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: 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 â€œForthcoming 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: Governmentâ€™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 LÃ©vy 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 Japanâ€™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 Mathematicsï¼ˆforthcoming in proceedings of IEEE CSDE 2021): Yuga Iguchi, Riu Naito, Yusuke Okano, Akihiko Takahashi and Toshihiro Yamada
2021: How do bank lenders use borrowersâ€™ 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 LÃ©vy 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 Debtholdersâ€™ 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: Equilibrium Price Formation with a Major Player and its Mean Field Limit: Masaaki Fujii and Akihiko Takahashi
2021: Japanâ€™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 LÃ©vy 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

CARF F-Series

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