Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems

Naoto Kunitomo and Akihiko Takahashi
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Naoto Kunitomo: Faculty of Economics, University of Tokyo
Akihiko Takahashi: Graduate School of Mathematical Sciences and Economics, University of Tokyo

No CIRJE-F-245, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper reviews the asymptotic expansion approach based on Malliavin-Watanabe Calculus in Mathematical Finance. We give the basic formulation of the asymptotic expansion approach and discuss its power and usefulness to solve important problems arised in nance. As illustrations we use three major problems in nance and give some useful formulae and new results including numerical analyses.

Pages: 38 pages
Date: 2003-11
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2003cf245

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