CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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cf308: Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication

Akihiko Takahashi and Kyo Yamamoto

cf307: Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data

C. Shimizu, Walter Diewert, K. G. Nishimura and T. Watanabe

cf306: Impact of Financial Regulation and Innovation on Bubbles and Crashes due to Limited Arbitrage: Awareness Heterogeneity

Hitoshi Matsushima

cf305: A New Improvement Scheme for Approximation Methods of Probability Density Functions

Akihiko Takahashi and Yukihiro Tsuzuki

cf304: An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada

cf303: Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields

Junko Koeda

cf302: An FBSDE Approach to American Option Pricing with an Interacting Particle Method

Masaaki Fujii, Seisho Sato and Akihiko Takahashi

cf301: Process Manipulation in Unique Implementation

Hitoshi Matsushima

cf300: On the Optimal Super- and Sub-Hedging Strategies

Yukihiro Tsuzuki

cf299: High quality topic extraction from business news explains abnormal financial market volatility

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

cf298: How Fast Are Prices in Japan Falling?

Satoshi Imai, Chihiro Shimizu and Tsutomu Watanabe

cf297: The Emergence of Different Tail Exponents in the Distributions of Firm Size Variables

Atushi Ishikawa, Shouji Fujimotoa, Tsutomu Watanabe and Takayuki Mizuno

cf296: An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach

Akihiko Takahashi and Toshihiro Yamada

cf295: Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity

Shin-ichi Fukuda

cf294: 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

cf293: Auctioneer's Discretion in Combinatorial Auctions

Hitoshi Matsushima

cf292: Optimal Multiunit Exchange Design with Single-Dimensionality

Hitoshi Matsushima

cf291: How Strongly Do "Financing Constraints" Affect Firm Behavior?: Japanese Corporate Investment since the Mid-1980s

Yoshiro Miwa

cf290: Pricing Multi-Asset Cross Currency Options

Kenichiro Shiraya and Akihiko Takahashi

cf289: Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering and other Problems

Masaaki Fujii

cf288: Role of Leverage in Bubbles and Crashes

Hitoshi Matsushima

cf287: MAXIMUM LEBESGUE EXTENSION OF CONVEX RISK MEASURES

Keita Owari

cf286: Note on an Extension of an Asymptotic Expansion Scheme

Akihiko Takahashi and Masashi Toda

cf285: Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes

Hitoshi Matsushima

cf284: Inequalities in Japanese Economy during the Lost Decades

Nao Sudo, Michio Suzuki and Tomoaki Yamadai

cf283: Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007

Kazuo Ueda

cf282: The Boy Who Cried Bubble: Public Warnings Against Riding Bubbles

Yasushi Asako and Kozo Ueda

cf281: Collateralized CDS and Default Dependence -Implications for the Central Clearing

Masaaki Fujii and Akihiko Takahashi

cf280: Channels of Stabilization in a System of Local Public Health Insurance: The Case of the National Health Insurance in Japan

Masayoshi Hayashi

cf279: Optimal Multiunit Exchange Design

Hitoshi Matsushima

cf278: Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method

Masaaki Fujii and Akihiko Takahashi

cf277: APPLICATION OF THE KUSUOKA APPROXIMATION TO BARRIER OPTIONS

Shigeto Kusuoka, Mariko Ninomiya and Syoiti Ninomiya

cf276: Pricing Multi-Asset Cross Currency Options

Kenichiro Shiraya and Akihiko Takahashi

cf275: Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003

Hiroyuki Kasahara, Katsumi Shimotsu and Michio Suzuki

cf274: SDE WEAK APPROXIMATION LIBRARY (SDE WA) (VERSION 1.0)

Mariko Ninomiya

cf273: A Remark on Approximation of the Solutions to Partial Differential Equations in Finance

Akihiko Takahashi and Toshihiro Yamada

cf272: A General Computation Scheme for a High-Order Asymptotic Expansion Method

Akihiko Takahashi, Kohta Takehara and Masashi Toda

cf271: Semi-group Expansion for Pricing Barrier Options

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada

cf270: Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility

Masaaki Fujii and Akihiko Takahashi

cf269: Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme

Akihiko Takahashi Masaaki Fujii

cf268: Asset Bubbles and Bailouts

Tomohiro Hirano, Masaru Inaba and Noriyuki Yanagawa

cf267: Speculative Attacks with Multiple Targets

Junichi Fujimoto

cf266: The Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004

Tsutomu Watanabe and Tomoyoshi Yabu

cf265: Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA

Masaaki Fujii and Akihiko Takahashi

cf264: Currency intervention and the global portfolio balance effect: Japanese and Swiss lessons, 2003-2004 and 2009-2010

Petra Gerlach-Kristen, Robert McCauley and Kazuo Ueda

cf263: POWER LAWS IN REAL ESTATE PRICES DURING BUBBLE PERIODS

Takaaki Ohnishi, Takayuki Mizuno, Chihiro Shimizu and Tsutomu Watanabe

cf262: Temporal and Cross Correlations in Business News

Takayuki Mizuno, Kazumasa Takei, Takaaki Ohnishi and Tsutomu Watanabe

cf261: Price-Based Combinatorial Auction: Connectedness and Representative Valuations

Hitoshi Matsushima

cf260: Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)-

Akihiko Takahashi Masaaki Fujii

cf259: Japan's Deleveraging since the 1990s and the Bank of Japan's Monetary Policy: Some Comparisons with the U.S. Experience since 2007

Kazuo Ueda