Takashi Adachi

    Preprints

    1. On dynamic programming equations for utility indifference pricing under transaction costs.
      (2010). Preprint.


    Publications

    1. On dynamic programming equations for utility indifference pricing under delta constraints.
      J. Math. Anal. Appl., Vol 380, (2011), 264-288.


    2. Hedging costs for two large investors.
      Stochastics: An International Journal of Probability and Stochastic Processes, Vol 83, (2011), 153-178.


    3. Optimal consumption of the finite time horizon Ramsey problem, (with H. Morimoto).
      J. Math. Anal. Appl., Vol. 358, (2009),28-46.


    4. Super-replication cost for a single large investor.
      Kyoto Univ., RIMS Koukyuroku 1557. (2007), 107-117.


    5. Option on a unit-type closed-end investment fund.
      Adv.Math.Econ., Vol. 9, (2006), 1-23.


    6. The value of the perpetual American call on the time-average of the stock.
      IIS., Vol. 9, No.2, (2003), 243-257.       Dissertation


    7. Power laws, weak l p estimate and wavelet de-noising,
      (with T. Matsuoka, T. Ueno and M. Okada). Fractals, Vol. 8, No. 1, (2000), 73-83.


    8. On consumption/investment problem with long-term time-average utilities,
      (with H. Morimoto). Stoch. Stoch. Rep., Vol. 68, (2000), 255-271.       Dissertation


    9. On a new type European contingent claim derived from stochastic control,
      (in Japanese). MTEC J. 12th issue, (1999), 41-57.       Dissertation