{"created":"2021-03-01T07:02:46.464865+00:00","id":42833,"links":{},"metadata":{"_buckets":{"deposit":"9f1ffd70-31a8-4612-8aff-c6e2f4884e16"},"_deposit":{"id":"42833","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42833"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042833","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2012-10","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-865","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This paper proposes a new closed-form approximation scheme for the forward-backward stochastic differential equations (FBSDEs). In particular, we obtain an error estimate for the scheme applying an asymptotic expansion in Malliavin calculus for the forward SDEs combined with the Picard iteration scheme for the BSDEs. We also show a numerical example for pricing options with counterparty risk under Heston model, where the credit value adjustment (CVA) is taken into account.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised in November 2012 and December 2012 and January 2013.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf865ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"The University of Tokyo"},{"subitem_text_value":"MTEC"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98474","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yamada, Toshihiro"}],"nameIdentifiers":[{"nameIdentifier":"98475","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Forward-backward Stochastic Differential Equations (FBSDEs)","subitem_subject_scheme":"Other"},{"subitem_subject":"Asymptotic expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin calculus","subitem_subject_scheme":"Other"},{"subitem_subject":"CVA","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"An Asymptotic Expansion for Forward-Backward SDEs : A Malliavin Calculus Approach","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"An Asymptotic Expansion for Forward-Backward SDEs : A Malliavin Calculus Approach"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42833","relation_version_is_last":true,"title":["An Asymptotic Expansion for Forward-Backward SDEs : A Malliavin Calculus Approach"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:49.264072+00:00"}