CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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2025: Generating the Term Structure of Interest Rates with Diffusion Models

Yosuke Fukunishi, Haorong Qiu, Akihiko Takahashi and Fan Ye

2025: An Incomplete Multi-Currency Equilibrium Model with Heterogeneous Time Preferences and Subjective Beliefs

Daiya Mita, Taiga Saito and Akihiko Takahashi

2025: Super-Long Discount Rates for Insurers in Incomplete Markets with Bond Supply Control

Taiga Saito and Akihiko Takahashi

2025: Allocative Inefficiency during a Sudden Stop

Akira Ishide

2025: sentiment analysis, text mining, large language models, natural language processing, ChatGPT, Japanese stock market, TOPIX 500, Nikkei 225, investment, alpha creation, risk-adjusted returns

Zhenwei Lin, Masafumi Nakano and Akihiko Takahashi

2025: COVID-19 Infection and Its Labor Supply Impact: Evidence from a Large-scale Survey in Japan

Asako Chiba, Shunsuke Hori, Taisuke Nakata, Shusaku Sasaki and Reo Takaku

2025: Mean-field equilibrium price formation with exponential utility

Masaaki Fujii and Masashi Sekine

2024: New approaches of the DCC-GARCH residual: Application to foreign exchange rates (Forthcoming in Quantitative Finance)

Kenichiro Shiraya, Kanji Suzuki and Tomohisa Yamakami

2024: Mean field equilibrium asset pricing model with habit formation (Forthcoming in Asia-Pacific Financial Markets)

Masaaki Fujii and Masashi Sekine

2024: New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion (Forthcoming in Asymptotic Analysis)

Akihiko Takahashi and Toshihiro Yamada

2024: On the Source of Seasonality in Price Changes: The Role of Seasonality in Menu Costs

Ko Munakata, Takeshi Shinohara, Shigenori Shiratsuka, Nao Sudo and Tsutomu Watanabe

2024: A New Equity Investment Strategy with Artificial Intelligence, Multi Factors, and Technical Indicators

Daiya Mita and Akihiko Takahashi

2024: Realised Volatility Moments Implied by Asset Options (Forthcoming in Asia-Pacific Financial Markets)

Frido Rolloos and Kenichiro Shiraya

2024: COVID-19 Risk Perceptions in Japan: A Cross Sectional Study

Asako Chiba, Taisuke Nakata, Thuy Linh Nguyen and Reo Takaku

2024: Optimal Vaccine Allocation Strategy: Theory and Application to the Early Stage of COVID-19 in Japan

Toshikazu Kuniya, Taisuke Nakata and Daisuke Fujii

2024: Bilateral Lucas Paradox

Yasumasa Morito and Kenichi Ueda

2024: Loan Screening When Banks Have Superior Information Technology

Yun Gao and Kenichi Ueda

2024: Multi-agent Equilibrium Model with Heterogeneous Views on Fundamental Risks in Incomplete Market

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

2023: A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment (Forthcoming in "Insurance: Mathematics and Economics")

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

2023: Multi-agent Robust Optimal Investment Problem in Incomplete Market

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

2023: Financial Innovations, Taxes, and the Growth of Finance

Shuhei Aoki, Makoto Nirei and Kazufumi Yamana

2023: Evidence on Price Stickiness in Japan

Kozo Ueda

2023: A Model-Free Approximation for Barrier Options in a General Stochastic Volatility Framework (Forthcoming in Journal of Futures Markets)

Frido Rolloos and Kenichiro Shiraya

2023: The Effect of Framing in Sealed-Bid Auctions: Theory and Experiments

Yutaka Kayaba, Jun Maekawa and Hitoshi Matsushima

2023: A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

2023: Oligopolistic Competition, Price Rigidity, and Monetary Policy

Kozo Ueda and Kota Watanabe

2023: Optimal Loan Portfolio under Regulatory and Internal Constraints "Forthcoming in International Journal of Financial Engineering"

Makoto Okawara and Akihiko Takahashi

2023: A lower bound for the volatility swap in the lognormal SABR model "Forthcoming in Axioms"

Elisa Alòs, Frido Rolloos and Kenichiro Shiraya

2023: Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations (Forthcoming in ESAIM: Control, Optimisation and Calculus of Variations) (Revised version of CARF-F-545)

Masaaki Fujii

2023: Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus (Forthcoming in "Partial Differential Equations and Applications")(Revised version of CARF-F-547)

Akihiko Takahashi and Toshihiro Yamada

2023: Mean-field equilibrium price formation with exponential utility

Masaaki Fujii and Masashi Sekine

2023: Macroeconomic Effects of Monetary Policy in Japan: An Analysis Using Interest Rate Futures Surprises

Hiroyuki Kubota and Mototsugu Shintani

2023: Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility (Forthcoming in European Journal of Operational Research)

Kenichiro Shiraya and Tomohisa Yamakami

2022: The Demand for Money at the Zero Interest Rate Bound

Tsutomu Watanabe and Tomoyoshi Yabu

2022: Big data applications with theoretical models and social media in financial management

Taiga Saito and Shivam Gupta

2022: Honesty and Epistemological Implementation of Social Choice Functions with Asymmetric Information

Hitoshi Matsushima

2022: Honesty and Epistemological Implementation of Social Choice Functions with Asymmetric Information

Hitoshi Matsushima

2022: Asymptotic expansion and deep neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with nonlinear coefficients

Akihiko Takahashi and Toshihiro Yamada

2022: Heterogeneous Risk Attitudes and Waves of Infection

Daisuke Fujii, Taisuke Nakata and Takeshi Ojima

2022: Managerial discretion over initial earnings forecasts “Forthcoming in Pacific-Basin Finance Journalâ€

Takuya Iwasaki, Norio Kitagawa and Akinobu Shuto

2022: Equilibrium Pricing of Securities in the Co-presence of Cooperative and Non-cooperative Populations

Masaaki Fujii

2022: Forward start volatility swaps in rough volatility models (Forthcoming in Asia-Pacific Financial Markets)

Elisa Alòs, Frido Rolloos and Kenichiro Shiraya

2022: A state space modeling for proactive management in equity investment "Forthcoming in International Journal of Financial Engineering"

Akihiko Takahashi and Soichiro Takahashi

2022: COVID-19 and Suicide in Japan

Quentin Batista, Daisuke Fujii, Taisuke Nakata and Takeki Sunakawa

2022: Understanding Cross-Country Heterogeneity in Health and Economic Outcomes during the COVID-19 Pandemic: A Revealed-Preference Approach

Daisuke Fujii, Sohta Kawawaki, Yuta Maeda, Masataka Mori and Taisuke Nakata

2022: Cross-Regional Heterogeneity in Health and Economic Outcomes during the COVID-19 Pandemic: An Analysis of Japan

Shotaro Beppu, Daisuke Fujii, Hiroyuki Kubota, Kohei Machi, Yuta Maeda, Taisuke Nakata and Haruki Shibuya

2022: The Effects of Hosting the Olympic and Paralympic Games on COVID-19 in Tokyo: Ex-Ante Analyses

Asako Chiba, Daisuke Fujii, Yuta Maeda, Masataka Mori, Kenichi Nagasawa, Taisuke Nakata and Wataru Okamoto

2022: Going Cashless: Government’s Point Reward Program vs. COVID-19

Toshitaka Sekine, Toshiaki Shoji and Tsutomu Watanabe

2022: FREE-RIDER PROBLEM AND SOVEREIGNTY PROTECTION

Hitoshi Matsushima

2022: Moments of Maximum of Lévy Processes: Application to Barrier and Lookback Option Pricing

Yuan Li, Kenichiro Shiraya, Yuji Umezawa and Akira Yamazaki

2022: Estimating a Behavioral New Keynesian Model with the Zero Lower Bound

Yasuo Hirose, Hirokuni Iiboshi, Mototsugu Shintani and Kozo Ueda

2022: Portfolio optimization with choice of a probability measure (forthcoming in proceedings of IEEE CIFEr 2022)

Taiga Saito and Akihiko Takahashi

2022: Equilibrium Price Formation with a Major Player and its Mean Field Limit (Forthcoming in ESAIM: Control, Optimization and Calculus of Variations)(Revised version of CARF-F-509)

Masaaki Fujii and Akihiko Takahashi

2022: A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver (Journal of Computational Physics, published online 19 January 2022)

Akihiko Takahashi, Yoshifumi Tsuchida and Toshihiro Yamada

2022: A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver

Akihiko Takahashi, Yoshifumi Tsuchida and Toshihiro Yamada