Details about Jiro Akahori

Access statistics for papers by Jiro Akahori.

Last updated 2012-07-13. Update your information in the RePEc Author Service.

Short-id: pak46

Working Papers

2012

1. On a Symmetrization of Diffusion Processes
   Papers, arXiv.org View citations (1)

2010

2. Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
   Papers, arXiv.org View citations (4)
   See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2012)

2009

3. A Heat Kernel Approach to Interest Rate Models
   Papers, arXiv.org View citations (5)
4. Calibration of transparency risks: a note
   Papers, arXiv.org

2006

5. Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor
   Papers, arXiv.org
   See also Journal Article in Asia-Pacific Financial Markets (2006)
6. What is the natural scale for a L\'evy process in modelling term structure of interest rates?
   Papers, arXiv.org View citations (1)
   See also Journal Article in Asia-Pacific Financial Markets (2006)

Journal Articles

2012

1. HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES
   International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (01), 1250007-1-1250007-15
   See also Working Paper (2010)

2006

2. Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor
   Asia-Pacific Financial Markets, 2006, 13, (2), 151-179
   See also Working Paper (2006)
3. LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION
   Mathematical Finance, 2006, 16, (4), 635-645 View citations (1)
4. 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
   See also Working Paper (2006)

2005

5. 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 (1)

1999

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