3 papers
q-fin.MF2026
Estimating the Stochastic Discount Factor from Option Prices and Predicting the Equity Premium
Kenichiro Shiraya, Tomohisa Yamakami, Akira Yamazaki
This paper proposes a stochastic discount factor (SDF) scaled by time-varying volatility. By utilizing prices and market data implied solely from S\&P 500 options, the proposed fra…
q-fin.MF2025
Rough SABR Forward Market Model
Reo Adachi, Masaaki Fukasawa, Naoki Iida +4
This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic…
q-fin.ST2024
New approaches of the DCC-GARCH residual: Application to foreign exchange rates
Kenichiro Shiraya, Kanji Suzuki, Tomohisa Yamakami
Two formulations are proposed to filter out correlations in the residuals of the multivariate GARCH model. The first approach is to estimate the correlation matrix as a parameter a…