Details about Jiro Akahori

Access statistics for papers by Jiro Akahori.

Last updated 2017-11-15. Update your information in the RePEc Author Service.

Short-id: pak46

Working Papers

2019

1. Probability density of lognormal fractional SABR model
   Papers, arXiv.org View citations (3)

2017

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

2014

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

2012

5. On a Symmetrization of Diffusion Processes
   Papers, arXiv.org View citations (3)
   See also Journal Article in Quantitative Finance (2014)

2010

6. 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)
   Chapter (2012)

2009

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

2006

9. 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 in Asia-Pacific Financial Markets (2006)
10. 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 in Asia-Pacific Financial Markets (2006)

Journal Articles

2014

1. On a symmetrization of diffusion processes
   Quantitative Finance, 2014, 14, (7), 1211-1216 View citations (3)
   See also Working Paper (2012)

2012

2. 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 (2010)
   Chapter (2012)

2006

3. 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 (2006)
4. LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION
   Mathematical Finance, 2006, 16, (4), 635-645 View citations (1)
5. 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 (2006)

2005

6. 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

7. 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

2012

1. HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES
   Chapter 1 in Finance at Fields, 2012, pp 1-15 View citations (6)
   See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2012)
   Working Paper (2010)

Editor

1. Asia-Pacific Financial Markets
   Springer