"On Recent Developments in Mathematical Finance" (in Japanese)

Naoto Kunitomo and Akoihiko Takahashi
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Naoto Kunitomo: Faculty of Economics, University of Tokyo
Akoihiko Takahashi: Department of Mathematical Informatics, University of Tokyo

No CIRJE-J-84, CIRJE J-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: We review some recent developments in mathematical finance and financial econometrics. In particular we discuss the asymptotic expansion approach recently proposed by Kunitomo and Takahashi (1995, 2001, 2002). Its mathematical validity is closely related to the Watanabe=Yoshida theory on Malliavin Calculus in Stochastic Analysis.

Pages: 14 pages
Date: 2002-11
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:tky:jseres:2002cj84

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