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On a robustness of quantile hedging : complete market's case

Sekine, Jun - In: Asia-Pacific financial markets 6 (1999) 2, pp. 195-201

Persistent link: https://www.econbiz.de/10001449326

On superhedging under delta constraints

Sekine, Jun - In: Applied mathematical finance 9 (2002) 2, pp. 103-121

Persistent link: https://www.econbiz.de/10001695088

Long-term optimal portfolios with floor

Sekine, Jun - In: Finance and stochastics 16 (2012) 3, pp. 369-401

Persistent link: https://www.econbiz.de/10009562320

A note on the risk-premium process in an equilibrium

Sekine, Jun - In: International journal of theoretical and applied finance 11 (2008) 7, pp. 705-716

Persistent link: https://www.econbiz.de/10003791851

Order Estimates for the Exact Lugannani-Rice Expansion

Kato, Takashi - 2015

The Lugannani-Rice formula is a saddlepoint approximation method for estimating the tail probability distribution function, which was originally studied for the sum of independent identically distributed random variables. Because of its tractability, the formula is now widely used in practical...

Persistent link: https://www.econbiz.de/10013034910

Risk-sensitive portfolio optimization with two-factor having a memory effect

Hayashi, Tadashi; Sekine, Jun - In: Asia-Pacific financial markets 18 (2011) 4, pp. 385-403

Persistent link: https://www.econbiz.de/10009348320

Optimal portfolio for a highly risk-averse investor : a differential game interpretation

Kaise, Hidehiro; Sekine, Jun - In: Risk and decision analysis 3 (2012) 3, pp. 211-222

Persistent link: https://www.econbiz.de/10009655727

A one-factor conditionally linear commodity pricing model under partial information

Kato, Takashi; Sekine, Jun; Yamamoto, Hiromitsu - In: Asia-Pacific financial markets 21 (2014) 2, pp. 151-174

Persistent link: https://www.econbiz.de/10010358423

Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates

Hata, Hiroaki; Sekine, Jun - In: Advances in mathematical economics 8 (2006), pp. 231-255

Persistent link: https://www.econbiz.de/10003308963

Risk-sensitive asset management in a wishart-autoregressive factor model with jumps

Hata, Hiroaki; Sekine, Jun - In: Asia-Pacific financial markets 24 (2017) 3, pp. 221-252

Persistent link: https://www.econbiz.de/10011797667