{"created":"2021-03-01T07:02:57.899464+00:00","id":43000,"links":{},"metadata":{"_buckets":{"deposit":"acdb7d45-bf97-4fc9-9152-9e52e34da3ea"},"_deposit":{"id":"43000","owners":[],"pid":{"revision_id":0,"type":"depid","value":"43000"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00043000","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-05","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-621","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":"An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [15] and Yoshida[68] is a widely applicable methodology for analytic approximation of the expectation of a certain functional of diffusion processes. [46], [47] and [53] provide explicit formulas of conditional expectations necessary for the asymptotic expansion up to the third order. In general, the crucial step in practical applications of the expansion is calculation of conditional expectations for a certain kind of Wiener functionals. This paper presents two methods for computing the conditional expectations that are powerful especially for high order expansions: The first one, an extension of the method introduced by the preceding papers presents a general scheme for computation of the conditional expectations and show the formulas useful for expansions up to the fourth order explicitly. The second one develops a new calculation algorithm for computing the coefficients of the expansion through solving a system of ordinary differential equations that is equivalent to computing the conditional expectations. To demonstrate their effectiveness, the paper gives numerical examples of the approximation for λ-SABR model up to the fifth order and a cross-currency Libor market model with a general stochastic volatility model of the spot foreign exchange rate up to the fourth order.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"forthcoming in International Journal of Theoretical and Applied Finance (as CIRJE-F-787).","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/2009/2009cf621ab.html","subitem_relation_type_select":"URI"}}]},"item_8_relation_28":{"attribute_name":"置換する","attribute_value_mlt":[{"subitem_relation_type":"replaces","subitem_relation_type_id":{"subitem_relation_type_id_text":"http://hdl.handle.net/2261/43065","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":"University of Tokyo"}]},"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":"98884","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Kohta, Takehara"}],"nameIdentifiers":[{"nameIdentifier":"98885","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Masashi, Toda"}],"nameIdentifiers":[{"nameIdentifier":"98886","nameIdentifierScheme":"WEKO"}]}]},"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":"Computation in an Asymptotic Expansion Method","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Computation in an Asymptotic Expansion Method"}]},"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":"43000","relation_version_is_last":true,"title":["Computation in an Asymptotic Expansion Method"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:03.818420+00:00"}