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pro vyhledávání: '"Takada, Hideyuki"'
Autor:
Farinelli, Simone, Takada, Hideyuki
Geometric arbitrage theory reformulates a generic asset model possibly allowing for arbitrage by packaging all asset and their forward dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting a
Externí odkaz:
http://arxiv.org/abs/1906.07164
Autor:
Farinelli, Simone, Takada, Hideyuki
We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation. First, for a generic market dynamics given by a multidimensional It\^o's process we specify and pr
Externí odkaz:
http://arxiv.org/abs/1904.11565
Akademický článek
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Autor:
Farinelli, Simone, Takada, Hideyuki
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting
Externí odkaz:
http://arxiv.org/abs/1509.03264
Autor:
Farinelli, Simone, Takada, Hideyuki
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given de
Externí odkaz:
http://arxiv.org/abs/1406.6805
Autor:
Takada, Hideyuki
本文データは平成22年度国立国会図書館の学位論文(博士)のデジタル化実施により作成された画像ファイルを基にpdf変換したものである
Kyoto University (京都大学)
0048
甲第9052号
Kyoto University (京都大学)
0048
甲第9052号
Externí odkaz:
http://hdl.handle.net/2433/150603
Autor:
Nakagawa, Hidetoshi1 (AUTHOR), Takada, Hideyuki2 (AUTHOR) hideyuki.takada@is.sci.toho-u.ac.jp
Publikováno v:
Quantitative Finance. Jan2023, Vol. 23 Issue 1, p169-185. 17p.
Autor:
Farinelli, Simone1 (AUTHOR), Takada, Hideyuki2 (AUTHOR) hideyuki.takada@is.sci.toho-u.ac.jp
Publikováno v:
Quantitative Finance. Dec2022, Vol. 22 Issue 12, p2155-2170. 16p.
Autor:
Farinelli, Simone1 (AUTHOR) simone@coredynamics.ch, Takada, Hideyuki2 (AUTHOR) hideyuki.takada@is.sci.toho-u.ac.jp
Publikováno v:
Symmetry (20738994). Jul2022, Vol. 14 Issue 7, pN.PAG-N.PAG. 25p.