Details about Yoshihiro Shirai

Access statistics for papers by Yoshihiro Shirai.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: psh697

Working Papers

2024

1. Optimal positioning in derivative securities in incomplete markets
   Papers, arXiv.org

2023

2. A Levy-driven Ornstein-Uhlenbeck process for the valuation of credit index swaptions
   Papers, arXiv.org
3. Acceptable Bilateral Gamma Parameters
   Papers, arXiv.org
4. Extreme Measures in Continuous Time Conic Finace
   Papers, arXiv.org

2015

5. Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
   Papers, arXiv.org View citations (11)
   See also Journal Article Optimal derivative liquidation timing under path-dependent risk penalties, Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (10) (2015)

Journal Articles

2023

1. A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS
   International Journal of Theoretical and Applied Finance (IJTAF), 2023, 26, (06n07), 1-37

2015

2. Optimal derivative liquidation timing under path-dependent risk penalties
   Journal of Financial Engineering (JFE), 2015, 02, (01), 1-32 View citations (10)
   See also Working Paper Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties, Papers (2015) View citations (11) (2015)