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Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi - In: Asia-Pacific financial markets 21 (2014) 4, pp. 351-396
Persistent link: https://www.econbiz.de/10010511560
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Stochastic orders and their applications in financial optimization
Kijima, Masaaki; Ohnishi, Masamitsu - In: Mathematical methods of operations research 50 (1999) 2, pp. 351-372
Persistent link: https://www.econbiz.de/10001428857
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Evaluation of credit risk of a portfolio with stochastic interest rate and default processes
Kijima, Masaaki; Muromachi, Yukio - In: Innovations in risk management : seminal papers from …, (pp. 419-456). 2004
Persistent link: https://www.econbiz.de/10002600547
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Pricing of CDOs based on the multivariate Wang transform
Kijima, Masaaki; Motomiya, Shin-ichi; Suzuki, Yoichi - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2259-2272
Persistent link: https://www.econbiz.de/10009008889
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Credit-equity modeling under a latent Lévy firm process
Kijima, Masaaki; Siu, Chi Chung - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-41
Persistent link: https://www.econbiz.de/10010364748
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A chaos expansion approach for the pricing of contingent claims
Funahashi, Hideharu; Kijima, Masaaki - In: The journal of computational finance 18 (2014/15) 3, pp. 27-58
Persistent link: https://www.econbiz.de/10011298901
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Does the Hurst index matter for option prices under fractional volatility?
Funahashi, Hideharu; Kijima, Masaaki - In: Annals of finance 13 (2017) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10011944961