no code implementations • 29 Feb 2024 • Tim Leung, Matthew Lorig, Yoshihiro Shirai
When vanilla options are available for each underlying asset, the optimal solution is related to the fixed points of a Lipschitz map.
no code implementations • 13 Jan 2023 • Yoshihiro Shirai
The purpose of this paper is to utilize statistical methodologies to infer from market prices of assets and their derivatives the magnitude of the set of a measure M that defines acceptance sets of risky future cash flows.
no code implementations • 12 Jan 2023 • Yoshihiro Shirai
A Levy-driven Ornstein-Uhlenbeck process is proposed to model the evolution of the risk-free rate and default intensities for the purpose of evaluating option contracts on a credit index.
no code implementations • 25 Oct 2022 • Yoshihiro Shirai
Based on the formulas found, we estimate the extreme measures in two cases.
