CSFI Discussion Papers

2012-02

Volatility Forecast Comparison with Biased Proxy
Author: Shuichi Nagata and Kosuke Oya
Date: 2012.10.03

2012-01

Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Levy Models
Author: Kazutoshi Yamazaki
Date: 2012.09.10

2011-06

Testing for the Effects of Omitted Power Transformation
Author: Jin Seo Cho and Isao Ishida
Date: 2012.02.11

2011-05

Model-Free Implied Volatility: From Surface to Index
Author: M. Fukasawa, I. Ishida, N. Maghrebi, K. Oya, M. Ubukata and K. Yamazaki
Date: 2012.01.19

2011-04

Toward a Generalization of the Leland-Toft Optimal Capital Structure Model
Author: Budhi Arta Surya and Kazutoshi Yamazaki
Date: 2011.11.21

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

2011-02

Asymptotic Theory of Sequential Change Detection and Identification
Author: Savas Dayanik, Warren B. Powell and Kazutoshi Yamazaki
Date: 2011.09.15

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

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

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

2010-04

Solving Optimal Dividend Problems via Phase-Type Fitting Approximation of Scale Functions
Author: Masahiko Egami and Kazutoshi Yamazaki
Date: 2010.11.22

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

2010-02

On Scale Functions of Spectrally Negative Lévy Processes with Phase-type Jumps
Author: Masahiko Egami and Kazutoshi Yamazaki
Date: 2010.05.07

2010-01

Precautionary Measures for Credit Risk Management in Jump Models
Author: Masahiko Egami and Kazutoshi Yamazaki
Date: 2010.04.05

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

2009-04

Asymptotically Efficient Discrete Hedging
Author: Masaaki Fukasawa
Date: 2009.12.09

2009-03

Asymptotic Efficiency for Discrete Hedging Strategies (in Japanese)
Author: Masaaki Fukasawa
Date: 2009.12.09

2009-02

Alarm systems for credit risk management (in Japanese)
Author: Masahiko Egami and Kazutoshi Yamazaki
Date: 2009.11.27

2009-01

Asymptotic Analysis for Stochastic Volatility: Edgeworth expansion
Author: Masaaki Fukasawa
Date: 2009.07.26

2008-06

Realized volatility with stochastic sampling
Author: Masaaki Fukasawa
Date: 2008.09.24

2008-05

The effects of a debt financing constraint in a real options model
Author: Michi Nishihara and Takashi Shibata
Date: 2008.09.08

2008-04

Strategic investment with debt financing
Author: Michi Nishihara and Takashi Shibata
Date: 2008.02.08

2008-03

Realized volatility based on tick time sampling
Author: Masaaki Fukasawa
Date: 2008.01.31

2008-02

Optimal importance sampling parameter search for Lévy processes via stochastic approximation
Author: Reiichiro Kawai
Date: 2008.01.31

2008-01

On the evaluation of double-barrier options in fast mean-reverting stochastic volatility models (in Japanese)
Author: Yoshifumi Muroi
Date: 2008.01.31