■ Book and Papers
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1.
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Papers
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Funahashi, H. (2024), "Deep Learning for Derivatives Pricing: A Comparative Study of Asymptotic and Quasi-Process Corrections," Annals of Operations Research, forthcoming.
(Single)
2024
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2.
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Papers
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Funahashi, H. (2023), "SABR Equipped with AI Wings," Quantitative Finance, 23(2), 229 - 249
(Single)
2023
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3.
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Papers
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Funahashi, H. (2021), "Replication Scheme for the pricing of European Options," International Journal of Theoretical and Applied Finance, 24(3), 2150014
(Single)
2021/05
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4.
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Papers
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Funahashi, H. (2021), "Artficial Neural Network for Option Pricing with and without Asymptotic Correction," Quantitative Finance, 21(4), 575 - 592
(Single)
2021/04
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5.
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Papers
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Funahashi, H. (2020), "An Approximate Swaption Formula in Heath-Jarrow-Morton Models," Journal of Derivatives, 27(4), 30 - 50
(Single)
2020/08
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6.
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Papers
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Funahashi, H. and T. Higuchi (2018), "An Analytical Approximation for Single Barrier Options under Stochastic Volatility Models," Annals of Operations Research, 266(1-2), 129 - 157.
(Collaboration)
2018/07
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7.
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Papers
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Funahashi, H. and M. Kijima (2017), "A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility," Fractal and Fractional, 1(1), 1 - 17
(Collaboration)
2017/12
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8.
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Papers
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Chen K C, H. Funahashi , and N. Warmerdam (2017), "Evaluating Conditions and Terms of the AT&T and DirecTV Merger," Research in Finance, 33, 1 - 17
(Collaboration)
2017/10
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9.
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Papers
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Funahashi, H. and M. Kijima (2017), "A Unified Approach for the Pricing of Generalized Asian Options," Review of Derivatives Research, 20(3), 203 - 229
(Collaboration)
2017/10
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10.
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Papers
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Funahashi, H. (2017), "Pricing Derivatives with Fractional Volatility," International Journal of Financial Engineering, 4(1), 1750014
(Single)
2017/03
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11.
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Papers
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Funahashi, H. and M. Kijima (2017), "Does the Hurst Index Matter for Option Prices under Fractional Volatility?" Annals of Finance, 13(1), 55 - 74
(Collaboration)
2017/02
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12.
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Papers
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Funahashi, H. and M. Kijima (2017), "An Analytical Approximation for the Pricing of VWAP Options," Quantitative Finance, 17(7), 1119 - 1133.
(Collaboration)
2017
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13.
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Papers
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Funahashi, H. and M. Kijima (2016), "Analytical Pricing of Barrier Options under Local Volatility Models," Quantitative Finance, 16(6), 867 - 886.
(Collaboration)
2016
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14.
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Papers
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Funahashi, H. (2015), "An Analytical Approximation of European Option Prices under Stochastic Interest Rate," International Journal of Theoretical and Applied Finance, 18(4), 1 - 43
(Single)
2015/06
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15.
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Papers
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Funahashi, H. and M. Kijima (2015), "A Chaos Expansion Approach for the Pricing of Contingent Claims," Journal of Computational Finance, 18(3), 27-53
(Collaboration)
2015/03
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16.
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Papers
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Funahashi, H. (2014), "A Chaos Expansion Approximation under Hybrid Volatility Models," Quantitative Finance, 14(11), 1923-1936
(Single)
2014/11
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17.
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Papers
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Funahashi, H. and M. Kijima (2014), "An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options,"Applied Mathematical Finance, 21(2), 109-139
(Collaboration)
2014/05
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5 display
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All display(17)
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