6 citations · 6 across the 6 of their papers we have counts for
6 papers
Minimizing Benchmark-Relative Drawdown Duration via Occupation Time Penalization
Jun Sekine, Marcus Wunsch
We study a continuous-time portfolio optimization problem in which an investor is evaluated relative to a non-replicable benchmark and seeks to control the persistence of benchmark…
Backward stochastic difference equations on lattices with application to market equilibrium analysis
Masaaki Fukasawa, Takashi Sato, Jun Sekine
We study backward stochastic difference equations (BSΔE) driven by a d-dimensional stochastic process on a lattice whose increments have only d + 1 possible values that generates t…
Notes on Backward Stochastic Differential Equations for Computing XVA
Jun Sekine, Akihiro Tanaka
The X-valuation adjustment (XVA) problem, which is a recent topic in mathematical finance, is considered and analyzed. First, the basic properties of backward stochastic differenti…
Stochastic Modelling with Randomised Markov Bridges
Andrea Macrina, Jun Sekine
We consider the filtering problem of estimating a hidden random variable by noisy observations. The noisy observation process is constructed by a randomised Markov bridge (RMB)…
A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
Takashi Kato, Jun Sekine, Hiromitsu Yamamoto
A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting spe…
Order Estimates for the Exact Lugannani-Rice Expansion
Takashi Kato, Jun Sekine, Kenichi Yoshikawa
The Lugannani-Rice formula is a saddlepoint approximation method for estimating the tail probability distribution function, which was originally studied for the sum of independent…