CARF Working Papers: Published in Academic Journals (Quantitative finance Team)

The following CARF working papers have been published/accepted in peer-reviewed academic journals.

(1)“New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion”
(Akihiko Takahashi, Toshihiro Yamada)
Asymptotic Analysis (forthcoming)
Abstract/PDF : CARF-F-563

(2) “Equilibrium multi-agent model with heterogeneous views on fundamental risks”
(Keisuke Kizaki, Taiga Saito, Akihiko Takahashi)
Automatica, Vol.160, February 2024, 111415

(3)“A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle inruaryvestment”
(Keisuke Kizaki, Taiga Saito, Akihiko Takahashi)
Insurance: Mathematics and Economics,Vol.114, January 2024, Pages 132-155

(4) “A Dynamic Analysis of the Bank of Japan’s ETF/REIT Purchase Program”
(Daiya Mita, Kiyohiko G. Nishimura, Taiga Saito, Akihiko Takahashi)
Expert Systems with Applications, Vol.235, January 2024, 121091

(5) “Optimal Loan Portfolio under Regulatory and Internal Constraints”
(Makoto Okawara, Akihiko Takahashi)
International Journal of Financial Engineering, Vol.10, Issue 04, December 2023

(6) “Multi-Agent Model Based Proactive Risk Management For Equity Investment”
(Daiya Mita, Akihiko Takahashi)
Engineering Applications of Artificial Intelligence, Volume 125, October 2023, 106701

(7) “Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus”
(Akihiko Takahashi, Toshihiro Yamada)
Patiral Differential Equations and Applications, Vol.4, article number 27,(2023), June 2023

(8) “A General Control Variate Method for Time-Changed Lévy Processes: An Application to Options Pricing”
(Kenichiro Shiraya, Cong Wang, Akira Yamazaki) ,
Journal of Computational Finance 2023, 27(1), 25-57,

(9) “A Lower Bound for the Volatility Swap in the Lognormal SABR Model”
(Elisa Alòs, Frido Rolloos and Kenichiro Shiraya),
Axioms 2023, 12(8), 749.

(10) “Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations”
(Fujii, M.),
2023, ESAIM: Control, Optimisation and Calculus of Variations 29 (56), 39 pages,