Oct 01, 2014An FBSDE approach to American option pricing with an interacting particle method (Revised version of CARF-F-302; Forthcoming in Asia-Pacific Financial Markets”)”
Aug 01, 2014A New Improvement Scheme for Approximation Methods ofProbability Density Functions(Revised version of CARF-F-305; Forthcoming in "Journal of Computational Finance")
Aug 01, 2014A Semi-group Expansion for Pricing Barrier Options (Revised version of CARF-F-271; Forthcoming in “International Journal of Stochastic Analysis”)
Jul 01, 2014Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows (Revised version of CARF-F-338; Forthcoming in "Quantitative Finance")
Jul 01, 2014On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- (Revised version of CARF-F-324; Forthcoming in “Mathematics of Operations Research”, Revised in September 2014)
May 01, 2014A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing (Revised in December 2014; Forthcoming in “Quantitative Finance”)
Jan 01, 2014Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows (Revised as CARF-F-348)
Dec 01, 2013Pricing Basket Options under Local Stochastic Volatility with Jumps (Revised in May 2014)
Dec 01, 2013A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights (Revised as CARF-F-358)
Nov 01, 2013Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method (Forthcoming in “International Journal of Theoretical and Applied Finance”)
Nov 01, 2013Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates- (Forthcoming in “Quantitative Finance”)
Sep 01, 2013On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver (Revised in October 2013)
Jul 04, 2013On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- (Revised as CARF-F-347)
May 17, 2013On the Lebesgue Property of Monotone Convex Functions (Forthcoming in “Math. Financ. Econ.”)
May 01, 2013Maximum Lebesgue Extension of Monotone Convex Functions (Published as: J. Funct. Anal. 266, issue 6, pp.3572-3611)
Apr 01, 2013Note on an Extension of an Asymptotic Expansion Scheme (Revised version of F-286; Forthcoming in “International Journal of Theoretical and Applied Finance”)
Mar 01, 2013Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering (Revised version for CARF-F-289: Forthcoming in the Annals of Instituteof Statistical Mathematics)
Feb 01, 2013Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication (Revised version of CARF-F-150; forthcoming in Quantitative finance”)”
Jan 01, 2013A New Improvement Scheme for Approximation Methods of Probability Density Functions (Revised as CARF-F-350)
Jan 01, 2013An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model (Forthcoming in JSIAM Letters”)”