CIRJE-J-84 | 『数理ファイナンスと計量ファイナンスの展開』
"On Recent Developments in Mathematical Finance" |
Author Name | 国友直人(Naoto Kunitomo) 高橋明彦(Akihiko Takahashi) |
Date | November 2002 |
Full Paper | PDF file (only Japanese version available) |
Remarks | 「計測と制御」Journal of the Society of Instrument and Control Enginneers (計測自動制御学会), Vol.41, 2002年, pp.844-849に掲載。 |
Abstract (Japanese) | Abstract (English) |
| 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. |