CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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cf420: Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability (Forthcoming in Stochastic Processes and their Applications)(revised version of CARF-F-395)

Masaaki Fujii and Akihiko Takahashi

cf419: On the effect of Bank of Japan's outright purchase on the JGB yield curve

Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi and Takami Tokioka

cf418: Hedging and Pricing Illiquid Options with Market Impacts (Forthcoming in International Journal of Financial Engineering)

Taiga Saito

cf417: Derivatives Pricing with Market Impact and Limit Order Book (Forthcoming in Automatica.)(Revised version of F-385)

Taiga Saito and Akihiko Takahashi

cf416: Dynamic Implementation, Verification, and Detection

Hitoshi Matsushima

cf415: Mechanism Design in Hidden Action and Hidden Information: Richness and Pure-VCG (Revised version of F-386)

Hitoshi Matsushima and Shunya Noda

cf414: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory (Revised version of F-381)

Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama

cf413: Robust technical trading with fuzzy knowledge-based systems (Forthcoming in "Frontiers in Artificial Intelligence and Applications".)

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf412: Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models Online Appendix

Kenichiro Shiraya and Akihiko Takahashi

cf411: Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-

Taiga Saito, Takanori Adachi, Teruo Nakatsuma, Akihiko Takahashi, Hiroshi Tsuda and Naoyuki Yoshino

cf410: Why Has Japan Failed to Escape from Deflation?

Kota Watanabe and Tsutomu Watanabe

cf409: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers

Masaaki Fujii and Akihiko Takahashi

cf408: Price Rigidity at Near-Zero Inflation Rates: Evidence from Japan

Kota Watanabe and Tsutomu Watanabe

cf407: Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach

Elisa Alos and Kenichiro Shiraya

cf406: Creating Investment Scheme with State Space Modeling

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf405: Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection (Subsequently published in "Knowledge-Based Systems")

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf404: Portfolio Choice and Its Predictions on Japanese Municipalities in the 2040s

Yoshihiro Tamai, Chihiro Shimizu and Kiyohiko G. Nishimura

cf403: Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection (Forthcoming in "Expert Systems With Applications")

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf402: Predicting accounting fraud: Evidence from Japan (Accepted by The Japanese Accounting Review)

Song Mingzi, Naoto Oshiro and Akinobu Shuto

cf401: Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar

Shin-ichi Fukuda and Mariko Tanaka

cf400: Product Turnover and Deflation: Evidence from Japan

Kozo Ueda, Kota Watanabe and Tsutomu Watanabe

cf399: The Effect of Bank Recapitalization Policy on Corporate Investment: Evidence from a Banking Crisis in Japan

Hiroyuki Kasahara, Yasuyuki Sawada and Michio Suzuki

cf398: Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions(Revised version of CARF-F-387)

Masaaki Fujii and Akihiko Takahashi

cf397: An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models (Forthcoming in International Journal of Theoretical and Applied Finance.)

Kenichiro Shiraya

cf396: Monopoly Rights and Economic Growth: An Inverted U-Shaped Relation

Kenichi Ueda and Stijn Claessen

cf395: Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability (revised version of CARF-F-376)

Masaaki Fujii and Akihiko Takahashi

cf394: An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Forthcoming in Asia-Pacific Financial Markets)

Akihiko Takahashi and Toshihiro Yamada

cf393: Who buys what, where: Reconstruction of the international trade flows by commodity and industry

Yuichi Ikeda and Tsutomu Watanabe

cf392: Power laws in market capitalization during the Dot-com and Shanghai bubble periods

Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe

cf391: A Return Prediction-based Investment with Particle Filtering and Anomaly Detection

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf390: Abenomics after Four Years: Formidable Challenges ahead with Limited Policy Tools

Kazuo Ueda

cf389: The gradual evolution of buyer-seller networks and their role in aggregate fluctuations

Ryohei Hisano, Tsutomu Watanabe, Takayuki Mizuno, Takaaki Ohnishi and Didier Sornette

cf388: The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience

Jess Diamond, Kota Watanabe and Tsutomu Watanabe

cf387: Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions

Masaaki Fujii and Akihiko Takahashi

cf386: Mechanism Design in Hidden Action and Hidden Information: Richness and Pure Groves

Hitoshi Matsushima and Shunya Noda

cf385: Derivatives Pricing with Market Impact and Limit Order Book

Taiga Saito and Akihiko Takahashi

cf384: Rebalancing Static Super-Replications (Forthcoming in International Journal of Financial Engineering)

Akihiko Takahashi and Yukihiro Tsuzuki

cf383: This paper proposes a new approach to style analysis of mutual funds in a general state space framework with particle filtering and generalized simulated annealing (GSA). Speci cally, we regard the ex-posure of each style index as a latent state variable in a state space model and employ a Monte Carlo filter as a particle filtering method, where GSA is effectively applied to estimating unknown parameters. An empirical analysis using data of three Japanese equity mu- tual funds with six standard style indexes con rms the validity of our method. Moreover, we create fund-specific style indexes to further improves estimation in the analysis

Takaya Fukui, Seisho Sato and Akihiko Takahashi

cf382: A General Control Variate Method for Multi-dimensional SDEs: An Application to Multi-asset Options under Local Stochastic Volatility with Jumps Models in Finance (Subsequently published in "European Journal of Operational Research")

Kenichiro Shiraya and Akihiko Takahashi

cf381: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory

Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama

cf380: Optimal Room Charge and Expected Sales under Discrete Choice Models with Limited Capacity (Forthcoming in "International Journal of Hospitality Management")

Taiga Saito, Akihiko Takahashi and Hiroshi Tsuda

cf379: Three "Seismic Shifts" in the Global Economy and Policy Challenges

Kiyohiko G. Nishimura

cf378: A General Framework for the Benchmark pricing in a Fully Collateralized Market (formerly titled as "Choice of Collateral Currecy Updated" carf-f-371; Forthcoming in Journal of Financial Engineering)

Masaaki Fujii and Akihiko Takahashi

cf377: An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models (Forthcoming in Stochastics)

Kenichiro Shiraya and Akihiko Takahashi

cf376: Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability

Masaaki Fujii and Akihiko Takahashi

cf375: Price Impacts of Imperfect Collateralization (Revised version of CARF-F-355; Subsequently published in "International Journal of Financial Engineering")

Kenichiro Shiraya and Akihiko Takahashi

cf374: Financial Disintermediation and Financial Fragility

Kosuke Aoki and Kalin Nikolov

cf373: Currency intervention and the global portfolio balance effect: Japanese lessons

Petra Gerlach-Kristen, Robert McCauley and Kazuo Ueda

cf372: Asymptotic Expansion for Forward-Backward SDEs

Masaaki Fujii and Akihiko Takahashi

cf371: Choice of Collateral Currency Updated -A market model for the benchmark pricing-

Masaaki Fujii and Akihiko Takahashi