Zobrazeno 1 - 10
of 151
pro vyhledávání: '"Masaaki Kijima"'
Autor:
Hideharu Funahashi, Masaaki Kijima
Publikováno v:
Fractal and Fractional, Vol 1, Iss 1, p 14 (2017)
In the option pricing literature, it is well known that (i) the decrease in the smile amplitude is much slower than the standard stochastic volatility models and (ii) the term structure of the at-the-money volatility skew is approximated by a power-l
Externí odkaz:
https://doaj.org/article/c5e2e44010514a7c89972ef0fa9ec857
This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropol
This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners i
Autor:
Masaaki Kijima
Publikováno v:
Applied Stochastic Models in Business and Industry. 37:17-20
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3c55b9132c62c3ffffcde568aa917000
https://doi.org/10.1002/asmb.2573
https://doi.org/10.1002/asmb.2573
Autor:
Masaaki Kijima, Christopher Ting
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential equation. We obta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::12bd00f504ab4307b265ec84ef6471cc
http://arxiv.org/abs/1912.04565
http://arxiv.org/abs/1912.04565
Autor:
Hideharu Funahashi, Masaaki Kijima
Publikováno v:
Annals of Finance. 13:55-74
This study examines the effect of fractional volatility on option prices. To this end, we develop an approximation method for the pricing of European-style contingent claims when volatility follows a fractional Brownian motion. Through extensive nume
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0e62f4889ddffa675a02569499fc9a99
https://doi.org/10.1007/s10436-016-0289-1
https://doi.org/10.1007/s10436-016-0289-1
Autor:
Hideharu Funahashi, Masaaki Kijima
Publikováno v:
Quantitative Finance. 16:867-886
This paper considers a single barrier option under a local volatility model and shows that any down-and-in option can be priced by a combination of three standard European options whose volatility functions are connected through symmetrization. The s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f3d2cfb241b473375a02fe327b03975
https://doi.org/10.1080/14697688.2015.1101483
https://doi.org/10.1080/14697688.2015.1101483
Autor:
Masaaki Kijima, Hideharu Funahashi
Publikováno v:
The Journal of Computational Finance. 18:27-58
In this paper, we propose an approximation method based on the Wiener–Ito chaos expansion for the pricing of European-style contingent claims. Our method is applicable to the general class of continuous Markov processes. The resulting approximation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a22fa2144d82740c805c9a673b045c76
https://doi.org/10.21314/jcf.2015.299
https://doi.org/10.21314/jcf.2015.299
Autor:
Hideharu Funahashi, Masaaki Kijima
Publikováno v:
SSRN Electronic Journal.
In the option pricing literature, it is well known that: (i) the decrease in the smile amplitude is much slower than standard stochastic volatility models and, (ii) the term structure of the at-the-money volatility skew is approximated by a power-law
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::084797f283819c6aa775d41f7d4f5cb3
https://doi.org/10.2139/ssrn.2962310
https://doi.org/10.2139/ssrn.2962310
Since 2004, the Tokyo Metropolitan University (TMU) has been conducting workshops that serve as a forum for academic researchers and practitioners to exchange ideas and developments in different fields of finance. This book is based on papers present