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.