CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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cf572: State Ownership, Political Connection, and Innovation Subsidies in China

Hong Cheng, Hanbing Fan, Takeo Hoshi and Dezhuang Hu

cf571: Equilibriummulti-agent model with heterogeneous views on fundamental risks (Forthcoming in Automatica)

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf570: Evidence on Price Stickiness in Japan

Kozo Ueda

cf569: Climate Change, Self-Governance, International Negotiation, Common Carbon Pricing, Relative Measure in Environmental Concern

Hitoshi Matsushima

cf568: A Model-Free Approximation for Barrier Options in a General Stochastic Volatility Framework (Forthcoming in Journal of Futures Markets)

Frido Rolloos and Kenichiro Shiraya

cf567: The Effect of Framing in Sealed-Bid Auctions: Theory and Experiments

Yutaka Kayaba, Jun Maekawa and Hitoshi Matsushima

cf566: A Dynamic Analysis of the Bank of Japan’s ETF/REIT Purchase Program (Forthcoming in "Expert Systems With Applications")

Daiya Mita, Kiyohiko G. Nishimura, Taiga Saito and Akihiko Takahashi

cf565: Oligopolistic Competition, Price Rigidity, and Monetary Policy

Kozo Ueda and Kota Watanabe

cf564: A lower bound for the volatility swap in the lognormal SABR model "Forthcoming in Axioms"

Elisa Alòs, Frido Rolloos and Kenichiro Shiraya

cf563: 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

cf562: 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

cf561: Multi-Agent Model Based Proactive Risk Management For Equity Investment (Forthcoming in "Engineering Applications of Artificial Intelligence")

Daiya Mita and Akihiko Takahashi

cf560: 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

cf559: Mean-field equilibrium price formation with exponential utility

Masaaki Fujii and Masashi Sekine

cf558: Optimal Loan Portfolio under Regulatory and Internal Constraints "Forthcoming in International Journal of Financial Engineering"

Makoto Okawara and Akihiko Takahashi

cf557: Online supplement for "Equilibrium multi-agent model with heterogeneous views on fundamental risks"

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf556: Free-Rider Problem and Commitment

Hitoshi Matsushima

cf555: Macroeconomic Effects of Monetary Policy in Japan: An Analysis Using Interest Rate Futures Surprises

Hiroyuki Kubota and Mototsugu Shintani

cf554: Personal Guarantees on Bank Loans and SMEs’ CEO Succession

Takeo Hoshi and Yoko Shibuya

cf553: 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

cf552: The Demand for Money at the Zero Interest Rate Bound

Tsutomu Watanabe and Tomoyoshi Yabu

cf551: A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf550: Big data applications with theoretical models and social media in financial management

Taiga Saito and Shivam Gupta

cf549: Honesty and Epistemological Implementation of Social Choice Functions with Asymmetric Information

Hitoshi Matsushima

cf548: Honesty and Epistemological Implementation of Social Choice Functions with Asymmetric Information

Hitoshi Matsushima

cf547: 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

cf546: Heterogeneous Risk Attitudes and Waves of Infection

Daisuke Fujii, Taisuke Nakata and Takeshi Ojima

cf545: Equilibrium Pricing of Securities in the Co-presence of Cooperative and Non-cooperative Populations

Masaaki Fujii

cf544: Forward start volatility swaps in rough volatility models (Forthcoming in Asia-Pacific Financial Markets)

Elisa Alòs, Frido Rolloos and Kenichiro Shiraya

cf543: A state space modeling for proactive management in equity investment "Forthcoming in International Journal of Financial Engineering"

Akihiko Takahashi and Soichiro Takahashi

cf542: COVID-19 and Suicide in Japan

Quentin Batista, Daisuke Fujii, Taisuke Nakata and Takeki Sunakawa

cf541: 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

cf540: 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

cf539: 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

cf538: Going Cashless: Government’s Point Reward Program vs. COVID-19

Toshitaka Sekine, Toshiaki Shoji and Tsutomu Watanabe

cf537: Controlling Funds Allocation for the War: The Experience of Japan in the Late 1930s

Tetsuji Okazaki

cf536: Moments of Maximum of Lévy Processes: Application to Barrier and Lookback Option Pricing

Yuan Li, Kenichiro Shiraya, Yuji Umezawa and Akira Yamazaki

cf535: Estimating a Behavioral New Keynesian Model with the Zero Lower Bound

Yasuo Hirose, Hirokuni Iiboshi, Mototsugu Shintani and Kozo Ueda

cf534: Portfolio optimization with choice of a probability measure (forthcoming in proceedings of IEEE CIFEr 2022)

Taiga Saito and Akihiko Takahashi

cf533: 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

cf532: 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

cf531: FREE-RIDER PROBLEM AND SOVEREIGNTY PROTECTION

Hitoshi Matsushima

cf530: 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

cf529: Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium

Masaaki Fujii and Akihiko Takahashi

cf528: The Medium-Term Impacts of the Global Financial Crisis

Kenichi Ueda and Kei Uzui

cf527: Inference of Jumps Using Wavelet Variance

Heng Chen and Mototsugu Shintani

cf526: Price Stability of Cryptocurrencies as a Medium of Exchange

Tatsuru Kikuchi, Toranosuke Onishi and Kenichi Ueda

cf525: Going Cashless: Evidence from Japan’s Point Reward Program

Toshitaka Sekine, Toshiaki Shoji and Tsutomu Watanabe

cf524: Online Consumption During and After the COVID-19 Pandemic: Evidence from Japan

Tsutomu Watanabe and Yuki Omori

cf523: 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