(Last updated : 2021-05-05 18:09:09)
  Funahashi Hideharu
   Kanagawa University  Faculty of Economics Department of Economics/Department of Contemporary Business
   Associate Professor
■ Academic conference presentation
1. 2014/07/05 An analytical approximation of European Option prices under stochastic interest rate (Fourth IMS-FPS Workshop)
2. 2013/02/09 An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options (International Workshop on Financial Economics and Mathematics)
3. 2012/03/09 A Chaos Expansion Approach for the Pricing of Contingent Claims (Young Researchers Workshop on Finance)
4. 2012/01/15 A Chaos Expansion Approach for the Pricing of Contingent Claims (TMU Finance Seminar)
■ Book and Papers
1. Papers Funahashi H (2021), "Artficial Neural Network for Option Pricing with and without Asymptotic Correction," Quantitative Finance, 21(4), 575-592  (Single)  2021/04 Link
2. Papers Funahashi H (2021), "Replication Scheme for the pricing of European Options," International Journal of Theoretical and Applied Finance, forthcoming.  (Single)  2021 Link
3. Papers Funahashi H (2020), "An Approximate Swaption Formula in Heath-Jarrow-Morton Models," Journal of Derivatives, 27(4), 30-50  (Single)  2020/08 Link
4. Papers Funahashi H and Higuchi T(2018), "An Analytical Approximation for Single Barrier Options under Stochastic Volatility Models," Annals of Operations Research, 266(1-2), 129-157  (Collaboration)  2018/07 Link
5. Papers Funahashi H and Kijima M (2017), "A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility," Fractal and Fractional, 1(1), 1-17  (Collaboration)  2017/12 Link
All display(15)
■ Belonging society
1. 2019/10~ Japanese Association of Financial Econometrics and Engineering
■ Research topic, funded research, and department laboratory expense
1. 2020/09~2022/03  Artifical neural network for option pricing  (Key Word : Artifical neural network, deep learning, derivatives, chaos expansion, Monte Carlo simulation)
■ Present specialized field
Finance, Financial engineering, Mathematical Finance