CARF F-Series
From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC. Bibliographic data for series maintained by (). Access Statistics for this working paper series.
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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

- Tsutomu Watanabe and Tomoyoshi Yabu
- 2022: A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment

- Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
- 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: 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: 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
- 2021: High-Frequency Identification of Monetary Policy Shocks in Japan (Revised version of CARF-F-502)(Forthcoming in the Japanese Economic Review)

- Hiroyuki Kubota and Mototsugu Shintani
- 2021: Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium

- Masaaki Fujii and Akihiko Takahashi
- 2021: The Medium-Term Impacts of the Global Financial Crisis

- Kenichi Ueda and Kei Uzui
- 2021: Inference of Jumps Using Wavelet Variance

- Heng Chen and Mototsugu Shintani
- 2021: Price Stability of Cryptocurrencies as a Medium of Exchange

- Tatsuru Kikuchi, Toranosuke Onishi and Kenichi Ueda
- 2021: Going Cashless: Evidence from Japan’s Point Reward Program

- Toshitaka Sekine, Toshiaki Shoji and Tsutomu Watanabe
- 2021: Online Consumption During and After the COVID-19 Pandemic: Evidence from Japan

- Tsutomu Watanabe and Yuki Omori
- 2021: Deep Asymptotic Expansion: Application to Financial Mathematics(forthcoming in proceedings of IEEE CSDE 2021)

- 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

- Takuma Kochiyama, Ryosuke Nakamura and Akinobu Shuto
- 2021: A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition

- Masaaki Fujii and Akihiko Takahashi
- 2021: Household Inventory, Temporary Sales, and Price Indices

- Kozo Ueda, Kota Watanabe and Tsutomu Watanabe
- 2021: Frequency Regression and Smoothing for Noisy Nonstationary Time Series

- Seisho Sato and Naoto Kunimoto
- 2021: Epistemological Implementation of Social Choice Functions

- Hitoshi Matsushima
- 2021: Backward Smoothing for Noisy Non-stationary Time Series

- Seisho Sato and Naoto Kunitomo
- 2021: Identifying the Source of Information Rigidities in the Expectations Formation Process

- Mototsugu Shintani and Kozo Ueda
- 2021: Approximation Method Using Black-Scholes Formula for Barrier Option Pricing under Lévy Models

- Yuan Li, Kaimon Miyachi, Kenichiro Shiraya and Akira Yamazaki
- 2021: Auctions with Ethical Concerns

- Hitoshi Matsushima
- 2021: Assignments with Ethical Concerns

- Hitoshi Matsushima
- 2021: The Return of the Dead? The COVID-19 Business Support Programs in Japan (Forthcoming in Journal of Banking and Finance)

- Takeo Hoshi, Daiji Kawaguchi and Kenichi Ueda
- 2021: Budget Ratcheting and Debtholders’ Monitoring: Evidence from Private Colleges and Universities

- 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

- Tetsuji Okazaki, Toshihiro Okubo and Eric Strobl
- 2021: Repricing Avalanches

- Makoto Nirei and José A. Scheinkman
- 2021: Equilibrium Price Formation with a Major Player and its Mean Field Limit

- Masaaki Fujii and Akihiko Takahashi
- 2021: Japan’s Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Data

- 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)"

- Taiga Saito and Akihiko Takahashi
- 2021: Bank Regulatory Reforms and Declining Diversity of Bank Credit Allocation

- Takeo Hoshi and Ke Wang
- 2021: Epistemological Mechanism Design (Revised version of CARF-F-496)

- Hitoshi Matsushima and Shunya Noda
- 2021: Covid-19 and Output in Japan

- 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

- Kenichiro Shiraya, Cong Wang and Akira Yamazaki
- 2021: A novel approach to asset pricing with choice of probability measures

- Taiga Saito and Akihiko Takahashi
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