CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
Contact information at EDIRC.
Bibliographic data for series maintained by ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

cf258: Efficient Combinatorial Exchanges

Hitoshi Matsushima

cf257: ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION(Revised in March 2012, Forthcoming in "Mathematics and Financial Economics")

Keita Owari

cf256: An Asymptotic Expansion with Push-Down of Malliavin Weights

Akihiko Takahashi and Toshihiro Yamada

cf255: Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models

Kenichiro Shiraya, Akihiko Takahashi and Akira Yamazaki

cf254: Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective

Junko Koeda

cf253: Bubbles, Banks, and Financial Stability

Kosuke Aoki and Kalin Nikolov

cf252: The Effectiveness of Non-traditional Monetary Policy Measures: The Case of the Bank of Japan

Kazuo Ueda

cf251: Are Japanese Firms Becoming More Independent from Their Banks?: Evidence from the Firm-Level Data of the "Corporate Enterprise Quarterly Statistics," 1994-2009

Yoshiro Miwa

cf250: Interbank Networks in Prewar Japan: Structure and Implications

Tetsuji Okazaki and Michiru Sawada

cf249: On Approximation of the Solutions to Partial Differential Equations in Finance

Akihiko Takahashi and Toshihiro Yamada

cf248: Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme

Masaaki Fujii and Akihiko Takahashi

cf247: Democracy and Reforms: Evidence from a New Dataset

Paola Giuliano, Prachi Mishra and Antonio Spilimbergo

cf246: Collateralized CDS and Default Dependence -Implications for the Central Clearing-

Masaaki Fujii and Akihiko Takahashi

cf245: Rebalancing Static Super-Replications

Akihiko Takahashi and Yukihiro Tsuzuki

cf244: Investment and Ultimatum Games: Experiments

Hitoshi Matsushima and Toshihiko Shima

cf243: Exclusive Dealing Contracts by Distributors

Ryoko Oki and Noriyuki Yanagawa

cf242: A General Computation Scheme for a High-Order Asymptotic Expansion Method

Akihiko Takahashi, Kohta Takehara and Masashi Toda

cf241: A Study of Financing Behavior of Japanese Firms with Firm-Level Data from Corporate Enterprise Quarterly Statistics - 1994~2009: Introduction and Summary

Yoshiro Miwa

cf240: Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA

Masaaki Fujii and Akihiko Takahashi

cf239: Choice of Collateral Currency

Masaaki Fujii and Akihiko Takahashi

cf238: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments

Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki

cf237: How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited

Junko Koeda

cf236: Japan's Bubble, America's Bubble and China's Bubble

Kazuo Ueda

cf235: Japan's Deflation and the Bank of Japan's Experience with Non-traditional Monetary Policy

Kazuo Ueda

cf234: Financial Institution, Asset Bubbles and Economic Performance

Tomohiro Hirano and Noriyuki Yanagawa

cf233: Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement

Taiji Furusawa and Noriyuki Yanagawa

cf232: Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints

Kazuya Kamiya and Takashi Shimizu

cf231: Exaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions

Kazuko Kano, Takashi Kano and Kazutaka Takechi

cf230: Modeling of Interest Rate Term Structures under Collateralization and its Implications

Masaaki Fujii and Akihiko Takahashi

cf229: Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London

Shin-ichi Fukuda

cf228: On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise

Naoto Kunitomo and Seisho Sato

cf227: Financing Harmful Bubbles

Hitoshi Matsushima

cf226: Core-Selecting Auctions: An Experimental Study

Eiichiro Kazumori

cf225: APPLICATION OF A HIGH-ORDER ASYMPTOTIC EXPANSION SCHEME TO LONG-TERM CURRENCY OPTIONS

Kohta Takehara, Masashi Toda and Akihiko Takahashi

cf224: Why Did ?Zombie? Firms Recover in Japan?

Shin-ichi Fukuda and Jun-Ichi Nakamura

cf223: Asset Bubbles, Endogenous Growth, and Financial Frictions

Tomohiro Hirano and Noriyuki Yanagawa

cf222: Exclusive Dealing and the Market Power of Buyers

Ryoko Oki and Noriyuki Yanagawa

cf221: Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors

Tsunehiro Ishihara and Yasuhiro Omori