Name / Position

TAKAHASHI, Akihiko / Professor


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Curriculum Vitae


1995 December Haas School of Business, University of California at Berkeley (Ph.D.)
1985 March Faculty of Economics, University of Tokyo

Professional Experience

2007 June Professor, Graduate School of Economics, University of Tokyo
2003 April Associate Professor, Graduate School of Economics, University of Tokyo
2001 April Associate Professor, Graduate School of Mathematical Sciences, University of Tokyo
2000 January Long Term Capital Management
1985 April The Industrial Bank of Japan

Research Field

Quantitative Finance, Investment

Research Theme

My research topics include the following:
* New computational techniques for numerical problems in finance based on Malliavin calculus and asymptotic distribution theories
* New methods for estimation of the term structure of interest rates and mutual funds' investment styles applying filtering methods such as Monte Carlo filter
* Practical models for pricing defaultable securities such as convertible bonds.



  •  “Portfolio optimization with choice of a probability measure” (Taiga Saito, Akihiko Takahashi) Proceedings of IEEE CIFEr 2022 (forthcoming) : CARF-F-534
  • “Equilibrium Price Formation with a Major Player and its Mean Field Limit” (Masaaki Fujii, Akihiko Takahashi) ESAIM: Control: Optimization and Calculus of Variations, Volume 28 (2022), Published online: 08 March 2022 DOI:10.1051/cocv/2022015 : CARF-F-533
  • “A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver” (Akihiko Takahashi, Yoshifumi Tsuchida, Toshihiro Yamada) Journal of Computational Physics (forthcoming) : CARF-F-532
  • “Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium” (Masaaki Fujii, Akihiko Takahashi) SIAM Journal on Financial Mathematics, Volume 13, No.2, pp.459-490, 2022 DOI:10.1137/21M1441055 : CARF-F-529
  • “Deep Asymptotic Expansion: Application to Financial Mathematics” (Yuga Iguchi, Riu Naito, Yusuke Okano, Akihiko Takahashi, Toshihiro Yamada) Proceedings of IEEE CSDE 2021, Pages:1-6 DOI:10.1109/CSDE53843.2021.9718463 : CARF-F-523
  • “A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition” (Masaaki Fujii, Akihiko Takahashi) SIAM Journal on Control and Optimization, Vol.60, No.1, pp.259-279, 2022 DOI:10.1137/20M1326295 : CARF-F-521
  • “Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach”(Taiga Saito, Akihiko Takahashi) IEEE Transactions on Automatic Control, Volume 66-12, 6056 - 6062, December 2021 DOI:10.1109/TAC.2021.3058422 : CARF-F-507
  • “A New Interval Type-2 Fuzzy Logic System Under Dynamic Environment: Application to Financial Investment” (Akihiko Takahashi, Soichiro Takahashi) Engineering Applications of Artificial Intelligence, Volume 100, April 2021, 104154 DOI:10.1016/j.engappai.2021.104154
  • “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 (available until September 27, 2020)
  • “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)
  • “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.

Books and Monographs

  • 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)
  • 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)

Other Professional Activities and Awards

Other Professional Activities and Services

  • Japanese Association of Financial Econometrics and Engineering
  • The Mathematical Society of Japan
  • Nippon Finance Association
  • IEEE(Institute of Electrical and Electronics Engineers)


  • JAFEE BEST PAPER AWARD 2021 [Theoretical study]Masaaki Fujii, Akihiko Takahashi, and Masayuki Takahashi, “Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs.” Asia-Pacific Financial Markets,September 2019 Vol. 26, Issue 3, pp 391–408.
  • JAFEE BEST PAPER AWARD 2017 [Theoretical study]Masaaki Fujii and Akihiko Takahashi, “erturbative expansion technique for non-linear FBSDEs with interacting particle method.” Asia-Pacific Financial Markets, September 2015 Vol. 22, Issue 3, pp 283–304.
  • JAFEE BEST PAPER AWARD 2015 [Theoretical study]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.
  • Nikkei Prize for Excellent Books in Economic Science 2004 (with Naoto Kunitomo), “A Foundation of Mathematical Finance : Applications of Malliavin Calculus and Asymptotic Expansions,” 2003, Toyo-Keizai (in Japanese)
  • Best Poster Session Presentation Awards, (with Seisho Sato), The International Symposium on Frontiers of Time Series Modeling, The Insitiute of Statisitical Mathematics, Feburary, 2000