The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims

By Naoto Kunitomo, Akihiko Takahashi. 2001

151 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/b139975e849707c3150a9458bc67aa5076f8ba7c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. H. V. D. Weide
2. Masayuki Uchida
3. Cornelis W. Oosterlee
4. Yasutaka Shimizu
5. Hongwei Long
6. Nengjiu Ju
7. Bin Chen
8. Chenxu Li

In Finance

1. Hongwei Long
2. Chunhua Ma
3. Nakahiro Yoshida
4. Yasutaka Shimizu
5. Chenxu Li
6. Hiroki Masuda
7. Masayuki Uchida
8. H. V. D. Weide

Citations in the corpus

• The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model (2007, unknown): “Our approach is small volatility asymptotic expansion based on infinite dimensional analysis called the Watanabe-Yoshida theory on the Malliavin calculus (cf. Watanabe [17], Yoshida [18] and Kunitomo-Takahashi [10]).”
• Pricing Asian and basket options via Taylor expansion (2002, methodology): “For more expansion methods, see Kunitomo and Takahashi (2001) and Reiner, Davydov and Kumanduri (2001).”
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (2012, unknown): “Mathematical Finance, Vol. 22, No. 4 (October 2012), 591–620”
• Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013, result): “Special cases for conditional expectations of iterated Itô stochastic integrals (without integral with respect to the time variable) can be found in, for example, Nualart, Üstünel and Zakai [54], Yoshida [67, 68] and Kunitomo and Takahashi [42].”
• A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (2012, methodology): “In a first step, we derive the conditional moments of ∫ ∆ 0 σ 2 s ds, given σ∆ (and σ0), by the small dis- turbance expansion, proposed by Kunitomo [20].”
• Asymptotic Expansion for Small Diffusions Applied to Option Pricing (2004, background): “190 MASAYUKI UCHIDA AND NAKAHIRO YOSHIDA There are many applications of small diffusion models to finance, especially, option pricing, see [7, 8, 21, 22, 31] and references therein.”
• Least squares estimators for stochastic differential equations driven by small Lévy noises (2017, methodology): “For the problem of parameter estimation based on continuous observations, we refer to Kunitomo and Takahashi [14], Kutoyants [15,16], Yoshida [46–48], Takahashi and Yoshida [40], and Uchida and Yoshida [43,44].”