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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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2013: Aging and Real Estate Prices: Evidence from Japanese and US Regional Data Downloads
Yumi Saita, Chihiro Shimizu and Tsutomu Watanabe
2013: Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method Downloads
Hideyuki Tanaka and Toshihiro Yamada
2013: Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates- Downloads
Masaaki Fujii and Akihiko Takahashi
2013: Role of Credit Default Swap in Bubbles and Crashes Downloads
Hitoshi Matsushima
2013: Auction Platform Design and the Linkage Principle Downloads
Wataru Tamura
2013: Optimal Monetary Policy and Transparency under Informational Friction Downloads
Wataru Tamura
2013: How Much Do Official Price Indexes Tell Us About Inflation? Downloads
Jessie Handbury, Tsutomu Watanabe and David Weinstein
2013: On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver Downloads
Akihiko Takahashi and Toshihiro Yamada
2013: Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003 Downloads
Hiroyuki Kasahara, Katsumi Shimotsu and Michio Suzuki
2013: Do Wild Fluctuations in Quarterly Inventory Investment Data Matter?: A Study of Japanese GDP Statistics, 1994-2010 Downloads
Yoshiro Miwa
2013: An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach Downloads
Akihiko Takahashi and Toshihiro Yamada
2013: Pricing Bounds on Barrier Options (forthcoming in "Journal of Futures Markets") Downloads
Yukihiro Tsuzuki
2013: On the Optimal Super- and Sub-Hedging Strategies Downloads
Yukihiro Tsuzuki
2013: Bank’s regulation, asset portfolio choice of banks, and macroeconomic dynamics Downloads
Kosuke Aoki and Nao Sudo
2013: A Regime-Switching SVAR Analysis of Quantitative Easing Downloads
Fumio Hayashi and Junko Koeda
2013: Making Mean-Variance Hedging Implementable in a Partially Observable Market Downloads
Masaaki Fujii and Akihiko Takahashi
2013: Product Downsizing and Hidden Price Increases: Evidence from Japan's Deflationary Period Downloads
Satoshi Imai and Tsutomu Watanabe
2013: Semi-group Expansion for Pricing Barrier Options Downloads
Takashi Kato, Akihiko Takahashi and Toshihiro Yamada
2013: A Robust Version of Convex Integral Functionals Downloads
Keita Owari
2013: Dark Sides of Patent Pools with Compulsory Independent Licensing Downloads
Akifumi Ishihara and Noriyuki Yanagawa
2013: On the Lebesgue Property of Monotone Convex Functions Downloads
Keita Owari
2013: International Trade and Capital Movement under Financial Imperfection Downloads
Taiji Furusawa and Noriyuki Yanagawa Taiji Furusawa
2013: Maximum Lebesgue Extension of Monotone Convex Functions Downloads
Keita Owari
2013: Why are product prices in online markets not converging? Downloads
Takayuki Mizuno and Tsutomu Watanabe
2013: Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices Downloads
Takaaki Ohnishi, Takayuki Mizuno, Chihiro Shimizu and Tsutomu Watanabe
2013: Note on an Extension of an Asymptotic Expansion Scheme Downloads
Akihiko Takahashi and Masashi Toda
2013: Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields Downloads
Junko Koeda
2013: Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering Downloads
Masaaki Fujii
2013: Abenomics and Asset Prices: Is It Case of Self-Fulfilling Expectations? Downloads
Kazuo Ueda
2013: Behavioral Approach to Repeated Games with Private Monitoring Downloads
Hitoshi Matsushima, Tomomi Tanaka and Tomohisa Toyama
2013: Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication Downloads
Akihiko Takahashi and Kyo Yamamoto
2013: Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data Downloads
C. Shimizu, Walter Diewert, K. G. Nishimura and T. Watanabe
2013: Impact of Financial Regulation and Innovation on Bubbles and Crashes due to Limited Arbitrage: Awareness Heterogeneity
Hitoshi Matsushima
2013: A New Improvement Scheme for Approximation Methods of Probability Density Functions Downloads
Akihiko Takahashi and Yukihiro Tsuzuki
2012: Note on an Extension of an Asymptotic Expansion Scheme Downloads
Akihiko Takahashi and Masashi Toda
2012: An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model Downloads
Takashi Kato, Akihiko Takahashi and Toshihiro Yamada
2012: An FBSDE Approach to American Option Pricing with an Interacting Particle Method Downloads
Masaaki Fujii, Seisho Sato and Akihiko Takahashi
2012: High quality topic extraction from business news explains abnormal financial market volatility Downloads
Ryohei Hisano, Didier Sornette, Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe
2012: How Fast Are Prices in Japan Falling? Downloads
Satoshi Imai, Chihiro Shimizu and Tsutomu Watanabe
2012: The Emergence of Different Tail Exponents in the Distributions of Firm Size Variables Downloads
Atushi Ishikawa, Shouji Fujimotoa, Tsutomu Watanabe and Takayuki Mizuno
2012: Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity Downloads
Shin-ichi Fukuda
2012: Auctioneer's Discretion in Combinatorial Auctions Downloads
Hitoshi Matsushima
2012: Optimal Multiunit Exchange Design with Single-Dimensionality Downloads
Hitoshi Matsushima
2012: How Strongly Do "Financing Constraints" Affect Firm Behavior?: Japanese Corporate Investment since the Mid-1980s Downloads
Yoshiro Miwa
2012: Pricing Multi-Asset Cross Currency Options
Kenichiro Shiraya and Akihiko Takahashi
2012: Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering and other Problems Downloads
Masaaki Fujii
2012: Efficient Combinatorial Exchanges with Opt-Out Types (Revised version of CARF-F-258)(Published in the B. E. Journal of Theoretical Economics 19 (1), 2019.) Downloads
Hitoshi Matsushima
2012: Role of Leverage in Bubbles and Crashes Downloads
Hitoshi Matsushima
2012: MAXIMUM LEBESGUE EXTENSION OF CONVEX RISK MEASURES Downloads
Keita Owari
2012: Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes Downloads
Hitoshi Matsushima
2012: Process Manipulation in Unique Implementation Downloads
Hitoshi Matsushima
2012: Inequalities in Japanese Economy during the Lost Decades Downloads
Nao Sudo, Michio Suzuki and Tomoaki Yamadai
2012: Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007 Downloads
Kazuo Ueda
2012: The Boy Who Cried Bubble: Public Warnings Against Riding Bubbles Downloads
Yasushi Asako and Kozo Ueda
2012: Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility Downloads
Masaaki Fujii and Akihiko Takahashi
2012: Optimal Multiunit Exchange Design Downloads
Hitoshi Matsushima
2012: Exaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions Downloads
Kazuko Kano, Takashi Kano and Kazutaka Takechi
2012: Channels of Stabilization in a System of Local Public Health Insurance: The Case of the National Health Insurance in Japan Downloads
Masayoshi Hayashi
2012: APPLICATION OF THE KUSUOKA APPROXIMATION TO BARRIER OPTIONS Downloads
Shigeto Kusuoka, Mariko Ninomiya and Syoiti Ninomiya
2012: Pricing Multi-Asset Cross Currency Options
Kenichiro Shiraya and Akihiko Takahashi
2012: A Remark on Approximation of the Solutions to Partial Differential Equations in Finance Downloads
Akihiko Takahashi and Toshihiro Yamada
2012: On Approximation of the Solutions to Partial Differential Equations in Finance Downloads
Akihiko Takahashi and Toshihiro Yamada
2012: A General Computation Scheme for a High-Order Asymptotic Expansion Method Downloads
Akihiko Takahashi, Kohta Takehara and Masashi Toda
2012: Pricing Average Options on Commodities
Kenichiro Shiraya and Akihiko Takahashi
2012: Collateralized CDS and Default Dependence -Implications for the Central Clearing Downloads
Masaaki Fujii and Akihiko Takahashi
2012: Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme Downloads
Akihiko Takahashi Masaaki Fujii
2012: Asset Bubbles and Bailouts Downloads
Tomohiro Hirano, Masaru Inaba and Noriyuki Yanagawa
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