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

Yumi Saita, Chihiro Shimizu and Tsutomu Watanabe

2013: Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method (Forthcoming in "International Journal of Theoretical and Applied Finance")

Hideyuki Tanaka and Toshihiro Yamada

2013: Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-

Masaaki Fujii and Akihiko Takahashi

2013: Role of Credit Default Swap in Bubbles and Crashes

Hitoshi Matsushima

2013: Auction Platform Design and the Linkage Principle

Wataru Tamura

2013: Optimal Monetary Policy and Transparency under Informational Friction

Wataru Tamura

2013: How Much Do Official Price Indexes Tell Us About Inflation?

Jessie Handbury, Tsutomu Watanabe and David Weinstein

2013: On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver

Akihiko Takahashi and Toshihiro Yamada

2013: Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003

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

Yoshiro Miwa

2013: An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach

Akihiko Takahashi and Toshihiro Yamada

2013: Pricing Bounds on Barrier Options (forthcoming in "Journal of Futures Markets")

Yukihiro Tsuzuki

2013: On the Optimal Super- and Sub-Hedging Strategies

Yukihiro Tsuzuki

2013: Bank’s regulation, asset portfolio choice of banks, and macroeconomic dynamics

Kosuke Aoki and Nao Sudo

2013: A Regime-Switching SVAR Analysis of Quantitative Easing

Fumio Hayashi and Junko Koeda

2013: Making Mean-Variance Hedging Implementable in a Partially Observable Market

Masaaki Fujii and Akihiko Takahashi

2013: Product Downsizing and Hidden Price Increases: Evidence from Japan's Deflationary Period

Satoshi Imai and Tsutomu Watanabe

2013: Semi-group Expansion for Pricing Barrier Options

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada

2013: A Robust Version of Convex Integral Functionals

Keita Owari

2013: Dark Sides of Patent Pools with Compulsory Independent Licensing

Akifumi Ishihara and Noriyuki Yanagawa

2013: On the Lebesgue Property of Monotone Convex Functions

Keita Owari

2013: International Trade and Capital Movement under Financial Imperfection

Taiji Furusawa and Noriyuki Yanagawa Taiji Furusawa

2013: Maximum Lebesgue Extension of Monotone Convex Functions

Keita Owari

2013: Why are product prices in online markets not converging?

Takayuki Mizuno and Tsutomu Watanabe

2013: Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices

Takaaki Ohnishi, Takayuki Mizuno, Chihiro Shimizu and Tsutomu Watanabe

2013: Note on an Extension of an Asymptotic Expansion Scheme

Akihiko Takahashi and Masashi Toda

2013: Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields

Junko Koeda

2013: Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering

Masaaki Fujii

2013: Abenomics and Asset Prices: Is It Case of Self-Fulfilling Expectations?

Kazuo Ueda

2013: Behavioral Approach to Repeated Games with Private Monitoring

Hitoshi Matsushima, Tomomi Tanaka and Tomohisa Toyama

2013: Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication

Akihiko Takahashi and Kyo Yamamoto

2013: Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data

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

Akihiko Takahashi and Yukihiro Tsuzuki

2012: Note on an Extension of an Asymptotic Expansion Scheme

Akihiko Takahashi and Masashi Toda

2012: An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada

2012: An FBSDE Approach to American Option Pricing with an Interacting Particle Method

Masaaki Fujii, Seisho Sato and Akihiko Takahashi

2012: High quality topic extraction from business news explains abnormal financial market volatility

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

2012: How Fast Are Prices in Japan Falling?

Satoshi Imai, Chihiro Shimizu and Tsutomu Watanabe

2012: The Emergence of Different Tail Exponents in the Distributions of Firm Size Variables

Atushi Ishikawa, Shouji Fujimotoa, Tsutomu Watanabe and Takayuki Mizuno

2012: Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity

Shin-ichi Fukuda

2012: Auctioneer's Discretion in Combinatorial Auctions

Hitoshi Matsushima

2012: Optimal Multiunit Exchange Design with Single-Dimensionality

Hitoshi Matsushima

2012: How Strongly Do "Financing Constraints" Affect Firm Behavior?: Japanese Corporate Investment since the Mid-1980s

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

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.)

Hitoshi Matsushima

2012: Role of Leverage in Bubbles and Crashes

Hitoshi Matsushima

2012: MAXIMUM LEBESGUE EXTENSION OF CONVEX RISK MEASURES

Keita Owari

2012: Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes

Hitoshi Matsushima

2012: Process Manipulation in Unique Implementation

Hitoshi Matsushima

2012: Inequalities in Japanese Economy during the Lost Decades

Nao Sudo, Michio Suzuki and Tomoaki Yamadai

2012: Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007

Kazuo Ueda

2012: The Boy Who Cried Bubble: Public Warnings Against Riding Bubbles

Yasushi Asako and Kozo Ueda

2012: Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility

Masaaki Fujii and Akihiko Takahashi

2012: Optimal Multiunit Exchange Design

Hitoshi Matsushima

2012: Exaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions

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

Masayoshi Hayashi

2012: APPLICATION OF THE KUSUOKA APPROXIMATION TO BARRIER OPTIONS

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

Akihiko Takahashi and Toshihiro Yamada

2012: On Approximation of the Solutions to Partial Differential Equations in Finance

Akihiko Takahashi and Toshihiro Yamada

2012: A General Computation Scheme for a High-Order Asymptotic Expansion Method

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

Masaaki Fujii and Akihiko Takahashi

2012: Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme

Akihiko Takahashi Masaaki Fujii

2012: Asset Bubbles and Bailouts

Tomohiro Hirano, Masaru Inaba and Noriyuki Yanagawa