Zobrazeno 1 - 10
of 39
pro vyhledávání: '"Masahiko Egami"'
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:
Masahiko Egami, Rusudan Kevkhishvili
Publikováno v:
Mathematical Finance. 30:547-576
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in regime-switchin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3196eabed7d555f981d434dbabcc42f0
https://doi.org/10.1111/mafi.12220
https://doi.org/10.1111/mafi.12220
Publikováno v:
Journal of Japan Society of Civil Engineers, Ser. F5 (Professional Practices in Civil Engineering). 76:1-13
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fd8a8bf2e36272274ccb17aa19885cdd
https://doi.org/10.2208/jscejppce.76.1_1
https://doi.org/10.2208/jscejppce.76.1_1
Autor:
Masahiko Egami, Rusudan Kevkhishvili
Publikováno v:
BASE-Bielefeld Academic Search Engine
During subprime mortgage crisis, it became apparent that incumbent models had underestimated company default correlations. Complex models that attempt to incorporate default dependency are difficult to implement in practice. On the contrary, practica
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::426446f08aecabe8b013fa429e8740e6
https://doi.org/10.1016/j.jbankfin.2017.04.007
https://doi.org/10.1016/j.jbankfin.2017.04.007
Autor:
Rusudan Kevkhishvili, Masahiko Egami
Publikováno v:
SSRN Electronic Journal.
In this article, we first construct the empirical measure of spread (EMS) to capture the dynamics of quoted CDS spreads. It is the measure of creditworthiness of a company derived from the asset model in Egami and Kevkhishvili [2017]. We then use the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e767ab691600027d5eabb1ebc006664f
https://doi.org/10.2139/ssrn.3420656
https://doi.org/10.2139/ssrn.3420656
Autor:
Rusudan Kevkhishvili, Masahiko Egami
Publikováno v:
SSRN Electronic Journal.
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in regime-switchin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::160c7ece963d80a53d97feb51eefe9f7
https://doi.org/10.2139/ssrn.3100673
https://doi.org/10.2139/ssrn.3100673
Autor:
Masahiko Egami1 egami@econ.kyoto-u.ac.jp, Tadao Oryu1 oryu.tadao.27r@st.kyoto-u.ac.jp
Publikováno v:
Operations Research. May/Jun2015, Vol. 63 Issue 3, p527-539. 13p. 2 Charts, 7 Graphs.
Autor:
Tadao Oryu, Masahiko Egami
Publikováno v:
Operations Research. 63:527-539
The importance of the global financial system cannot be exaggerated. When a large financial institution becomes problematic and is bailed out, that bank is often claimed as “too big to fail.” On the other hand, to prevent bank’s failure, regula
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4ecbde32471e007645eec79f238aaa1a
https://doi.org/10.1287/opre.2015.1371
https://doi.org/10.1287/opre.2015.1371
Autor:
Rusudan Kevkhishvili, Masahiko Egami
We study time reversal, last passage time and $h$ -transform of linear diffusions. For general diffusions with killing, we obtain the probability density of the last passage time to an arbitrary level and analyse the distribution of the time left unt
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65f1f0efd884b0e336c7a208f6ab939e
Autor:
Kazutoshi Yamazaki, Masahiko Egami
Publikováno v:
Journal of Computational and Applied Mathematics. 264:1-22
We study the scale function of the spectrally negative phase-type Levy process. Its scale function admits an analytical expression and so do a number of its fluctuation identities. Motivated by the fact that the class of phase-type distributions is d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4cc104a1d5cc4d83e29cd5b8c806de81
https://doi.org/10.1016/j.cam.2013.12.044
https://doi.org/10.1016/j.cam.2013.12.044