髙橋 明彦

髙橋 明彦

教員名 / 職名

髙橋 明彦 TAKAHASHI, Akihiko / 教授

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略歴

昭和60年3月 東京大学経済学部卒業
昭和60年4月 日本興業銀行
平成7年12月 カリフォルニア大学バークレー校ビジネススクール 博士課程修了(Ph.D.取得)
平成10年1月 Long Term Capital Management
平成11年4月 東京大学大学院数理科学研究科助教授
平成15年4月 同 経済学研究科助教授
平成19年4月 同 准教授
平成19年6月 同 教授

現在の研究分野

数量ファイナンス、インベストメント

研究課題

ファイナンスの分野で研究を行っている。特に、ファイナンス分野の数値的諸問題に対し、統計的漸近分布論及びマリアヴァン解析(無限次元確率解析)を基礎とした新手法の開発とその体系化に関する研究を進めている。また、モンテカルロフィルタなどフィルタリング技術を活用し金利の期間構造モデルの推定及び投資信託などの運用手法分析に関する新手法の開発も行っている。その他の研究としては、信用リスクを明示的に考慮した実用的な転換社債モデルの開発を行った。

研究業績

著書・編著

  • 『数理ファイナンスの基礎-マリアバン解析と漸近展開の応用-』東洋経済新報社,2003年7月. (国友直人との共著)
  • 『モンテカルロフィルタを用いた金利モデルの推定』シリーズ統計科学のフロンティア:第12巻「計算統計Ⅱ」所収, 岩波書店,2005年10月. (佐藤整尚との共著)
  • 『統計データ科学事典』 朝倉書店、2007年6月、杉山高一・藤越康祝・杉浦成昭・国友直人編 22章「ファイナンス統計」、pp.512-517執筆
  • 『第2版 現代数理科学事典』 丸善出版、2009年12月、編集代表 広中 平祐 部門IV 1.9「数理ファイナンス」pp.492-500執筆
  • Recent Advances in Financial Engineering 2011 Proceedings of the International Workshop on Finance 2011, World Scientific, Jun. 2012. (Edited by Akihiko Takahashi,Yukio Muromachi, Hidetaka Nakaoka)
  • Recent Advances in Financial Engineering 2012 Proceedings of the International Workshop on Finance 2012, World Scientific, Feb. 2014. (Edited by Akihiko Takahashi, Yukio Muromachi, Takashi Shibata)
  • 『東大教授が語る、東大新入生のための数学ブックガイド』 落合卓四郎 監修 2014年12月、東京図書(pp.114 - 121執筆)

論文 - 英文

  • “Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach” (Taiga Saito, Akihiko Takahashi) IEEE Transactions on Automatic Control, forthcoming
  • “A New Interval Type-2 Fuzzy Logic System Under Dynamic Environment: Application to Financial Investment” (Akihiko Takahashi, Soichiro Takahashi) Engineering Applications of Artificial Intelligence, forthcoming
  • “A new investment method with AutoEncoder: Applications to crypto currencies” (Masafumi Nakano, Akihiko Takahashi) Expert Systems with Applications, Volume 162, 30 December 2020, 113730 DOI:10.1016/j.eswa.2020.113730 : CARF-F-489
  • “Interest Rate Model with Investor Attitude and Text Mining” (Souta Nakatani, Kiyohiko G. Nishimura, Taiga Saito, Akihiko Takahashi) published in IEEE Access, 06 May 2020 DOI:10.1109/ACCESS.2020.2992477 : CARF-F-479
  • “State space approach to adaptive fuzzy modeling for financial investment” (Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi) Applied Soft Computing, Volume 82, September 2019, 105590 DOI:10.1016/j.asoc.2019.105590
  • “Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs” (Masaaki Fujii, Akihiko Takahashi, Masayuki Takahashi) Asia-Pacific Financial Markets, 18 March 2019 DOI:10.1007/s10690-019-09271-7 : CARF-F-456
  • “Stochastic Differential Game in High Frequency Market” (Taiga Saito, Akihiko Takahashi) Automatica, Volume 104, June 2019, Pages 111–125 DOI:10.1016/j.automatica.2019.02.051 : CARF-F-451
  • “Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach” (Kiyohiko G. Nishimura, Seisho Sato, Akihiko Takahashi) Asia-Pacific Financial Markets, 04 January 2019 DOI:10.1007/s10690-018-09267-9 : CARF-F-446
  • “Application of Online Booking Data to Hotel Revenue Management” (Taiga Saito, Akihiko Takahashi, Noriaki Koide, Yu Ichifuji) International Journal of Information Management, Volume 46, June 2019, Pages 37–53 DOI:10.1016/j.ijinfomgt.2018.11.003 : CARF-F-448
  • “Asymptotic Expansion for Forward-Backward SDEs with Jumps” (Masaaki Fujii, Akihiko Takahashi) Stochastics, Volume 91, Issue 2, 2019, Pages 175–214 DOI:10.1080/17442508.2018.1521808 : CARF-F-445
  • “Bitcoin technical trading with artificial neural network” (Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi) Physica A: Statistical Mechanics and its Applications Volume 510, 2018, Pages 587-609 DOI:10.1016/j.physa.2018.07.017 : CARF-F-441 (preprint version)
  • “Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers” (Masaaki Fujii, Akihiko Takahashi) Stochastics and Dynamics Volume 19, No. 03, 1950020 (2019) DOI:10.1142/S0219493719500205 : CARF-F-440
  • “Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-” (Taiga Saito, Takanori Adachi, Teruo Nakatsuma, Akihiko Takahashi, Hiroshi Tsuda, Naoyuki Yoshino) Asia-Pacific Financial Markets Volume 25, Issue 3, Pages 179–220, September 2018 DOI:10.1016/j.spa.2018.05.009 : CARF-F-438
  • “Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions ” (Masaaki Fujii, Akihiko Takahashi) Stochastic Processes and their Applications Volume 129, Issue 5, May 2019 DOI:10.1016/j.spa.2018.05.009 : CARF-F-436
  • “On the effect of Bank of Japan's outright purchase on the JGB yield curve” (Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi, Takami Tokioka) Asia-Pacific Financial Markets, Volume 25, Issue 1, March 2018, Pages 47–70 DOI:10.1007/s10690-018-9238-5 : CARF-F-419 (preprint version)
  • “Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models” (Kenichiro Shiraya, Akihiko Takahashi) Mathematics of Operations Research Volume 44, No. 1, February 2019 DOI:10.1287/moor.2017.0925 : CARF-F-426
  • “Robust technical trading with fuzzy knowledge-based systems ” Frontiers in Artificial Intelligence and Applications, Volume 297, 2017,Pages 652-667 DOI:10.3233/978-1-61499-800-6-652 (Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi) : CARF-F-413 (preprint version)
  • “Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability” Stochastic Processes and their Applications, Available online 21 September 2017 DOI:10.1016/j.spa.2017.09.002 (Masaaki Fujii, Akihiko Takahashi) : CARF-F-420 (preprint version)
  • “Derivatives Pricing with Market Impact and Limit Order Book” (Taiga Saito, Akihiko Takahashi) Automatica, Volume 86, December 2017, Pages 154-165 DOI:10.1016/j.automatica.2017.08.028 : CARF-F-417 (preprint version)
  • “Style Analysis with Particle Filtering and Generalized Simulated Annealing” International Journal of Financial Engineering, Volume 04, Issue 02n03, June & September 2017 DOI:10.1142/S2424786317500372 (Takaya Fukui, Seisho Sato, Akihiko Takahashi) : CARF-F-383 (preprint version)
  • “Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection” (Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi) Knowledge-Based Systems, Volume 131, 1 September 2017, Pages 113–124 DOI:10.1016/j.knosys.2017.06.006
  • “Creating Investment Scheme with State Space Modeling” (Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi) Expert Systems with Applications, Volume 81, 15 September 2017, Pages 53-66 DOI:10.1016/j.eswa.2017.03.045
  • “Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection” (Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi) Expert Systems with Applications, Volume 73, 1 May 2017, Pages 187–200 DOI:10.1016/j.eswa.2016.12.034
  • “Rebalancing Static Super-Replications” (Akihiko Takahashi and Yukihiro Tsuzuki) International Journal of Financial Engineering, Volume 04, Issue 01, March 2017 DOI:10.1142/S2424786317500037 : CARF-F-384 (preprint version)
  • “An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach” Asia-Pacific Financial Markets, Volume 23, Issue 4, December 2016, March 2018, Pages 337–373 DOI:10.1007/s10690-016-9220-z (Akihiko Takahashi and Toshihiro Yamada) : CARF-F-394 (preprint version)
  • “A General Control Variate Method for Multi-dimensional SDEs: An Application to Multi-asset Options under Local Stochastic Volatility with Jumps Models in Finance” (Kenichiro Shiraya and Akihiko Takahashi) European Journal of Operational Research, Volume 258, Issue 1, 1 April 2017, Pages 358–371 DOI:10.1016/j.ejor.2016.08.060
  • “Optimal Room Charge and Expected Sales under Discrete Choice Models with Limited Capacity” (Saito Taiga, Akihiko Takahashi and Hiroshi Tsuda) International Journal of Hospitality Management, 57 (2016), 116-131 DOI:10.1016/j.ijhm.2016.06.006
  • “A General Framework for the Benchmark pricing in a Fully Collateralized Market” International Journal of Financial Engineering, Volume 03, Issue 03, September 2016 , 1650019(30pages) (Masaaki Fujii, Akihiko Takahashi) DOI: 10.1142/S2424786316500195 : CARF-F-378(preprint version)
  • “Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model” (Kenichiro Shiraya and Akihiko Takahashi) in Section I-3 (pp.31-53) of the book “Commodities” edited by M. A. H. Dempster, Ke Tang, November, 2015, Chapman and Hall/CRC. ISBN 9781498712323 - CAT# K25111 : CARF-F-113 (preprint version)
  • “An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models” Stochastics: An International Journal of Probability and Stochastic Processes, DOI:10.1080/17442508.2015.1136630, volume 89-1, pp. 65-88, 2017, Published online: 01 Feb 2016(Kenichiro Shiraya, Akihiko Takahashi) : CARF-F-377(preprint version)
  • “Price Impacts of Imperfect Collateralization” International Journal of Financial Engineering, Volume 03, Issue 01, March 2016 , 155045(31pages)(Kenichiro Shiraya, Akihiko Takahashi) DOI:10.1142/s2424786315500450 : CARF-F-375
  • “An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets” Journal of Computational and Applied Mathematics, Volume 292, 15 January 2016, Pages 230–256(Kenichiro Shiraya, Akihiko Takahashi) DOI:10.1016/j.cam.2015.06.027
  • “An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver” International Journal of Financial Engineering, Vol. 2, No. 2 (2015) 1550020 (29 pages)(Akihiko Takahashi, Toshihiro Yamada) DOI:10.1142/S2424786315500206 : CARF-F-363(preprint version)
  • “A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights” Annals of Applied Probability, Vol. 26, No.2, pp.818–856, April 2016 (Akihiko Takahashi, Toshihiro Yamada) DOI:10.1214/15-AAP1105 : CARF-F-358(preprint version)
  • “Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method” Asia-Pacific Financial Markets, Vol. 22- 3, pp 283-304, 2015(Masaaki Fujii, Akihiko Takahashi) DOI:10.1007/s10690-015-9201-7 : CARF-F-278(preprint version)
  • “Asymptotic Expansion Approach in Finance” Large Deviations and Asymptotic Methods in Finance, Vol.110, Ch.13, Springer, pp.345-411(67 pages), 2015(Akihiko Takahashi) DOI: 10.1007/978-3-319-11605-1 : CIRJE-F-950,CARF-F-356 (preprint version)
  • “An FBSDE Approach to American Option Pricing with an Interacting Particle Method” Asia-Pacific Financial Markets, Vol. 22-3,pp 239-260, 2015(Masaaki Fujii, Seisho Sato, Akihiko Takahashi) DOI:10.1007/s10690-014-9195-6 : CARF-F-352(preprint version)
  • “A New Improvement Scheme for Approximation Methods of Probability Density Functions” Journal of Computational Finance, 19(4), 73–94, Feb.26, 2016(Akihiko Takahashi, Yukihiro Tsuzuki) DOI:10.21314/JCF.2016.213 : CARF-F-350(preprint version)
  • “A Semi-group Expansion for Pricing Barrier Options” International Journal of Stochastic Analysis, Volume 2014(2014), ArticleID 268086, 15pages(Takashi Kato, Akihiko Takahashi, Toshihiro Yamada) DOI:10.1155/2014/268086 : CARF-F-349(preprint version)
  • “Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows” Quantitative Finance, Volume 15, Issue 3, 2015, pp.535-551(Masaaki Fujii, Akihiko Takahashi) DOI:10.1080/14697688.2014.950320 : CARF-F-348(preprint version)
  • “On Error Estimates for Asymptotic Expansions with Malliavin Weights --Application to Stochastic Volatility Model--” Mathematics of Operations Research, vol.40(3), 2015, pp. 513–541(Published Online: November 7, 2014(Akihiko Takahashi, Toshihiro Yamada)) DOI:10.1287/moor.2014.0683 : CARF-F-347(preprint version)
  • “Making Mean-Variance Hedging Implementable in a Partially Observable Market” Quantitative Finance, Volume 14, Issue 10, 2014, pages1709-1724(Masaaki Fujii, Akihiko Takahashi) DOI:10.1080/14697688.2013.867453 : CARF-F-332(preprint version)
  • “Note on an Extension of an Asymptotic Expansion Scheme,” International Journal of Theoretical and Applied Finance, Volume.16, Issue.05, 2013 pp.1350031-1-1350031-23(Akihiko Takahashi, Masashi Toda) DOI:10.1142/S0219024913500313 : CARF-F-312(preprint version)
  • “Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication” Quantitative Finance, Volume.13, Issue.10, 2013, Special Issue: Themed Issue on Fund Management, pages 1559-1573, DOI:10.1080/14697688.2013.779014(Akihiko Takahashi, Kyo Yamamoto) : CARF-F-308(preprint version)
  • “An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model,” JSIAM Letters, Vol. 5, 2013, pp.17-20. (Takashi Kato, Akihiko Takahashi, Toshihiro Yamada) : CARF-F-304(preprint version)
  • “Pricing Multi-Asset Cross Currency Options,” Journal of Futures Markets, Vol.34-1, pp.1-19, lead_article, 2014 (first published online: Dec., 2012)(Kenichiro Shiraya, Akihiko Takahashi) DOI:10.1002/fut.21590 : CARF-F-290(preprint version)
  • “Derivative Pricing under Asymmetric and Imperfect Collateralization, and CVA,” Quantitative Finance, Vol. 13, No.5, pp.749-768, 2013 (Masaaki Fujii, Akihiko Takahashi) DOI:10.1080/14697688.2012.738931 : CARF-F-265(preprint version)
  • “Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility” Quarterly Jornal of Finance, Vol.2, No.3 (2012) 1250015, DOI:10.1142/S2010139212500152 (Masaaki Fujii, Akihiko Takahashi) : CARF-F-270 (preprint version)
  • “Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)” associated with Chapter 6 (pp.241-282): Interest Rate Modelling under Full Collateralisation, in 「Interest Rate Modelling After The Financial Crisis,」 Risk books, Incisive Media, published in 11, June, 2013.(Masaaki Fujii, Akihiko Takahashi) : CARF-F-260
  • “Collateralized CDS and Default Dependence -Implications for the Central Clearing” The Journal of Credit Risk, Vol.8-3, fall, 2012. (Masaaki Fujii, Akihiko Takahashi) : CARF-F-246 (preprint version)
  • “A Remark on Approximation of the Solutions to Partial Differential Equations in Finance” Recent Advances in Financial Engineering 2011, 2011, pp.133-181. (Akihiko Takahashi, Toshihiro Yamada) : CARF-F-273(preprint version)
  • “A General Computation Scheme for a High-Order Asymptotic Expansion Method” International Journal of Theoretical and Applied Finance, Vol.15-6, 2012. (Akihiko Takahashi, Kohta Takehara, Masashi Toda) : CARF-F-272(preprint version)
  • “A Survey on Modeling and Analysis of Basis Spreads” Recent Advances in Financial Engineering 2011, 2011, pp.43-53. (Masaaki Fujii, Akihiko Takahashi ) : CARF-F-195(preprint version)
  • “Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme” International Journal of Theoretical and Applied Finance, Vol.15-5, 2012.(Masaaki Fujii, Akihiko Takahashi) : CARF-F-248 (preprint version)
  • “An Asymptotic Expansion with Push-Down of Malliavin Weights” SIAM Journal on Financial Mathematics, Volume.3, pp.95-136, 2012(Akihiko Takahashi and Toshihiro Yamada) : CARF-F-256 (preprint version)
  • “Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models” Wilmott , Volume 2012, Issue 61, pp.48-63, September 2012(Kenichiro Shiraya, Akihiko Takahashi, and Akira Yamazaki) : CARF-F-255 (preprint version)
  • “Pricing Discrete Barrier Options Under Stochastic Volatility” Asia-Pacific Financial Markets, Vol. 19 -3, pp 205-232,2012(Kenichiro Shiraya, Akihiko Takahashi, Toshihiro Yamada) : CARF-F-210 (preprint version)
  • “A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies” Wilmott Magazine, Volume 2011, Issue 54, pp.61-73, 2011 (Masaaki Fujii, Yasufumi Shimada, Akihiko Takahashi) : CARF-F-196 (preprint version)]
  • “Modeling of Interest Rate Term Structures under Collateralization and its Implications” Recent Advances in Financial Engineering 2010, pp.83-104, 2011.(Masaaki Fujii, Akihiko Takahashi) : CARF-F-230 (preprint version)
  • “Choice of Collateral Currency” Risk Magazine, January 2011, pp.120-125, 2011 (Masaaki Fujii, Akihiko Takahashi) : CARF-F-239 (preprint version)
  • “Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments” International Journal of Theoretical and Applied Finance, Vol 14-4, pp.485-505, 2011 ( Akihiko Takahashi, Yukihiro Tsuzuki, Akira Yamazaki ) : CARF-F-238 (preprint version)
  • “Application of a High-Order Aymptotic Expantion Scheme to Long-Term Currency Options” The International Journal of Business and Finance Research, vol. 5-3, pp.87-100, 2011(Kohta Takehara, Masashi Toda , Akihiko Takahashi) : CARF-F-225 (preprint version)
  • “Pricing Average Options on Commodities” Journal of Futures Markets, Vol.31-5, pp.407-439, lead_article, 2011. (Kenichiro Shiraya , Akihiko Takahashi) : CARF-F-177 (preprint version)
  • “Pricing Barrier and Average Options under Stochastic Volatility Environment” Journal of Computational Finance, vol.15-2,winter 2011/12, pp.111-148(Kenichiro Shiraya, Akihiko Takahashi, Masashi Toda ) : CARF-F-176 (preprint version)
  • “A Note on Construction of Multiple Swap Curves with and without Collateral” FSA Research Review, Vol.6, pp.139-157, March, 2010. (Masaaki Fujii, Yasufumi Shimada, Akihiko Takahashi ) : CARF-F-154 (preprint version)
  • “A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options,” International Journal of Theoretical and Applied Finance, Vol.13-8, pp.1179-1221, 2010. (Akihiko Takahashi , Kohta Takehara) : CARF-F-116 (preprint version)
  • “New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme” Recent Advances in Financial Engineering, pp.231-251, 2011 ( Kohta Takehara, Akihiko Takahashi, Masashi Toda ) : CARF-F-212 (preprint version)
  • “A New Hedge Fund Replication Method With The Dynamic Optimal Portfolio” Global Journal of Business Research, Vol. 4, No. 4, pp.23-34, 2010 ( Akihiko Takahashi, Kyo Yamamoto ) : CARF-F-211 (preprint version)
  • “Hedge Fund Replication,” The Recent Trend of Hedge Fund Strategies, pp.57-96, Nova Science Publishers, Chapter 2, 2010 (Akihiko Takahashi, Kyo Yamamoto ) : CARF-F-137 (preprint version)
  • “Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model,” Quantitative Finance, Vol.12-12, pp.1811-1826, 2012(First Published 24, March 2012)(Kenichiro Shiraya, Akihiko Takahashi ) : CARF-F-113 (preprint version)
  • “Asymptotic Expansion Approaches in Finance: Applications to Currency Options,” Finance and Banking Developments, pp.185-232, Nova Science Publishers, 2010 (Akihiko Takahashi, Kohta Takehara ) : CARF-F-165 (preprint version)
  • “A Remark on a Singular Perturbation Method for Option Pricing under a Stochastic Volatility Model,” Asia-Pacific Financial Markets, Vol.16-4, pp.333-345, 2009.(Kyo Yamamoto, Akihiko Takahashi)
  • “Macroeconomic Implications of Term Structures of Interest Rates under Stochastic Differential Utility with Non-Unitary EIS,” Asia-Pacific Financial Markets, vol.16-3, pp.231-263, 2009(Hisashi Nakamura, Wataru Nozawa, Akihiko Takahashi ) : CARF-F-141 (preprint version)
  • “On an Asymptotic Expansion Approach to Numerical Problems in Finance,” Selected Papers on Probability and Statistics, pp.199-217, 2009, American Mathematical Society
  • “Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment,” International Journal of Theoretical and Applied Finance, vol.13-2, pp.335-354, 2010(Yamamoto Kyo, Seisho Sato, Akihiko Takahashi ) : CARF-F-138 (preprint version)
  • “Term Structure of Interest Rates under Recursive Preferences in Continuous Time,” Asia-Pacific Financial Markets, Vol.15-3,4, pp.273-305, 2008. (Hisashi Nakamura, Keita Nakayama, Akihiko Takahashi ) : CARF-F-118 (preprint version)
  • “Efficient Static Replication of European Options under Exponential Levy Models,” Journal of Futures Markets, Vol.29-1, pp.1-15, 2009. (Akihiko Takahashi, Akira Yamazaki ) : CARF-F-105 (preprint version)
  • “A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models,” Journal of Futures Markets, Vol.29-5, pp.397-413, 2009. (Akihiko Takahashi, Akira Yamazaki ) : CARF-F-120 (preprint version)
  • “A Factor Allocation Approach to Optimal Bond Portfolio,” Asia-Pacific Financial Markets, Vol.14-4, pp.299-324, 2007. (Keita Nakayama and Akihiko Takahashi) : CARF-F-076 (preprint version)
  • “Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options,” International Journal of Theoretical and Applied Finance, Vol.11-4, pp.381-401, 2008. (Akihiko Takahashi and Kohta Takehara ) : CARF-F-097 (preprint version)
  • “Selection and Performance Analysis of Asia-Pacific Hedge Funds,” The Journal of Alternative Investments, Vol.10-3, pp.7-29, Winter 2007. (Takeshi Hakamada, Akihiko Takahashi, Kyo Yamamoto) (preprint version)
  • “An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates,” Asia-Pacific Financial Markets, Vol.14-1,2, pp.69-121, 2007. (Akihiko Takahashi and Kohta Takehara) : CARF-F-092 (preprint version)
  • “A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach,” Asia-Pacific Financial Markets, Vol.11, pp.393-430, 2006. (Ryosuke Matsuoka, Akihiko Takahashi and Yoshihiko Uchida ) : CARF-F-044 (preprint version)
  • “New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation,” Advances in Mathematical Economics, Vol. 8, pp.411-431, 2006. (Takahashi Akihiko and Yoshihiko Uchida ) : CARF-F-012 (preprint version)
  • “Monte Carlo Simulation with Asymptotic Method,” Journal of Japan Statistical Society, Vol. 35-2, pp.171-203, 2005. (Takahashi Akihiko and Nakahiro Yoshida ) : CARF-F-030 (preprint version)
  • “An Asymptotic Expansion Approach to Computing Greeks,” FSA Research Review 2005, pp.72-108, 2005. (Ryosuke Matsuoka and Akihiko Takahashi)
  • “Dynamic Optimality of Yield Curve Strategies,” International Review of Finance, Vol.4, pp.49-78, 2003, (published in 2005.). (Kobayashi, Takao, Akihiko Takahashi and Norio Tokioka ) : CARF-F-013 (preprint version)
  • “An Asymptotic Expansion Scheme for Optimal Investment Problems,” Statistical Inference for Stochastic Processes, Vol.7-2, pp.153-188, 2004. (Akihiko Takahashi, Nakahiro Yoshida) : CIRJE-F-248 (preprint version)
  • “Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems,” Stochastic Processes and Applications to Mathematical Finance, pp.195-232, 2004. (Naoto Kunitomo, Akihiko Takahashi) : CIRJE-F-245 (preprint version)
  • “Option Pricing in HJM Model using an Asymptotic Expansion Method,” FSA Research Review 2004, pp.82-103, 2004. (Akihiko Takahashi and Shuichiro Matsushima)
  • “On Validity of the Asymptotic Expansion Approach in Contingent Claim Analysis,” Annals of Applied Probability, Vol.13-3 August, pp.914-952, 2003. (Naoto Kunitomo, Akihiko Takahashi)
  • “A Monte Carlo Filtering Approach for Estimating the Term Structure of Interest Rates,” Annals of the Institute of Statistical Mathematics, Vol.53, pp.50-62, 2001. (Akihiko Takahashi, Seisho Sato)
  • “The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims,” Mathematical Finance, Vol.11, pp.117-151, 2001. (Naoto Kunitomo, Akihiko Takahashi)
  • “Pricing Convertible Bonds with Default Risk,” The Journal of Fixed Income, Vol.11-3, December, pp.20-29, 2001. (Akihiko Takahashi, Takao Kobayashi, Naruhisa Nakagawa)
  • “An Asymptotic Expansion Scheme for the Optimal Portfolio for Investment,” Mathematical Economics, Kokyuroku 1215, Research Institute for Mathematical Sciences(RIMS), Kyoto University, 2001. (Akihiko Takahashi, Nakahiro Yoshida)
  • “A Variable Reduction Technique for Pricing Average-Rate Options,” International Review of Finance, Vol. 1, pp.123-142, 2000. (Hua He, Akihiko Takahashi)
  • “An Asymptotic Expansion Approach to Financial Contingent Claims,” Asia-Pacific Financial Markets, Vol. 6, pp.115-151, 1999.

論文 - 和文

  • 「深層学習を用いた投資手法」 『経済学論集』第82巻第1号,2017年(福井貴也との共著)
  • 「粒子フィルタを用いた最適ポートフォリオの構築」 『経済学論集』第81巻第2号,2017年(中野雅史,佐藤整尚,高橋聡一郎との共著)
  • 「日本銀行による国債購入がイールドカーブに与える影響」 CARF-J-108, 2017. (時岡毅実,中野雅史,高橋聡一郎との共著)
  • 「確率ボラティリティ・モデルの下での平均オプションのプライシングについて」 『FSAリサーチ・レビュー』第5号,179-214,金融庁,2009年(白谷健一郎,戸田真史との共著)
  • 「確率微分効用に基づく金利の期間構造について」 『MTECジャーナル』, Vol.20, 3-28, 2008年12月.(中村恒,野澤亘との共著)
  • 「3ファクターモデルによる長期商品先物・先渡し契約の評価とヘッジ」 『FSAリサーチ・レビュー2007』 159-188, 金融庁, 2008. (白谷健一郎,福西洋介との共著)
  • 「ファイナンスの数値的問題と漸近展開法について」 『数学』Vol.59-1, 75-91, 2007.
  • 「アジア太平洋のヘッジファンドの選択とパフォーマンス分析」 『FSAリサーチ・レビュー2006』167-197, 金融庁, 2007. (袴田武志,山本匡との共著)
  • 「マリアバン解析を用いたオプションのリスク指標の数値計算について」 『金融研究』Vol.24-1, 1-38, 2005(Revised version in 2006.12, 今村悟,内田善彦との共著)
  • 「漸近展開を用いたHJMモデルにおけるオプション・プライシング」 『FSAリサーチ・レビュー2004』82-102, 金融庁, 2004. (松島周一郎との共著)
  • 「ファイナンスの数理と実務」 ,『日本数学会市民講演会講演録, 数学通信』2004年2月.
  • 「漸近展開を用いたアメリカン・オプションの評価法」 『金融研究』Vol.22-2, 35-87, 2003.(斎藤大河との共著)
  • 「モンテカルロフィルタを用いた金利モデルの推定」 『統計数理』Vol.50-2, 133-147, 2002.(佐藤整尚との共著)
  • 「イールドカーブ戦略の動学的最適性」 CIRJE-J-56, 2001. (小林孝雄,時岡規夫との共著)
  • 「3ファクターラティスモデルによる2カ国の金利の確率的変動を考慮した派生商品の評価」 『現代ファイナンス』Vol.5, 3-16, 1999.(時岡毅実との共著)
  • 「平均オプション価格の評価法」 『ファイナンス研究』Vol.14, 1-19, 1992.(国友直人との共著)

その他 - 書評

  • 書評:藤田岳彦『ファイナンスの確率解析入門』, 応用数理, 13巻2号, p.178, 2003年6月.
  • 書評:トーマス・ミコシュ(遠藤靖訳)『ファイナンスのための確率微分方程式』, 数学セミナー, 2001年9月号, p.80, 2001年9月.
  • 書評:太田智之『債券投資とファイナンス理論』, 証券アナリストジャーナル, 平成12年1月号, 38巻1号, 2000年1月.

学会活動・受賞等

所属学会

  • 日本金融・証券計量・工学学会
  • 日本ファイナンス学会
  • 日本数学会
  • IEEE(Institute of Electrical and Electronics Engineers)

受賞等

  • 2017年度JAFEE論文賞(理論部門)Masaaki Fujii and Akihiko Takahashi, “Perturbative expansion technique for non-linear FBSDEs with interacting particle method.”Asia-Pacific Financial Markets,September 2015 Vol. 22, Issue 3, pp 283–304.
  • 2015年度JAFEE論文賞(理論部門)Kenichiro Shiraya, Akihiko Takahashi, and Toshihiro Yamada, “Pricing Discrete Barrier Options Under Stochastic Volatility,” Asia-Pacific Financial Markets, September 2012, Volume 19, Issue 3, pp 205-232.
  • 第47回日経・経済図書文化賞受賞(2004年) 『数理ファイナンスの基礎-マリアバン解析と漸近展開の応用-』 東洋経済新報社(国友直人と共著)
  • Best Poster Session Presentation Awards, (with Seisho Sato), The International Symposium on Frontiers of Time Series Modeling, The Insitiute of Statisitical Mathematics, Feburary, 2000