CIRJE-F-245	"Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems"
Author Name	Kunitomo, Naoto and Akihiko Takahashi
Date	November 2003
Full Paper	PDF file
Remarks	Subsequently published in S. Watanabe eds., Stochastic Processes and Applications to Mathematical Finance, World Scientific, pp.195-232, 2004.

Abstract

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.