking, Discrete choice model

46.

Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows

Number of pages: 37 Posted: 12 Jan 2014 Last Revised: 26 Jul 2014
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 57 (545,663)
Citation 1

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Mean-variance hedging, BSDE, Filtering, Queueing, Jackson’s network, Poisson random measure

47.

Portfolio Optimization With Choice of a Probability Measure

Number of pages: 15 Posted: 08 Apr 2021 Last Revised: 15 Dec 2021
Taiga Saito and Akihiko Takahashi
University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 53 (559,554)

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Stochastic control; Malliavin calculus; Application in finance

48.

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 53 (559,554)

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

49.

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 50 (573,938)

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

50.

Anticipated Backward SDEs with Jumps and Quadratic-Exponential Growth Drivers

Number of pages: 34 Posted: 08 May 2017 Last Revised: 20 Jul 2018
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 49 (578,962)

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Predictive Mean-Field Type, Time-Advanced, Quadratic Growth, Future Path Dependent Driver, ABSDE

51.

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 49 (578,962)
Citation 4

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

52.

A New Efficient Approximation Scheme for Solving High-Dimensional Semilinear PDEs: Control Variate Method for Deep BSDE Solver

Number of pages: 29 Posted: 22 Jan 2021
Akihiko Takahashi, Yoshifumi Tsuchida and Toshihiro Yamada
University of Tokyo - Faculty of Economics, Hitotsubashi University and Hitotsubashi University
Downloads 42 (615,710)
Citation 3

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Deep learning, Semilinear partial differential equations, Backward stochastic differential equations, Deep BSDE solver, Asymptotic expansion, Control variate method

53.

Online Appendix for Interest Rate Model with Investor Attitude and Text mining

Number of pages: 15 Posted: 08 Feb 2020
Souta Nakatani, Kiyohiko G. Nishimura, Taiga Saito and Akihiko Takahashi
University of Tokyo - Graduate School of Economics, National Graduate Institute for Policy Studies (GRIPS), University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 41 (621,442)
Citation 1

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54.

Multi-agent Robust Optimal Investment Problem in Incomplete Market

Number of pages: 39 Posted: 11 Oct 2022 Last Revised: 30 Nov 2022
Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
University of Tokyo, Graduate School of Economics, Students, University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 39 (632,801)

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55.

Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach

Number of pages: 41 Posted: 26 Nov 2018
Kiyohiko G. Nishimura, Seisho Sato and Akihiko Takahashi
National Graduate Institute for Policy Studies (GRIPS), Graduate School of Economics, The University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 37 (644,378)
Citation 1

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Term Structure Model, Text Mining, Monte Carlo Filter

56.

Equilibrium Multi-Agent Model With Heterogeneous Views on Fundamental Risks

Number of pages: 12 Posted: 26 Aug 2021 Last Revised: 11 Apr 2022
Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
University of Tokyo, Graduate School of Economics, Students, University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 36 (650,599)

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57.

Equilibrium Price Formation with a Major Player and its Mean Field Limit

Number of pages: 40 Posted: 22 Mar 2021 Last Revised: 14 Feb 2022
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 33 (669,631)

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equilibrium price formation, market clearing, mean field game, major agent, controlled-FBSDEs

58.

Multi-Agent Model Based Proactive Risk Management For Equity Investment

Number of pages: 18 Posted: 03 Jan 2023
Daiya Mita and Akihiko Takahashi
Nomura Asset Mamagement Co,Ltd and University of Tokyo - Faculty of Economics
Downloads 29 (697,331)

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multi-agent model, fuzzy system, state space model, proactive risk management, equity investment

59.

A State Space Modeling for Proactive Management in Equity Investment

Forthcoming in International Journal of Financial Engineering
Number of pages: 26 Posted: 25 Jul 2022
Akihiko Takahashi and Soichiro Takahashi
University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.
Downloads 29 (697,331)

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state-space model, fuzzy system, technical analysis, yield curve, trend following, proactive risk managemen

60.

A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit

Number of pages: 24 Posted: 02 Dec 2020
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 27 (711,909)
Citation 1

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equilibrium in incomplete markets, common noise, market clearing, price formation, mean field games

61.

Online Appendix of 'Sup-Inf/inf-Sup Problem on Choice of a Probability Measure by FBSDE Approach'

Number of pages: 21 Posted: 11 Mar 2020
Taiga Saito and Akihiko Takahashi
University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 26 (719,492)

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62.

Dynamic Optimality of Yield Curve Strategies

International Review of Finance, Vol. 4, No. 1-2, pp. 49-78, March 2003
Number of pages: 30 Posted: 18 Jul 2005
Takao Kobayashi, Akihiko Takahashi and Norio Tokioka
Tokyo Institute of Technology - Department of Information Processing, University of Tokyo - Faculty of Economics and Seikei University - Faculty of Economics
Downloads 20 (768,207)

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63.

Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium

Number of pages: 32 Posted: 18 Aug 2021 Last Revised: 10 Dec 2021
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 13 (831,256)

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mean field games, equilibrium, price formation

64.

Online Supplement for 'Equilibrium Multi-Agent Model with Heterogeneous Views on Fundamental Risks'

Number of pages: 24 Posted: 26 Apr 2022
Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
University of Tokyo, Graduate School of Economics, Students, University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 10 (860,299)

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65.

A Multi-Agent Incomplete Equilibrium Model and Its Applications to Reinsurance Pricing and Life-Cycle Investment

Number of pages: 14 Posted: 23 Dec 2022 Last Revised: 30 Jan 2023
Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
University of Tokyo, Graduate School of Economics, Students, University of Tokyo and University of Tokyo - Faculty of Economics
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66.

A New Investment Method with Autoencoder: Applications to Cryptocurrencies

Expert Systems with Applications, Volume 162, 2020, 113730
Posted: 29 Oct 2019 Last Revised: 10 Aug 2020
Masafumi Nakano and Akihiko Takahashi
University of Tokyo, Graduate School of Economics, Students and University of Tokyo - Faculty of Economics

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AutoEncoder, Cryptocurrency, Delta hedging, Artificial neural network

67.

Bitcoin Technical Trading With Artificial Neural Network

Physica A: Statistical Mechanics and its Applications, Volume 510, 2018, Pages 587-609
Posted: 24 Feb 2018 Last Revised: 01 Aug 2018
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo, Graduate School of Economics, Students, University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.

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Bitcoin, Artificial Neural Network, Deep Learning, High Frequency Data, Technical Trading

68.

State Space Approach to Adaptive Fuzzy Modeling for Financial Investment

Forthcoming in "Applied Soft Computing"
Posted: 19 Oct 2017 Last Revised: 23 Jun 2019
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo, Graduate School of Economics, Students, University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.

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fuzzy system, adaptive learning, state space model, particle filtering, financial portfolio

69.

Fuzzy Logic-Based Portfolio Selection with Particle Filtering and Anomaly Detection

Knowledge-Based Systems, Volume 131, 1 September 2017, Pages 113-124
Posted: 17 Feb 2017 Last Revised: 28 Aug 2017
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo, Graduate School of Economics, Students, University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.

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expert system, fuzzy logic, performance measure, mean-variance portfolio, particle filtering, anomaly detection

70.

Creating Investment Scheme with State Space Modeling

Expert Systems with Applications, Volume 81, 15 September 2017, Pages 53–66
Posted: 21 Dec 2016 Last Revised: 06 Apr 2017
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo, Graduate School of Economics, Students, University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.

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state space models, particle filtering, financial investment, risk-return profile, risk-adjusted returns, alpha

71.

Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection

Expert Systems with Applications, Volume 73, 1 May 2017, Pages 187–200
Posted: 02 Sep 2016 Last Revised: 24 Jul 2018
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo, Graduate School of Economics, Students, University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.

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return prediction, particle filtering, anomaly detection, exponential moving averages, stochastic volatility, state space models

72.

A New Improvement Scheme for Approximation Methods of Probability Density Functions

Journal of Computational Finance, Vol. 19, No. 4, 2016
Number of pages: 22 Posted: 14 Jun 2016
Akihiko Takahashi and Yukihiro Tsuzuki
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
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density approximation, probability density function, asymptotic expansion, best approximation in inner product spaces, Dykstra’s algorithm, option pricing

73.

A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models

Journal of Futures Markets, Vol. 29, No. 5, 2009
Posted: 23 Apr 2011
Akihiko Takahashi and Akira Yamazaki
University of Tokyo - Faculty of Economics and Hosei University - Graduate School of Business Administration

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Static Hedging, Stochastic Volatility, Markovian Projection, Plain Vanilla Option, Heston Model

74.

Efficient Static Replication of European Options under Exponential Lévy Models

Journal of Futures Markets, Vol. 29, No. 1, 2009
Posted: 23 Apr 2011
Akihiko Takahashi and Akira Yamazaki
University of Tokyo - Faculty of Economics and Hosei University - Graduate School of Business Administration

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Static Replication, Exponential Levy Model, Fourier Transform, Plain Vanilla Option, CGMY Model

75.

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

76.

Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment

International Journal of Theoretical and Applied Finance (IJTAF), Vol. 13, No. 2, pp. 335-354, 2010
Posted: 08 Jun 2010 Last Revised: 09 Jun 2010
Kyo Yamamoto, Seisho Sato and Akihiko Takahashi
GCI Asset Management, Inc., Graduate School of Economics, The University of Tokyo and University of Tokyo - Faculty of Economics

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Drawdown, Stochastic Voaltility, Singular Perturbation

77.

A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio

Global Journal of Business Research, Vol. 4, No. 4, pp. 23-34, 2010
Posted: 30 Mar 2010 Last Revised: 11 Dec 2010
Akihiko Takahashi and Kyo Yamamoto
University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.

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Hedge Fund Replication, Dynamic Portfolio Optimization, Martingale Method, Malliavin Calculus

78.

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

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

79.

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

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

80.

Hedge Fund Replication

THE RECENT TREND OF HEDGE FUND STRATEGIES, Chapter 2, pp. 57-95
Posted: 18 Jun 2009 Last Revised: 07 Nov 2010
Akihiko Takahashi and Kyo Yamamoto
University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.

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hedge funds, alternative investments, hedge fund clones

81.

A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model

Asia-Pacific Financial Markets, Vol. 16, No. 4, pp. 333-345, 2009
Posted: 18 Jun 2009 Last Revised: 10 Nov 2009
Kyo Yamamoto and Akihiko Takahashi
GCI Asset Management, Inc. and University of Tokyo - Faculty of Economics

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option pricing, stochastic volatility, partial differential equation, singular perturbation, approximation accuracy

82.

Selection and Performance Analysis of Asia-Pacific Hedge Funds

Journal of Alternative Investments, Vol. 10, No. 3, 2007
Posted: 17 Jun 2009
Takeshi Hakamada, Akihiko Takahashi and Kyo Yamamoto
GCI Asset Management, Inc., University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.

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83.

Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication

Quantitative Finance, Forthcoming
Posted: 15 Jun 2009 Last Revised: 20 Feb 2013
Akihiko Takahashi and Kyo Yamamoto
University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.

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Hedge Fund Replication, Hedge Fund Clone, Alternative Investment

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1.

A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio

Global Journal of Business Research, Vol. 4, No. 4, pp. 23-34, 2010
Posted: 29 Jun 2011 Last Revised: 30 Jul 2012
Akihiko Takahashi and Kyo Yamamoto
University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.

Abstract:

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Hedge Fund Replication, Dynamic Portfolio Optimization, Martingale Method, Malliavin Calculus