Akihiko Takahashi

University of Tokyo - Faculty of Economics

Associate Professor

7-3-1 Hongo, Bunkyo-ku

Tokyo 113-0033

Japan

SCHOLARLY PAPERS

80

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24,682

SSRN CITATIONS
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Top 7,345

in Total Papers Citations

101

CROSSREF CITATIONS

139

Scholarly Papers (80)

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 7,285 (1,827)
Citation 43

Abstract:

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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 2,827 (8,874)
Citation 27

Abstract:

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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 2,391 (11,640)
Citation 11

Abstract:

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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 1,959 (15,898)
Citation 11

Abstract:

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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 1,369 (27,636)
Citation 3

Abstract:

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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 915 (49,167)
Citation 6

Abstract:

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

7.

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 697 (70,751)
Citation 11

Abstract:

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

8.

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 (70,885)
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)

9.

Stochastic Differential Game in High Frequency Market

Number of pages: 34 Posted: 02 May 2018
Taiga Saito and Akihiko Takahashi
School of Commerce, Senshu University and University of Tokyo - Faculty of Economics
Downloads 277 (206,736)
Citation 4

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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
School of Commerce, Senshu University, Tokyo Metropolitan University, Hitotsubashi University - Institute of Economic Research, University of Tokyo - Faculty of Economics, Doshisha University and Asian Development Bank Institute
Downloads 265 (216,160)
Citation 2

Abstract:

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High frequency trading, Japanese stock market

11.

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 259 (221,119)
Citation 8

Abstract:

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

12.

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

Forthcoming in Expert Systems with Applications
Number of pages: 35 Posted: 12 Apr 2022 Last Revised: 30 Jul 2023
Daiya Mita, Kiyohiko G. Nishimura, Taiga Saito and Akihiko Takahashi
Nomura Asset Mamagement Co,Ltd, National Graduate Institute for Policy Studies (GRIPS), School of Commerce, Senshu University and University of Tokyo - Faculty of Economics
Downloads 214 (265,788)

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13.

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 214 (265,788)
Citation 1

Abstract:

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

14.

Mean-Variance Portfolio with Generalized EMA and Anomaly Detector

Number of pages: 20 Posted: 25 Oct 2016
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
GCI Asset Management, Inc., University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.
Downloads 201 (281,499)

Abstract:

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

15.

Robust Technical Trading with Fuzzy Knowledge-Based Systems

Number of pages: 16 Posted: 06 Jul 2017
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
GCI Asset Management, Inc., University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.
Downloads 197 (286,684)
Citation 2

Abstract:

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

16.

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 184 (304,610)
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

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 173 (321,775)

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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.

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 167 (331,798)

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19.

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 164 (336,975)
Citation 16

Abstract:

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

20.

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 164 (336,975)
Citation 3

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

21.

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 (340,593)
Citation 3

Abstract:

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

22.

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 159 (345,920)
Citation 4

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

23.

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 150 (363,044)
Citation 8

Abstract:

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

24.

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 146 (371,142)
Citation 7

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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
School of Commerce, Senshu University and University of Tokyo - Faculty of Economics
Downloads 144 (375,204)
Citation 3

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26.

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 136 (392,367)
Citation 10

Abstract:

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

27.

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 135 (394,643)

Abstract:

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

28.

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 129 (408,925)

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

29.

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 125 (418,676)
Citation 6

Abstract:

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jump, Levy, Malliavin, quadratic growth, BSDE

30.

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 120 (431,755)
Citation 7

Abstract:

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BSDE, FBSDE, asymptotic expansion, perturbation, particle method

31.

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 115 (445,672)

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

32.

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 112 (454,600)
Citation 13

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

33.

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
GCI Asset Management, Inc., University of Tokyo - Faculty of Economics, GCI Asset Management, Inc. and GCI Asset Management, Inc.
Downloads 111 (457,637)
Citation 2

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

34.

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 111 (457,637)
Citation 3

Abstract:

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

35.

Derivatives Pricing with Market Impact and Limit Order Book

Number of pages: 32 Posted: 19 May 2016
Taiga Saito and Akihiko Takahashi
School of Commerce, Senshu University and University of Tokyo - Faculty of Economics
Downloads 110 (460,693)
Citation 3

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36.

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 109 (463,747)
Citation 4

Abstract:

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

37.

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 (469,899)

Abstract:

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

38.

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 106 (473,050)
Citation 5

Abstract:

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

39.

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 106 (473,050)

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

40.

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 105 (476,426)
Citation 8

Abstract:

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

41.

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 104 (479,761)

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

42.

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 101 (489,452)
Citation 2

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

43.

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 95 (509,580)

Abstract:

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

44.

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
School of Commerce, Senshu University, University of Tokyo - Faculty of Economics and Doshisha University
Downloads 91 (523,589)

Abstract:

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

45.

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 91 (523,589)
Citation 6

Abstract:

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

46.

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 90 (527,308)

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

47.

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 86 (542,413)

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

48.

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
School of Commerce, Senshu University and University of Tokyo - Faculty of Economics
Downloads 82 (558,241)
Citation 2

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Stochastic control; Malliavin calculus; Application in finance

49.

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 80 (566,531)
Citation 9

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50.

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 76 (583,550)
Citation 3

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

51.

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 74 (592,319)
Citation 1

Abstract:

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

52.

Multi-agent Equilibrium Model with Heterogeneous Views on Fundamental Risks in Incomplete Market

Number of pages: 49 Posted: 11 Oct 2022 Last Revised: 11 Mar 2024
Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
Mizuho-DL Financial Technology Co., Ltd., School of Commerce, Senshu University and University of Tokyo - Faculty of Economics
Downloads 65 (634,722)

Abstract:

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53.

Equilibrium Multi-Agent Model With Heterogeneous Views on Fundamental Risks

Number of pages: 48 Posted: 26 Aug 2021 Last Revised: 30 May 2023
Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
Mizuho-DL Financial Technology Co., Ltd., School of Commerce, Senshu University and University of Tokyo - Faculty of Economics
Downloads 64 (639,922)
Citation 1

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54.

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 61 (655,486)

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

55.

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 58 (671,719)
Citation 5

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

56.

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
School of Commerce, Senshu University and University of Tokyo - Faculty of Economics
Downloads 56 (682,915)

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57.

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

Number of pages: 15 Posted: 08 Feb 2020
University of Tokyo - Graduate School of Economics, National Graduate Institute for Policy Studies (GRIPS), School of Commerce, Senshu University and University of Tokyo - Faculty of Economics
Downloads 55 (688,580)
Citation 1

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58.

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 52 (706,346)
Citation 1

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Term Structure Model, Text Mining, Monte Carlo Filter

59.

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 46 (744,543)

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

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 43 (765,277)
Citation 1

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

61.

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

Number of pages: 34 Posted: 26 Apr 2022 Last Revised: 15 Mar 2023
Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
Mizuho-DL Financial Technology Co., Ltd., School of Commerce, Senshu University and University of Tokyo - Faculty of Economics
Downloads 38 (801,642)
Citation 1

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62.

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

Number of pages: 28 Posted: 23 Dec 2022 Last Revised: 28 Nov 2023
Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
Mizuho-DL Financial Technology Co., Ltd., School of Commerce, Senshu University and University of Tokyo - Faculty of Economics
Downloads 36 (817,098)
Citation 1

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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 22 (941,072)
Citation 3

Abstract:

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mean field games, equilibrium, price formation

64.

A New Investment Method with Autoencoder: Applications to Cryptocurrencies

Expert Systems with Applications, Volume 162, 2020, 113730
Posted: 29 Oct 2019 Last Revised: 15 Jul 2023
Masafumi Nakano and Akihiko Takahashi
GCI Asset Management, Inc. and University of Tokyo - Faculty of Economics

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AutoEncoder, Cryptocurrency, Delta hedging, Artificial neural network

65.

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: 15 Jul 2023
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
GCI Asset Management, Inc., 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

66.

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
GCI Asset Management, Inc., University of Tokyo - Faculty of Economics and GCI Asset Management, Inc.

Abstract:

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

67.

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
GCI Asset Management, Inc., 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

68.

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
GCI Asset Management, Inc., 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

69.

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
GCI Asset Management, Inc., 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

70.

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

71.

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

72.

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

73.

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

74.

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

75.

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

76.

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

77.

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

78.

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

79.

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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80.

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

Other Papers (1)

Total Downloads: 0
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