CIRJE-F-245 | "Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems" |
Author Name | Kunitomo, Naoto and Akihiko Takahashi |
Date | November 2003 |
Full Paper | PDF file@ |
Remarks | Subsequently published in S. Watanabe eds., Stochastic Processes and Applications to Mathematical Finance, World Scientific, pp.195-232, 2004. |
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. |
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