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Details about Jiro Akahori

E-mail:
Homepage:http://www.ritsumei.ac.jp/~akahori/index-e.html
Workplace:Ritsumeikan Univeristy

Access statistics for papers by Jiro Akahori.

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

Short-id: pak46


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Working Papers

2017

  1. Default Contagion with Domino Effect, A First Passage Time Approach
    Papers, arXiv.org Downloads
  2. Probability density of lognormal fractional SABR model
    Papers, arXiv.org Downloads
  3. The Value of Timing Risk
    Papers, arXiv.org Downloads

2014

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

2012

  1. On a Symmetrization of Diffusion Processes
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Quantitative Finance (2014)

2010

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

2009

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

2006

  1. Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Asia-Pacific Financial Markets (2006)
  2. What is the natural scale for a L\'evy process in modelling term structure of interest rates?
    Papers, arXiv.org Downloads View citations (1)
    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 Downloads View citations (1)
    See also Working Paper (2012)

2012

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

2006

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

2005

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

1999

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

Edited books

2007

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

2006

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

2004

  1. Stochastic Processes and Applications to Mathematical Finance
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads 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 Downloads
    See also Working Paper (2010)
    Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2012)

Editor

  1. Asia-Pacific Financial Markets
    Springer
 
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