MMDS大阪大学 数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

ディスカッション・ペーパー

MMDSの教員が行っている金融・保険に関する最新の研究成果をディスカッション・ペーパーとして公開しております。

2012

2012-02
Volatility Forecast Comparison with Biased Proxy Author:Shuichi Nagata and Kosuke Oya
Date:2012.10.03
PDF download(103.68KB)
2012-01
Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Levy Models Author:Kazutoshi Yamazaki
Date:2012.09.10
PDF download(1.95MB)

2011

2011-06
Testing for the Effects of Omitted Power Transformation Author:Jin Seo Cho and Isao Ishida
Date:2012.02.11
PDF download(212.47KB)
2011-05
Model-Free Implied Volatility: From Surface to Index (revised version of 2010-03) Author:M. Fukasawa, I. Ishida, N. Maghrebi, K. Oya, M. Ubukata and K. Yamazaki
Date:2012.01.19
PDF download(387.69KB)
2011-04
Toward a Generalization of the Leland-Toft Optimal Capital Structure Model Author:Budhi Arta Surya and Kazutoshi Yamazaki
Date:2011.11.21
PDF download(375.99KB)
2011-03
On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Levy Models Author:Masahiko Egami and Kazutoshi Yamazaki
Date:2011.11.01
PDF download(317.19KB)
2011-02
Asymptotic Theory of Sequential Change Detection and Identification Author:Savas Dayanik, Warren B. Powell and Kazutoshi Yamazaki
Date:2011.09.15
PDF download(634.30KB)
2011-01
Default Swap Games Driven by Spectrally Negative Levy Processes Author:Masahiko Egami, Tim S.T. Leung and Kazutoshi Yamazaki
Date:2011.05.19
PDF download(604.27KB)

2010

2010-06
Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX Author:Isao Ishida, Michael McAleer and Kosuke Oya
Date:2011.02.03
PDF download(152.07KB)
2010-05
American Step-Up and Step-Down Credit Default Swaps under Lévy Models Author:Tim S.T. Leung and Kazutoshi Yamazaki
Date:2010.12.27
PDF download(431.68KB)
2010-04
Solving Optimal Dividend Problems via Phase-Type Fitting Approximation of Scale Functions Author:Masahiko Egami and Kazutoshi Yamazaki
Date:2010.11.22
PDF download(935.75KB)
2010-03
Model-Free Implied Volatility: From Surface to Index Author:M. Fukasawa, I. Ishida, N. Maghrebi, K. Oya, M. Ubukata and K. Yamazaki
Date:2010.10.06
PDF download(383.46KB)
2010-02
On Scale Functions of Spectrally Negative Lévy Processes with Phase-type Jumps Author:Masahiko Egami and Kazutoshi Yamazaki
Date:2010.05.07
PDF download(387.40KB)
2010-01
Precautionary Measures for Credit Risk Management in Jump Models Author:Masahiko Egami and Kazutoshi Yamazaki
Date:2010.04.05
PDF download(515.33KB)

2009

2009-05
The Nikkei 225 implied volatility index: Evidence on stochastic properties and model-free inferences Author:Kazuhiko Nishina, Nabil Maghrebi and Moo Sung Kim
Date:2010.03.31
PDF download(587.92KB)
2009-04
Asymptotically Efficient Discrete Hedging Author:Masaaki Fukasawa
Date:2009.12.09
PDF download(132.35KB)
2009-03
離散ヘッジ戦略の漸近有効性 Author:深澤 正彰
Date:2009.12.09
PDF download(150.81KB)
2009-02
信用リスク管理のためのアラームシステム構築 Author:江上雅彦、山崎和俊
Date:2009.11.27
PDF download(618.01KB)
2009-01
Asymptotic Analysis for Stochastic Volatility: Edgeworth expansion Author:Masaaki Fukasawa
Date:2009.07.26
PDF download(219.84KB)

2008

2008-06
Realized volatility with stochastic sampling Author:Masaaki Fukasawa
Date:2008.09.24
PDF download(185.90KB)
2008-05
The effects of a debt financing constraint in a real options model Author:Michi Nishihara and Takashi Shibata
Date:2008.09.08
PDF download(176.63KB)
2008-04
Strategic investment with debt financing Author:Michi Nishihara and Takashi Shibata
Date:2008.02.08
PDF download(162.41KB)
2008-03
Realized volatility based on tick time sampling Author:Masaaki Fukasawa
Date:2008.01.31
PDF download(131.77KB)
2008-02
Optimal importance sampling parameter search for Lévy processes via stochastic approximation Author:Reiichiro Kawai
Date:2008.01.31
PDF download(343.72KB)
2008-01
高速平均回帰型確率ボラティリティ・モデルにおけるダブルバリア・オプションの評価について Author:室井芳史
Date:2008.01.31
PDF download(185.11KB)

これらのディスカッション・ペーパーは未完成の準備的草稿です。著者へのコメントを歓迎します。
These papers are rough drafts. Comments to the authors will be welcome.