CIRJE-F-245. Kunitomo, Naoto and Akihiko Takahashi, "Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems", November 2003.

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.