■ Book and Papers
1.

Papers

Funahashi H (2021), "Artficial Neural Network for Option Pricing with and without Asymptotic Correction," Quantitative Finance, 21(4), 575592
(Single)
2021/04

2.

Papers

Funahashi H (2021), "Replication Scheme for the pricing of European Options," International Journal of Theoretical and Applied Finance, forthcoming.
(Single)
2021

3.

Papers

Funahashi H (2020), "An Approximate Swaption Formula in HeathJarrowMorton Models," Journal of Derivatives, 27(4), 3050
(Single)
2020/08

4.

Papers

Funahashi H and Higuchi T(2018), "An Analytical Approximation for Single Barrier Options under Stochastic Volatility Models," Annals of Operations Research, 266(12), 129157
(Collaboration)
2018/07

5.

Papers

Funahashi H and Kijima M (2017), "A Solution to the TimeScale Fractional Puzzle in the Implied Volatility," Fractal and Fractional, 1(1), 117
(Collaboration)
2017/12

6.

Papers

Chen K C, Funahashi H , and Warmerdam N (2017), "Evaluating Conditions and Terms of the AT&T and DirecTV Merger," Research in Finance, 33, 117
(Collaboration)
2017/10

7.

Papers

Funahashi H and Kijima M (2017), "A Unified Approach for the Pricing of Generalized Asian Options," Review of Derivatives Research, 20(3), 203229
(Collaboration)
2017/10

8.

Papers

Funahashi H (2017), "Pricing Derivatives with Fractional Volatility," International Journal of Financial Engineering, 4(1), 1750014
(Single)
2017/03

9.

Papers

Funahashi H and Kijima M (2017), "Does the Hurst Index Matter for Option Prices under Fractional Volatility?" Annals of Finance, 13(1), 5574
(Collaboration)
2017/02

10.

Papers

Funahashi H and Kijima M (2017), "An Analytical Approximation for the Pricing of VWAP Options," Quantitative Finance, 17(7), 11191133
(Collaboration)
2017

11.

Papers

Funahashi H and Kijima M (2016), "Analytical Pricing of Barrier Options under Local Volatility Models," Quantitative Finance, 16(6), 867886
(Collaboration)
2016

12.

Papers

Funahashi H (2015), "An Analytical Approximation of European Option Prices under Stochastic Interest Rate," International Journal of Theoretical and Applied Finance, 18(4), 143
(Single)
2015/06

13.

Papers

Funahashi H and Kijima M (2015), "A Chaos Expansion Approach for the Pricing of Contingent Claims," Journal of Computational Finance, 18(3), 2753
(Collaboration)
2015/03

14.

Papers

Funahashi H (2014), "A Chaos Expansion Approximation under Hybrid Volatility Models," Quantitative Finance, 14(11), 19231936
(Single)
2014/11

15.

Papers

Funahashi H and Kijima M (2014), "An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options," Applied Mathematical Finance, 21(2), 109139
(Collaboration)
2014/05

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