| Takuji Arai |
Keio University
"Shortfall risk based good-deal bounds for American derivatives." → [abstract] |
| Stéphane Crépey |
Université
d'Évry-Val-d'Essonne
"Dynamic hedging of counterparty exposure." → [abstract] |
| Masahiko Egami |
Kyoto University
"Precautionary Measures for Credit Risk Management in Jump Models." → [abstract] |
| Xin Guo |
University of California, Berkeley, Department of Industrial Engineering
and Operations Research
"From default to recovery, and to (economic) default." → [abstract] |
| Sébastien Hitier |
BNP Paribas
"Default copula implied by dynamic credit models." → [abstract] |
| Lane P. Hughston |
Imperial College London, Department of Mathematics
"Zeta processes and their financial applications." → [abstract] |
| Stefano Iacus |
University of Milano
"On LASSO type estimation for discretely observed diffusion processes." → [abstract]
"The "yuima" package: an R framework for simulation and
inference of stochastic differential equations." → [abstract] |
| Ying Jiao |
Université Paris VII, U.F.R. de Mathématiques
"Density approach in the credit risk modelling." → [abstract] |
| Joerg Kampen |
University of Wuppertal, Germany
"Analytic expansions of characteristic functions and densities, and
applications in finance." → [abstract] |
| Wanmo Kang |
KAIST
"Large deviations, importance sampling, and credit risk." → [abstract] |
| Valentin Konakov |
Central Economic Mathematical Institute, Russian Academy of Sciences
"Discrete “parametrix” method and its applications." → [abstract] |
| Steven Kou |
Columbia University, Department of Industrial Engineering and Operations
Research
"Pricing Asian options under a general jump diffusion model." → [abstract] |
| Shigeo Kusuoka |
The University of Tokyo
"Approximation of expectation of diffusion processes." → [abstract] |
| Roger Lee |
University of Chicago, Department of Mathematics
"Asymptotics of implied volatility." → [abstract] |
| Hiroki Masuda |
Kyusyu University
"Non-Gaussian quasi-likelihood estimation of jump processes." → [abstract] |
| Yukio Muromachi |
Tokyo Metropolitan University
"An application of the implied copula model to the risk evaluation
of a portfolio." → [abstract] |
| Yumiharu Nakano |
Tokyo Institute of Technology
"On the design of catastrophe bonds." → [abstract] |
| Syoiti Ninomiya |
Tokyo Institute of Technology
"On an extension of an algorithm of higher-order weak approximation
to SDEs." (with Mariko Ninomiya) → [abstract] |
| Yasufumi Osajima |
BNP Paribas (Tokyo)
"Asymptotic and Analytic method for SABR." → [abstract] |
| Wolfgang Runggaldier |
Hosei University / University of Padova
"Credit risk and incomplete information: filtering and EM parameter estimation." → [abstract] |
| Marek Rutkowski |
The University of Sydney, School of Mathematics and Statistics
"A multiplicative approach to random time." → [abstract] |
| William Shaw |
King's College London, Department of Mathematics
"Portfolio optimization for general investor risk-return objectives and general portfolio distributions." → [abstract] |
| Masayuki Uchida |
Osaka University
"Adaptive estimation of discretely observed ergodic diffusions." → [abstract] |
| Yuji Umezawa |
Mizuho-DL Financial Technology
"An extension of CreditGrades model approach with Lévy processes." → [abstract] |
| Nakahiro Yoshida |
The University of Tokyo
"Statistical inference for volatility and related limit theorems." → [abstract] |
