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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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2
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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3
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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4
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
Saved in:
5
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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6
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
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