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CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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2023: Forward start volatility swaps in rough volatility models
Kenichiro Shiraya and Tomohisa Yamakami
2022: The Demand for Money at the Zero Interest Rate Bound Downloads
Tsutomu Watanabe and Tomoyoshi Yabu
2022: A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment Downloads
Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
2022: Big data applications with theoretical models and social media in financial management Downloads
Taiga Saito and Shivam Gupta
2022: Honesty and Epistemological Implementation of Social Choice Functions with Asymmetric Information Downloads
Hitoshi Matsushima
2022: Honesty and Epistemological Implementation of Social Choice Functions with Asymmetric Information Downloads
Hitoshi Matsushima
2022: Heterogeneous Risk Attitudes and Waves of Infection Downloads
Daisuke Fujii, Taisuke Nakata and Takeshi Ojima
2022: Managerial discretion over initial earnings forecasts “Forthcoming in Pacific-Basin Finance Journal†Downloads
Takuya Iwasaki, Norio Kitagawa and Akinobu Shuto
2022: Equilibrium Pricing of Securities in the Co-presence of Cooperative and Non-cooperative Populations Downloads
Masaaki Fujii
2022: A state space modeling for proactive management in equity investment "Forthcoming in International Journal of Financial Engineering" Downloads
Akihiko Takahashi and Soichiro Takahashi
2022: COVID-19 and Suicide in Japan Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
Toshitaka Sekine, Toshiaki Shoji and Tsutomu Watanabe
2022: FREE-RIDER PROBLEM AND SOVEREIGNTY PROTECTION Downloads
Hitoshi Matsushima
2022: Moments of Maximum of Lévy Processes: Application to Barrier and Lookback Option Pricing Downloads
Yuan Li, Kenichiro Shiraya, Yuji Umezawa and Akira Yamazaki
2022: Estimating a Behavioral New Keynesian Model with the Zero Lower Bound Downloads
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) Downloads
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) Downloads
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) Downloads
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 Downloads
Akihiko Takahashi, Yoshifumi Tsuchida and Toshihiro Yamada
2021: High-Frequency Identification of Monetary Policy Shocks in Japan (Revised version of CARF-F-502)(Forthcoming in the Japanese Economic Review) Downloads
Hiroyuki Kubota and Mototsugu Shintani
2021: Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium Downloads
Masaaki Fujii and Akihiko Takahashi
2021: The Medium-Term Impacts of the Global Financial Crisis Downloads
Kenichi Ueda and Kei Uzui
2021: Inference of Jumps Using Wavelet Variance Downloads
Heng Chen and Mototsugu Shintani
2021: Price Stability of Cryptocurrencies as a Medium of Exchange Downloads
Tatsuru Kikuchi, Toranosuke Onishi and Kenichi Ueda
2021: Going Cashless: Evidence from Japan’s Point Reward Program Downloads
Toshitaka Sekine, Toshiaki Shoji and Tsutomu Watanabe
2021: Online Consumption During and After the COVID-19 Pandemic: Evidence from Japan Downloads
Tsutomu Watanabe and Yuki Omori
2021: Deep Asymptotic Expansion: Application to Financial Mathematics(forthcoming in proceedings of IEEE CSDE 2021) Downloads
Yuga Iguchi, Riu Naito, Yusuke Okano, Akihiko Takahashi and Toshihiro Yamada
2021: How do bank lenders use borrowers’ financial statements? Evidence from a survey of Japanese banks Downloads
Takuma Kochiyama, Ryosuke Nakamura and Akinobu Shuto
2021: A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition Downloads
Masaaki Fujii and Akihiko Takahashi
2021: Household Inventory, Temporary Sales, and Price Indices Downloads
Kozo Ueda, Kota Watanabe and Tsutomu Watanabe
2021: Frequency Regression and Smoothing for Noisy Nonstationary Time Series Downloads
Seisho Sato and Naoto Kunimoto
2021: Epistemological Implementation of Social Choice Functions Downloads
Hitoshi Matsushima
2021: Backward Smoothing for Noisy Non-stationary Time Series Downloads
Seisho Sato and Naoto Kunitomo
2021: Identifying the Source of Information Rigidities in the Expectations Formation Process Downloads
Mototsugu Shintani and Kozo Ueda
2021: Approximation Method Using Black-Scholes Formula for Barrier Option Pricing under Lévy Models Downloads
Yuan Li, Kaimon Miyachi, Kenichiro Shiraya and Akira Yamazaki
2021: Auctions with Ethical Concerns Downloads
Hitoshi Matsushima
2021: Assignments with Ethical Concerns Downloads
Hitoshi Matsushima
2021: The Return of the Dead? The COVID-19 Business Support Programs in Japan (Forthcoming in Journal of Banking and Finance) Downloads
Takeo Hoshi, Daiji Kawaguchi and Kenichi Ueda
2021: Budget Ratcheting and Debtholders’ Monitoring: Evidence from Private Colleges and Universities Downloads
Makoto Kuroki and Akinobu Shuto
2021: The Bright and Dark Side of Financial Support from Local and Central Banks after a Natural Disaster: Evidence from the Great Kanto Earthquake, 1923 Japan Downloads
Tetsuji Okazaki, Toshihiro Okubo and Eric Strobl
2021: Repricing Avalanches Downloads
Makoto Nirei and José A. Scheinkman
2021: Equilibrium Price Formation with a Major Player and its Mean Field Limit Downloads
Masaaki Fujii and Akihiko Takahashi
2021: Japan’s Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Data Downloads
Tsutomu Watanabe and Tomoyoshi Yabu
2021: Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach (Forthcoming in IEEE Transactions on Automatic Control)" Downloads
Taiga Saito and Akihiko Takahashi
2021: Bank Regulatory Reforms and Declining Diversity of Bank Credit Allocation Downloads
Takeo Hoshi and Ke Wang
2021: Epistemological Mechanism Design (Revised version of CARF-F-496) Downloads
Hitoshi Matsushima and Shunya Noda
2021: Covid-19 and Output in Japan Downloads
Daisuke Fujii and Taisuke Nakata
2021: A New Interval Type-2 Fuzzy Logic System Under Dynamic Environment: Application to Financial Investment (Subsequently published in "Engineering Applications of Artificial Intelligence")
Akihiko Takahashi and Soichiro Takahashi
2021: A general control variate method for time-changed Lévy processes: An application to options pricing Downloads
Kenichiro Shiraya, Cong Wang and Akira Yamazaki
2021: A novel approach to asset pricing with choice of probability measures Downloads
Taiga Saito and Akihiko Takahashi
Page updated 2023-02-06
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