CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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cf358: A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Revised version of CARF-F-335; Forthcoming in Annals of Applied Probability")"

Akihiko Takahashi and Toshihiro Yamada

cf357: Optimal Mechanism Design: Type-Independent Preference Orderings (Published in the Japanese Economic Review 69 (4), 2018.)

Hitoshi Matsushima

cf356: Asymptotic Expansion Approach in Finance

Akihiko Takahashi

cf355: Price Impacts of Imperfect Collateralization

Kenichiro Shiraya and Akihiko Takahashi

cf354: MULTI-BELIEF RATIONAL-EXPECTATIONS EQUILIBRIA: INDETERMINACY, COMPLEXITY AND SUSTAINED DEFLATION

Kiyohiko G. Nishimura and Hiroyuki Ozaki S

cf353: Buyer-Supplier Networks and Aggregate Volatility

Takayuki Mizuno, Wataru Souma and Tsutomu Watanabe

cf352: An FBSDE Approach to American Option Pricing with an Interacting Particle Method

Masaaki Fujii, Seisho Sato and Akihiko Takahashi

cf351: Working Less and Bargain Hunting More:Macro Implications of Sales during Japan's Lost Decades

Nao Sudo, Kozo Ueda, Kota Watanabe and Tsutomu Watanabe

cf350: A New Improvement Scheme for Approximation Methods of Probability Density Functions

Akihiko Takahashi and Yukihiro Tsuzuki

cf349: A Semi-group Expansion for Pricing Barrier Options

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada

cf348: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows

Masaaki Fujii and Akihiko Takahashi

cf347: On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- (Revised version of CARF-F-324; Forthcoming in "Mathematics of Operations Research", Revised in September 2014)

Akihiko Takahashi and Toshihiro Yamada

cf346: Beauty Contests and Fat Tails in Financial Markets

Makoto Nirei and Tsutomu Watanabe

cf345: Complexity of Payment Network

Hitoshi Hayakawa

cf344: Safe Asset Shortages and Asset Price Bubbles

Kosuke Aoki, Tomoyuki Nakajima and Kalin Nikolov

cf343: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing

Masaaki Fujii

cf342: We construct a Törnqvist daily price index using Japanese point of sale (POS) scannerdata spanning from 1988 to 2013. We find the following. First, the POS based inflation rate tends to be about 0.5 percentage points lower than the CPI inflation rate, although the difference between the two varies over time. Second, the difference between the two measures is greatest from 1992 to 1994, when, following the burst of bubble economy in 1991, the POS inflation rate drops rapidly and turns negative in June 1992, while the CPI inflation rate remains positive until summer 1994. Third, the standard deviation of daily POS inflation is 1.1 percent compared to a standard deviation for the monthly change in the CPI of 0.2 percent, indicating that daily POS inflation is much more volatile, mainly due to frequent switching between regular and sale prices. We show that the volatility in daily inflation can be reduced by more than 2daily inflation rate 0 percent by trimming the tails of product-level price change distributions. Finally, if we measure price changes from one day to the next and construct a chained Törnqvist index, a strong chain drift arises so that the chained price index falls to 10-10 of the base value over the 25-year sample period, which is equivalent to an annual deflation rate of 60 percent. We provide evidence suggesting that one source of the chain drift is fluctuations in sales quantity before, during, and after a sale period

Kota Watanabe and Tsutomu Watanabe

cf341: A New Improvement Scheme for Approximation Methods of Probability Density Functions

Akihiko Takahashi and Yukihiro Tsuzuki

cf340: Speculative Attacks with Multiple Targets

Junichi Fujimoto

cf339: The Structure and Evolution of Buyer-Supplier Networks

Takayuki Mizuno, Wataru Souma and Tsutomu Watanabe

cf338: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows

Masaaki Fujii and Akihiko Takahashi

cf337: LIQUIDITY PREFERENCE AND KNIGHTIAN UNCERTAINTY

Kiyohiko G. Nishimura and Hiroyuki Ozaki

cf336: Pricing Basket Options under Local Stochastic Volatility with Jumps

Kenichiro Shiraya and Akihiko Takahashi

cf335: A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights

Akihiko Takahashi and Toshihiro Yamada

cf334: Aging and Real Estate Prices: Evidence from Japanese and US Regional Data

Yumi Saita, Chihiro Shimizu and Tsutomu Watanabe

cf333: 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

cf332: Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-

Masaaki Fujii and Akihiko Takahashi

cf331: Role of Credit Default Swap in Bubbles and Crashes

Hitoshi Matsushima

cf330: Auction Platform Design and the Linkage Principle

Wataru Tamura

cf329: Optimal Monetary Policy and Transparency under Informational Friction

Wataru Tamura

cf328: How Much Do Official Price Indexes Tell Us About Inflation?

Jessie Handbury, Tsutomu Watanabe and David Weinstein

cf327: Do Wild Fluctuations in Quarterly Inventory Investment Data Matter?: A Study of Japanese GDP Statistics, 1994-2010

Yoshiro Miwa

cf326: On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver

Akihiko Takahashi and Toshihiro Yamada

cf325: Pricing Bounds on Barrier Options (forthcoming in "Journal of Futures Markets")

Yukihiro Tsuzuki

cf324: On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-

Akihiko Takahashi and Toshihiro Yamada

cf323: Bank’s regulation, asset portfolio choice of banks, and macroeconomic dynamics

Kosuke Aoki and Nao Sudo

cf322: A Regime-Switching SVAR Analysis of Quantitative Easing

Fumio Hayashi and Junko Koeda

cf321: Making Mean-Variance Hedging Implementable in a Partially Observable Market

Masaaki Fujii and Akihiko Takahashi

cf320: Product Downsizing and Hidden Price Increases: Evidence from Japan's Deflationary Period

Satoshi Imai and Tsutomu Watanabe

cf319: A Robust Version of Convex Integral Functionals

Keita Owari

cf318: Dark Sides of Patent Pools with Compulsory Independent Licensing

Akifumi Ishihara and Noriyuki Yanagawa

cf317: On the Lebesgue Property of Monotone Convex Functions

Keita Owari

cf316: International Trade and Capital Movement under Financial Imperfection

Taiji Furusawa and Noriyuki Yanagawa Taiji Furusawa

cf315: Maximum Lebesgue Extension of Monotone Convex Functions

Keita Owari

cf314: Why are product prices in online markets not converging?

Takayuki Mizuno and Tsutomu Watanabe

cf313: 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

cf312: Note on an Extension of an Asymptotic Expansion Scheme

Akihiko Takahashi and Masashi Toda

cf311: Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering

Masaaki Fujii

cf310: Abenomics and Asset Prices: Is It Case of Self-Fulfilling Expectations?

Kazuo Ueda

cf309: Behavioral Approach to Repeated Games with Private Monitoring

Hitoshi Matsushima, Tomomi Tanaka and Tomohisa Toyama