Details about Jiro Akahori

Access statistics for papers by Jiro Akahori.

Last updated 2024-05-07. Update your information in the RePEc Author Service.

Short-id: pak46

Working Papers

2023

1. Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix
   Papers, arXiv.org

2020

2. The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk
   Papers, arXiv.org

2019

3. Probability density of lognormal fractional SABR model
   Papers, arXiv.org View citations (3)
   See also Journal Article Probability Density of Lognormal Fractional SABR Model, Risks, MDPI (2022) View citations (1) (2022)

2018

4. Asymptotic Static Hedge via Symmetrization
   Papers, arXiv.org

2017

5. Default Contagion with Domino Effect, A First Passage Time Approach
   Papers, arXiv.org
6. The Value of Timing Risk
   Papers, arXiv.org View citations (1)

2014

7. The Fourier estimation method with positive semi-definite estimators
   Papers, arXiv.org

2012

8. On a Symmetrization of Diffusion Processes
   Papers, arXiv.org View citations (3)
   See also Journal Article On a symmetrization of diffusion processes, Quantitative Finance, Taylor & Francis Journals (2014) View citations (4) (2014)

2010

9. Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
   Papers, arXiv.org View citations (4)
   See also Journal Article HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2012) View citations (5) (2012)
   Chapter HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2022) (2022)

2009

10. A Heat Kernel Approach to Interest Rate Models
    Papers, arXiv.org View citations (10)
11. Calibration of transparency risks: a note
    Papers, arXiv.org

2006

12. Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor
    Papers, arXiv.org View citations (3)
    See also Journal Article Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor, Asia-Pacific Financial Markets, Springer (2006) View citations (3) (2006)
13. What is the natural scale for a L\'evy process in modelling term structure of interest rates?
    Papers, arXiv.org View citations (2)
    See also Journal Article What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?, Asia-Pacific Financial Markets, Springer (2006) View citations (1) (2006)

Journal Articles

2023

1. Hedging error as generalized timing risk
   Quantitative Finance, 2023, 23, (4), 693-703 View citations (1)
2. Limit Theorems for Iterates of the Szász–Mirakyan Operator in Probabilistic View
   Journal of Theoretical Probability, 2023, 36, (2), 1321-1338
3. On the convergence order of a binary tree approximation of symmetrized diffusion processes
   Mathematics and Computers in Simulation (MATCOM), 2023, 211, (C), 263-277

2022

4. An application of risk theory to mortgage lending
   Scandinavian Actuarial Journal, 2022, 2022, (5), 447-469
5. Probability Density of Lognormal Fractional SABR Model
   Risks, 2022, 10, (8), 1-27 View citations (1)
   See also Working Paper Probability density of lognormal fractional SABR model, Papers (2019) View citations (3) (2019)

2021

6. An efficient weak Euler–Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables
   Mathematics and Computers in Simulation (MATCOM), 2021, 187, (C), 540-565 View citations (1)

2019

7. Bridge representation and modal-path approximation
   Stochastic Processes and their Applications, 2019, 129, (1), 174-204 View citations (1)
8. p-conformal maps on the triangular lattice
   Statistics & Probability Letters, 2019, 151, (C), 42-48

2017

9. A Discrete-Time Clark–Ocone Formula and its Application to an Error Analysis
   Journal of Theoretical Probability, 2017, 30, (3), 932-960 View citations (1)

2014

10. On a symmetrization of diffusion processes
    Quantitative Finance, 2014, 14, (7), 1211-1216 View citations (4)
    See also Working Paper On a Symmetrization of Diffusion Processes, Papers (2012) View citations (3) (2012)

2012

11. HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (01), 1-15 View citations (5)
    See also Working Paper Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes, Papers (2010) View citations (4) (2010)
    Chapter HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES, World Scientific Book Chapters, 2022, 179-193 (2022) (2022)

2009

12. On the Pricing of Options Written on the Last Exit Time
    Methodology and Computing in Applied Probability, 2009, 11, (4), 661-668 View citations (1)

2006

13. Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor
    Asia-Pacific Financial Markets, 2006, 13, (2), 151-179 View citations (3)
    See also Working Paper Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor, Papers (2006) View citations (3) (2006)
14. LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION
    Mathematical Finance, 2006, 16, (4), 635-645 View citations (1)
15. What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?
    Asia-Pacific Financial Markets, 2006, 13, (4), 299-313 View citations (1)
    See also Working Paper What is the natural scale for a L\'evy process in modelling term structure of interest rates?, Papers (2006) View citations (2) (2006)

2005

16. A discrete Itô calculus approach to He’s framework for multi-factor discrete markets
    Asia-Pacific Financial Markets, 2005, 12, (3), 273-287 View citations (2)

1999

17. On the Quasi Gaussian Interest Rate Models
    Asia-Pacific Financial Markets, 1999, 6, (1), 3-6

Edited books

2007

1. Stochastic Processes and Applications to Mathematical Finance
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

2006

2. Stochastic Processes and Applications to Mathematical Finance
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (1)

2004

3. Stochastic Processes and Applications to Mathematical Finance
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (9)

Chapters

2022

1. HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES
   Chapter 9 in Financial Informatics An Information-Based Approach to Asset Pricing, 2022, pp 179-193
   Also in Chapter 1 in Finance at Fields, 2012, pp 1-15 (2012) View citations (6)
   See also Journal Article HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES, World Scientific Publishing Co. Pte. Ltd. (2012) View citations (5) (2012)
   Working Paper Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes, arXiv.org (2010) View citations (4) (2010)

Editor

1. Asia-Pacific Financial Markets
   Springer