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The distribution of continuous time rank processes

Fujita, Takahiko; Miura, Ryozo - In: Advances in mathematical economics 9 (2006), pp. 25-32

Persistent link: https://www.econbiz.de/10003331351

A note on the joint distribution of a, ß-percentiles and its application to the option pricing

Fujita, Takahiko - In: Asia-Pacific financial markets 7 (2000) 4, pp. 339-344

Persistent link: https://www.econbiz.de/10001557975

An arbitrage approach to the pricing of catastrophe options involving the Cox process

Fujita, Takahiko; Ishimura, Naoyuki; Tanaka, Daichi - In: Hitotsubashi journal of economics 49 (2008) 2, pp. 67-74

Persistent link: https://www.econbiz.de/10003810226

Discrete stochastic calculus and its applications : an expository note

Fujita, Takahiko; Ishimura, Naoyuki; Kawai, Norihisa - In: Advances in mathematical economics 16 (2012), pp. 119-131

Persistent link: https://www.econbiz.de/10009627394

On financial time series decompositions with applications to volatility

Doksum, Kjell A.; Miura, Ryozo; Yamauchi, Hiroaki - 1998

Persistent link: https://www.econbiz.de/10000990977

The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk

Miura, Ryozo; Yamauchi, Hiroaki - In: Asia-Pacific financial markets 5 (1998) 2, pp. 129-158

Persistent link: https://www.econbiz.de/10001372064

Credit Risk Modeling with Delayed Information

Adachi, Takanori - 2013

We introduce a notion of market times that are stochastic processes in order to represent information delay in structural credit risk models. The market times are extensions of the time change process introduced by Guo, Jarrow and Zeng in the sense that each component of the market time is not...

Persistent link: https://www.econbiz.de/10013087222

A note on statistical models for individual hedge fund returns

Miura, Ryozo; Aoki, Yoshimitsu; Yokouchi, Daisuke - In: Mathematical methods of operations research 69 (2009) 3, pp. 553-577

Persistent link: https://www.econbiz.de/10003858278