An asymptotic expansion approach to pricing financial contingent claims. Zbl 1153.91568
Takahashi, Akihiko |
|
1999
|
Portfolio optimization with a defaultable security. Zbl 1283.91163
Bielecki, Tomasz R.; Jang, Inwon |
|
2006
|
A note on option pricing for the constant elasticity of variance model. Zbl 1072.91020
Delbaen, Freddy; Shirakawa, Hiroshi |
|
2002
|
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. Zbl 1422.91694
Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki |
|
2019
|
No arbitrage condition for positive diffusion price processes. Zbl 1074.91014
Delbaen, Freddy; Shirakawa, Hiroshi |
|
2002
|
An interest rate model with upper and lower bounds. Zbl 1071.91020
Delbaen, Freddy; Shirakawa, Hiroshi |
|
2002
|
Monte Carlo option pricing for tempered stable (CGMY) processes. Zbl 1283.91196
Poirot, Jérémy; Tankov, Peter |
|
2006
|
Subordinated market index models: A comparison. Zbl 1153.91788
Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T. |
|
1997
|
Geometric Lévy process & MEMM pricing model and related estimation problems. Zbl 1070.91012
Miyahara, Yoshio |
|
2001
|
Minimal entropy martingale measures of jump type price processes in incomplete assets markets. Zbl 1153.91549
Miyahara, Yoshio |
|
1999
|
Squared Bessel processes and their applications to the square root interest rate model. Zbl 1034.60074
Shirakawa, Hiroshi |
|
2002
|
Portfolio optimization under lower partial risk measures. Zbl 1056.91032
Konno, Hiroshi; Waki, Hayato; Yuuki, Atsushi |
|
2002
|
Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon. Zbl 1163.91414
Madan, Dilip B.; Roynette, Bernard; Yor, Marc |
|
2008
|
Diversified portfolios with jumps in a benchmark framework. Zbl 1075.91022
Platen, Eckhard |
|
2004
|
An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates. Zbl 1151.91545
Takahashi, Akihiko; Takehara, Kohta |
|
2007
|
Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. |
|
1998
|
Pricing options under stochastic interest rates: a new approach. Zbl 1157.91363
Kim, Yong-Jin; Kunitomo, Naoto |
|
1999
|
Analysis of the nonlinear option pricing model under variable transaction costs. Zbl 1418.91538
Ševčovič, Daniel; Žitňanská, Magdaléna |
|
2016
|
Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model. Zbl 1131.91354
Le Courtois, Olivier; Quittard-Pinon, François |
|
2006
|
Financial modeling in a fast mean-reverting stochastic volatility environment. Zbl 1157.91358
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie |
|
1999
|
Portfolio optimization in discontinuous markets under incomplete information. Zbl 1124.93068
Callegaro, Giorgia; Di Masi, Giovanni B.; Runggaldier, Wolfgang J. |
|
2006
|
A new computational scheme for computing Greeks by the asymptotic expansion approach. Zbl 1154.91512
Matsuoka, Ryosuke; Takahashi, Akihiko; Uchida, Yoshihiko |
|
2004
|
Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity. Zbl 1187.91222
Leung, Kwai Sun; Kwok, Yue Kuen |
|
2009
|
Pricing discrete barrier options under stochastic volatility. Zbl 1282.91347
Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro |
|
2012
|
Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility. Zbl 1195.91163
Meng, Li; Wang, Mei |
|
2010
|
Cusum techniques for technical trading in financial markets. Zbl 1153.91794
Lam, Kin; Yam, H. C. |
|
1997
|
Classes of interest rate models under the HJM framework. Zbl 1089.91018
Chiarella, Carl; Kwon, Oh Kang |
|
2001
|
Option pricing under stochastic interest rates: an empirical investigation. Zbl 1059.91044
Kim, Yong-Jin |
|
2002
|
Exotic passport options. Zbl 1153.91553
Penaud, Antony; Wilmott, Paul; Ahn, Hyungsok |
|
1999
|
Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs. Zbl 1195.91157
Ishimura, Naoyuki |
|
2010
|
The credit risk and pricing of OTC options. Zbl 1151.91525
Liang, Gechun; Ren, Xuemin |
|
2007
|
Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market. Zbl 1368.91167
Yu, Jun |
|
2014
|
Perturbative expansion technique for non-linear FBSDEs with interacting particle method. Zbl 1368.65009
Fujii, Masaaki; Takahashi, Akihiko |
|
2015
|
Pricing mortgage-backed securities (MBS). Zbl 1153.91425
Kariya, Takeaki; Kobayashi, Masaaki |
|
2000
|
A complete Markovian stochastic volatility model in the HJM framework. Zbl 1153.91474
Chiarella, Carl; Kwon, Oh Kang |
|
2000
|
Properties of multinomial lattices with cumulants for option pricing and hedging. Zbl 1154.91488
Yamada, Yuji; Primbs, James A. |
|
2004
|
A class of jump-diffusion bond pricing models within the HJM framework. Zbl 1137.91438
Chiarella, Carl; Sklibosios, Christina Nikitopoulos |
|
2003
|
Valuation of portfolio credit derivatives with default intensities using the Vasicek model. Zbl 1208.91147
Liang, Jin; Ma, Jun Mei; Wang, Tao; Ji, Qin |
|
2011
|
On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs. Zbl 1283.91176
Imai, Hitoshi; Ishimura, Naoyuki; Mottate, Ikumi; Nakamura, Masaaki |
|
2006
|
Edokko options: a new framework of barrier options. Zbl 1056.91030
Fujita, Takahiko; Miura, Ryozo |
|
2002
|
A fair pricing approach to weather derivatives. Zbl 1075.91024
Platen, Eckhard; West, Jason |
|
2004
|
Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182
Ignatieva, Katja; Platen, Eckhard |
|
2010
|
The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model. Zbl 1245.91092
Momeya, Romuald Hervé; Salah, Zied Ben |
|
2012
|
Lévy processes driven by stochastic volatility. Zbl 1283.91188
Chourdakis, Kyriakos |
|
2005
|
Speculative futures trading under mean reversion. Zbl 1418.91521
Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng |
|
2016
|
Valuation of mortgage-backed securities based upon a structural approach. Zbl 1089.91038
Nakamura, Nobuhiro |
|
2001
|
A two-factor model for low interest rate regimes. Zbl 1075.91021
Miller, Shane; Platen, Eckhard |
|
2004
|
Risk measures for derivatives with Markov-modulated pure jump processes. Zbl 1283.91173
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen |
|
2006
|
Failure discrimination and rating of enterprises by semi-definite programming. Zbl 1157.91364
Konno, Hiroshi; Kobayashi, Hisanori |
|
2000
|
A remark on a singular perturbation method for option pricing under a stochastic volatility model. Zbl 1177.91133
Yamamoto, Kyo; Takahashi, Akihiko |
|
2009
|
Modeling of contagious credit events and risk analysis of credit portfolios. Zbl 1243.91102
Yamanaka, Suguru; Sugihara, Masaaki; Nakagawa, Hidetoshi |
|
2012
|
A benchmark approach to portfolio optimization under partial information. Zbl 1151.91451
Platen, Eckhard; Runggaldier, Wolfgang J. |
|
2007
|
Large deviations for the extended Heston model: the large-time case. Zbl 1418.91395
Jacquier, Antoine; Mijatović, Aleksandar |
|
2014
|
On the price of risk under a regime switching CGMY process. Zbl 1418.91499
Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, Olivier |
|
2016
|
Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom. Zbl 1054.91543
Nowman, K. Ben |
|
2001
|
A benchmark approach to filtering in finance. Zbl 1075.91023
Platen, Eckhard; Runggaldier, Wolfgang J. |
|
2004
|
Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170
Elliott, Robert J.; Siu, Tak Kuen |
|
2015
|
An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko |
|
2015
|
Optimal investment and consumption with default risk: HARA utility. Zbl 1273.91417
Bo, Lijun; Li, Xindan; Wang, Yongjin; Yang, Xuewei |
|
2013
|
A stochastic correlation model with mean reversion for pricing multi-asset options. Zbl 1170.91390
Ma, Jun |
|
2009
|
On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk. Zbl 1278.91140
Honda, Toshiki; Kamimura, Shoji |
|
2011
|
“Down-side risk” probability minimization problem with Cox-Ingersoll-Ross’s interest rates. Zbl 1208.91134
Hata, Hiroaki |
|
2011
|
Volatility persistence and switching ARCH in Japanese stock returns. Zbl 1153.91757
Fong, Wai Mun |
|
1997
|
From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes. Zbl 1154.91442
Fujiwara, Tsukasa |
|
2004
|
Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview. Zbl 1134.91430
Jimenez, J. C.; Biscay, R. J.; Ozaki, T. |
|
2005
|
A discrete Itō calculus approach to He’s framework for multi-factor discrete markets. Zbl 1161.91381
Akahori, Jirô |
|
2005
|
Optimal policies of call with notice period requirement. Zbl 1283.91172
Dai, Min; Kwok, Yue Kuen |
|
2005
|
Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems. Zbl 1283.91183
Stojanovic, Srdjan D. |
|
2006
|
A stochastic receding horizon control approach to constrained index tracking. Zbl 1151.91534
Primbs, James A.; Sung, Chang Hwan |
|
2008
|
A prepayment model for the Japanese mortgage loan market: Prepayment-type-specific parametric model approach. Zbl 1059.91031
Sugimura, Toru |
|
2002
|
Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019
Heath, David; Platen, Eckhard |
|
2004
|
Expected log-utility maximization under incomplete information and with Cox-process observations. Zbl 1305.91217
Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J. |
|
2014
|
Asymptotic expansion formula of option price under multifactor Heston model. Zbl 1368.91174
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi |
|
2014
|
Risk-sensitive asset management with lognormal interest rates. Zbl 1467.91161
Hata, Hiroaki |
|
2021
|
Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes. Zbl 1180.60061
Fujisaki, Masatoshi; Zhang, Dewei |
|
2009
|
Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion. Zbl 1282.91331
Imamura, Yuri; Takagi, Katsuya |
|
2013
|
Environmental economics and modeling marketable permits. Zbl 1200.91247
Taschini, Takaki Luca |
|
2010
|
The regime switching portfolios. Zbl 1278.91144
Ishijima, Hiroshi; Uchida, Masaki |
|
2011
|
A complete-market generalization of the Black-Scholes model. Zbl 1154.91481
Takaoka, Koichiro |
|
2004
|
Exact solutions of a model for asset prices by K. Takaoka. Zbl 1154.91450
Ishimura, Naoyuki; Sakaguchi, Toshi-hiko |
|
2004
|
Intraday empirical analysis and modeling of diversified world stock indices. Zbl 1154.91399
Breymann, Wolfgang; Kelly, Leah; Platen, Eckhard |
|
2005
|
A new control variate estimator for an Asian option. Zbl 1189.91208
Kamizono, Kenji; Kariya, Takeaki; Liu, Regina Y.; Nakatsuma, Teruo |
|
2004
|
On Bayesian value at risk: from linear to non-linear portfolios. Zbl 1188.91206
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang |
|
2004
|
Effectiveness of stochastic neural network for prediction of fall or rise of TOPIX. Zbl 1086.68568
Kamitsuji, Shigeo; Shibata, Ritei |
|
2003
|
A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan. Zbl 1125.91359
Nowman, K. Ben |
|
2003
|
On valuing participating life insurance contracts with conditional heteroscedasticity. Zbl 1136.91488
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang |
|
2007
|
Optimal hedging of prediction errors using prediction errors. Zbl 1151.91582
Yamada, Yuji |
|
2008
|
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. Zbl 1418.91542
Takahashi, Akihiko; Yamada, Toshihiro |
|
2016
|
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps. Zbl 1418.91474
Hata, Hiroaki; Sekine, Jun |
|
2017
|
The relations between minimal martingale measure and minimal entropy martingale measure. Zbl 1062.91028
Arai, Takuji |
|
2001
|
Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis. Zbl 1054.91546
Sim, Ah-Boon; Zurbruegg, Ralf |
|
2001
|
Long-term memory and applying the multi-factor ARFIMA models in financial markets. Zbl 1059.91077
Tsuji, Chikashi |
|
2002
|
A discrete-time Clark-Ocone formula for Poisson functionals. Zbl 1321.60120
Amaba, Takafumi |
|
2014
|
Structural pricing of CoCos and deposit insurance with regime switching and jumps. Zbl 1467.91200
Le Courtois, Olivier; Su, Xiaoshan |
|
2020
|
Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis. Zbl 1282.91387
Kariya, Takeaki; Wang, Jingsui; Wang, Zhu; Doi, Eiichi; Yamamura, Yoshiro |
|
2012
|
A time series analysis of economical phenomena in Japan’s lost decade (1): determinacy property of the velocity of money and equilibrium solution. Zbl 1282.91269
Nakano, Yuji; Okabe, Yasunori |
|
2012
|
Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model. Zbl 1282.91358
Dong, Yinghui; Liang, Xue; Wang, Guojing |
|
2012
|
Performance regularity: a new class of executive compensation packages. Zbl 1282.91319
Bernard, Carole; Le Courtois, Olivier |
|
2012
|
Forecasting intraday volatility and value-at-risk with high-frequency data. Zbl 1282.91389
So, Mike K. P.; Xu, Rui |
|
2013
|
Price discovery in Chinese stock index futures market: new evidence based on intraday data. Zbl 1282.91385
Hou, Yang; Li, Steven |
|
2013
|
The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices: evidence based on DCC-GARCH model. Zbl 1521.91350
Shaik, Muneer; Rehman, Mohd Ziaur |
|
2023
|
Does ESG certification improve price efficiency in the Chinese stock market? Zbl 1497.91303
Wu, Chunying; Xiong, Xiong; Gao, Ya |
|
2022
|
Optimal pair-trade execution with generalized cross-impact. Zbl 1497.91300
Ohnishi, Masamitsu; Shimoshimizu, Makoto |
|
2022
|
Risk-sensitive asset management with lognormal interest rates. Zbl 1467.91161
Hata, Hiroaki |
|
2021
|
Financial network connectedness and systemic risk during the COVID-19 pandemic. Zbl 1495.91128
So, Mike K. P.; Chan, Lupe S. H.; Chu, Amanda M. Y. |
|
2021
|
The relationship between China’s real estate market and industrial metals futures market: evidence from non-price measures of the real estate market. Zbl 1495.91108
Chen, Xiangyu; Tongurai, Jittima |
|
2021
|
Directional spillover effects between BRICS stock markets and economic policy uncertainty. Zbl 1495.91115
Hung, Ngo Thai |
|
2021
|
Structural pricing of CoCos and deposit insurance with regime switching and jumps. Zbl 1467.91200
Le Courtois, Olivier; Su, Xiaoshan |
|
2020
|
Commodity spot and futures prices under supply, demand, and financial trading: single input-output model. Zbl 1437.91434
Nakajima, Katsushi |
|
2020
|
The profitability in the FTSE 100 index: a new Markov chain approach. Zbl 1437.91420
Riedlinger, Flavio Ivo; Nicolau, João |
|
2020
|
Volatility flocking by Cucker-Smale mechanism in financial markets. Zbl 1451.91181
Bae, Hyeong-Ohk; Ha, Seung-Yeal; Kim, Yongsik; Lim, Hyuncheul; Yoo, Jane |
|
2020
|
Speed of price adjustment in Indian stock market: a paradox. Zbl 1467.91173
Kayal, Parthajit; Mondal, Sayanti |
|
2020
|
Capturing the order imbalance with hidden Markov model: a case of SET50 and KOSPI50. Zbl 1437.91422
Wu, Polin; Siwasarit, Wasin |
|
2020
|
Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study. Zbl 1437.91421
Takaishi, Tetsuya; Adachi, Takanori |
|
2020
|
Stock performance evaluation incorporating high moments and disaster risk: evidence from Japan. Zbl 1454.91249
Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio |
|
2020
|
Inner rate of risk aversion (IRRA) and its applications to investment selection. Zbl 1454.91230
Miyahara, Yoshio |
|
2020
|
Direct estimation of lead-lag relationships using multinomial dynamic time warping. Zbl 1454.91251
Ito, Katsuya; Sakemoto, Ryuta |
|
2020
|
Market participation willingness and investor’s herding behavior: evidence from an emerging market. Zbl 1454.91270
Xiong, Xiong; Wang, Chen; Shen, Dehua |
|
2020
|
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. Zbl 1422.91694
Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki |
|
2019
|
Term structure models during the global financial crisis: a parsimonious text mining approach. Zbl 1422.91738
Nishimura, Kiyohiko G.; Sato, Seisho; Takahashi, Akihiko |
|
2019
|
Hyperbolic symmetrization of Heston type diffusion. Zbl 1422.91702
Ida, Yuuki; Kinoshita, Tsuyoshi |
|
2019
|
A numerical scheme for expectations with first hitting time to smooth boundary. Zbl 1425.91428
Hishida, Yuji; Ishigaki, Yuta; Okumura, Toshiki |
|
2019
|
Spatial-temporal modelling of temperature for pricing temperature index insurance. Zbl 1410.91287
Taib, Che Mohd Imran Che; Darus, Mukminah |
|
2019
|
Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market. Zbl 1414.91383
Matsumoto, Takuji; Yamada, Yuji |
|
2019
|
Large shareholding and firm value in the alternative investment market (AIM). Zbl 1414.91405
Mortazian, Mona; Tabaghdehi, Seyedeh Asieh H.; Mase, Bryan |
|
2019
|
Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints. Zbl 1418.91493
Yamada, Yuji; Primbs, James A. |
|
2018
|
The dynamic and dependence of takaful and conventional stock return behaviours: evidence from the insurance industry in Saudi Arabia. Zbl 1409.62207
Benlagha, Noureddine; Hemrit, Wael |
|
2018
|
On the effect of Bank of Japan’s outright purchase on the JGB yield curve. Zbl 1418.91557
Nakano, Masafumi; Takahashi, Akihiko; Takahashi, Soichiro; Tokioka, Takami |
|
2018
|
Some further results on the tempered multistable approach. Zbl 1418.91611
Le Courtois, Olivier |
|
2018
|
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps. Zbl 1418.91474
Hata, Hiroaki; Sekine, Jun |
|
2017
|
Effects of jumps and small noise in high-frequency financial econometrics. Zbl 1418.91610
Kunitomo, Naoto; Kurisu, Daisuke |
|
2017
|
An algorithmic approach to optimal asset liquidation problems. Zbl 1418.91476
Hinz, Juri; Yee, Jeremy |
|
2017
|
Pricing CIR yield options by conditional moment matching. Zbl 1418.91534
Prayoga, Adrian; Privault, Nicolas |
|
2017
|
Analysis of dynamic correlation of Japanese stock returns with network clustering. Zbl 1418.91478
Isogai, Takashi |
|
2017
|
Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function. Zbl 1418.91508
do Rosário Grossinho, Maria; Kord Faghan, Yaser; Ševčovič, Daniel |
|
2017
|
Analysis of the nonlinear option pricing model under variable transaction costs. Zbl 1418.91538
Ševčovič, Daniel; Žitňanská, Magdaléna |
|
2016
|
Speculative futures trading under mean reversion. Zbl 1418.91521
Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng |
|
2016
|
On the price of risk under a regime switching CGMY process. Zbl 1418.91499
Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, Olivier |
|
2016
|
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. Zbl 1418.91542
Takahashi, Akihiko; Yamada, Toshihiro |
|
2016
|
Perturbative expansion technique for non-linear FBSDEs with interacting particle method. Zbl 1368.65009
Fujii, Masaaki; Takahashi, Akihiko |
|
2015
|
Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170
Elliott, Robert J.; Siu, Tak Kuen |
|
2015
|
An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko |
|
2015
|
Option pricing for symmetric Lévy returns with applications. Zbl 1368.91171
Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, Ying-Oon |
|
2015
|
Analytical solutions for expected loss and standard deviation of loss with an additional loan. Zbl 1368.91180
Yamashita, Satoshi; Yoshiba, Toshinao |
|
2015
|
Dynamic investment strategy with factor models under regime switches. Zbl 1368.91166
Komatsu, Takahiro; Makimoto, Naoki |
|
2015
|
Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market. Zbl 1368.91167
Yu, Jun |
|
2014
|
Large deviations for the extended Heston model: the large-time case. Zbl 1418.91395
Jacquier, Antoine; Mijatović, Aleksandar |
|
2014
|
Expected log-utility maximization under incomplete information and with Cox-process observations. Zbl 1305.91217
Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J. |
|
2014
|
Asymptotic expansion formula of option price under multifactor Heston model. Zbl 1368.91174
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi |
|
2014
|
A discrete-time Clark-Ocone formula for Poisson functionals. Zbl 1321.60120
Amaba, Takafumi |
|
2014
|
Randomised mixture models for pricing kernels. Zbl 1368.91176
Macrina, Andrea; Parbhoo, Priyanka A. |
|
2014
|
Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution. Zbl 1418.91490
Surya, Budhi Arta; Kurniawan, Ryan |
|
2014
|
Application of homotopy analysis method to option pricing under Lévy processes. Zbl 1307.91180
Sakuma, Takayuki; Yamada, Yuji |
|
2014
|
Optimal investment and consumption with default risk: HARA utility. Zbl 1273.91417
Bo, Lijun; Li, Xindan; Wang, Yongjin; Yang, Xuewei |
|
2013
|
Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion. Zbl 1282.91331
Imamura, Yuri; Takagi, Katsuya |
|
2013
|
Forecasting intraday volatility and value-at-risk with high-frequency data. Zbl 1282.91389
So, Mike K. P.; Xu, Rui |
|
2013
|
Price discovery in Chinese stock index futures market: new evidence based on intraday data. Zbl 1282.91385
Hou, Yang; Li, Steven |
|
2013
|
Pricing exotic options and American options: a multidimensional asymptotic expansion approach. Zbl 1283.91195
Nishiba, Masahiro |
|
2013
|
Pricing discrete barrier options under stochastic volatility. Zbl 1282.91347
Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro |
|
2012
|
The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model. Zbl 1245.91092
Momeya, Romuald Hervé; Salah, Zied Ben |
|
2012
|
Modeling of contagious credit events and risk analysis of credit portfolios. Zbl 1243.91102
Yamanaka, Suguru; Sugihara, Masaaki; Nakagawa, Hidetoshi |
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2012
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Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis. Zbl 1282.91387
Kariya, Takeaki; Wang, Jingsui; Wang, Zhu; Doi, Eiichi; Yamamura, Yoshiro |
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2012
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A time series analysis of economical phenomena in Japan’s lost decade (1): determinacy property of the velocity of money and equilibrium solution. Zbl 1282.91269
Nakano, Yuji; Okabe, Yasunori |
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2012
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Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model. Zbl 1282.91358
Dong, Yinghui; Liang, Xue; Wang, Guojing |
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2012
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Performance regularity: a new class of executive compensation packages. Zbl 1282.91319
Bernard, Carole; Le Courtois, Olivier |
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2012
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Approximation of asymmetric multivariate return distributions. Zbl 1283.62023
Chu, Ba |
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2012
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Properties of optimal smooth functions in additive models for hedging multivariate derivatives. Zbl 1242.91199
Yamada, Yuji |
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2012
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Valuation of portfolio credit derivatives with default intensities using the Vasicek model. Zbl 1208.91147
Liang, Jin; Ma, Jun Mei; Wang, Tao; Ji, Qin |
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2011
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On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk. Zbl 1278.91140
Honda, Toshiki; Kamimura, Shoji |
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2011
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“Down-side risk” probability minimization problem with Cox-Ingersoll-Ross’s interest rates. Zbl 1208.91134
Hata, Hiroaki |
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2011
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The regime switching portfolios. Zbl 1278.91144
Ishijima, Hiroshi; Uchida, Masaki |
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2011
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Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities. Zbl 1275.91123
Kashiwabara, Akira; Nakamura, Nobuhiro |
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2011
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Constant rebalanced portfolio optimization under nonlinear transaction costs. Zbl 1278.91152
Takano, Yuichi; Gotoh, Jun-ya |
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2011
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Empirical study of Nikkei 225 options with the Markov switching GARCH model. Zbl 1208.91164
Satoyoshi, Kiyotaka; Mitsui, Hidetoshi |
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2011
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Dynamic relationship among intraday realized volatility, volume and number of trades. Zbl 1274.91487
Hatrick, Kerr; So, Mike K. P.; Chung, S. W.; Deng, R. |
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2011
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Log mean-variance portfolio selection under regime switching. Zbl 1278.91145
Ishijima, Hiroshi; Uchida, Masaki |
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2011
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A note on utility maximization with unbounded random endowment. Zbl 1211.91227
Owari, Keita |
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2011
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Detection of information flow in major international financial markets by interactivity network analysis. Zbl 1274.91484
Allali, Abdelwahab; Oueslati, Amor; Trabelsi, Abdelwahed |
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2011
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Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads. Zbl 1239.91177
Muroi, Yoshifumi; Takino, E. Kazuhiro |
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2011
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Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility. Zbl 1195.91163
Meng, Li; Wang, Mei |
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2010
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Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs. Zbl 1195.91157
Ishimura, Naoyuki |
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2010
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Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182
Ignatieva, Katja; Platen, Eckhard |
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2010
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Environmental economics and modeling marketable permits. Zbl 1200.91247
Taschini, Takaki Luca |
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2010
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Coefficients of asymptotic expansions of SDE with jumps. Zbl 1201.91196
Hayashi, Masafumi |
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2010
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Assessments of ‘greenhouse insurance’: a methodological review. Zbl 1200.91238
Kosugi, Takaki Takanobu |
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2010
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The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model. Zbl 1201.91239
Takaoka, Takaki Koichiro; Futami, Hidenori |
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2010
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Utility indifference hedging with exponential additive processes. Zbl 1195.91165
Rheinländer, Thorsten; Steiger, Gallus |
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2010
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Comparing firm failure predictions between Logit, KMV, and ZPP models: Evidence from Taiwan’s electronics industry. Zbl 1195.91183
Su, En-Der; Huang, Shih-Ming |
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2010
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Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity. Zbl 1187.91222
Leung, Kwai Sun; Kwok, Yue Kuen |
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2009
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A remark on a singular perturbation method for option pricing under a stochastic volatility model. Zbl 1177.91133
Yamamoto, Kyo; Takahashi, Akihiko |
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2009
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A stochastic correlation model with mean reversion for pricing multi-asset options. Zbl 1170.91390
Ma, Jun |
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2009
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Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes. Zbl 1180.60061
Fujisaki, Masatoshi; Zhang, Dewei |
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2009
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Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate. Zbl 1177.91135
Futami, Hidenori |
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2009
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The minimal entropy martingale measures for exponential additive processes. Zbl 1181.60068
Fujiwara, Tsukasa |
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2009
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Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets. Zbl 1188.91238
So, Mike K. P.; Tse, Alex S. L. |
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2009
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Alternative defaultable term structure models. Zbl 1170.91488
Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard; Schlögl, Erik |
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2009
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Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon. Zbl 1163.91414
Madan, Dilip B.; Roynette, Bernard; Yor, Marc |
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2008
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A stochastic receding horizon control approach to constrained index tracking. Zbl 1151.91534
Primbs, James A.; Sung, Chang Hwan |
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2008
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Optimal hedging of prediction errors using prediction errors. Zbl 1151.91582
Yamada, Yuji |
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2008
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An explicit finite difference approach to the pricing problems of perpetual Bermudan options. Zbl 1170.91344
Muroi, Yoshifumi; Yamada, Takashi |
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2008
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