ディスカッション・ペーパー


CSFI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。
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No:
Title:
PDF:
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


No:
Title:
PDF:
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 (revised version of 2010-03)
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


No:
Title:
PDF:
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


No:
Title:
PDF:
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
離散ヘッジ戦略の漸近有効性
Author:深澤 正彰
Date:2009.12.09

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

2009-01
Asymptotic Analysis for Stochastic Volatility: Edgeworth expansion
Author:Masaaki Fukasawa
Date:2009.07.26


No:
Title:
PDF:
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
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




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.