5 papers
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…
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…
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…
Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility
Kenichiro Shiraya, Tomohisa Yamakami
Copulas are used to construct joint distributions in many areas. In some problems, it is necessary to deal with correlation structures that are more complicated than the commonly k…
Pricing Bermudan Swaption under Two Factor Hull-White Model with Fast Gauss Transform
Tomohisa Yamakami, Yuki Takeuchi
This paper describes a fast and stable algorithm for evaluating Bermudan swaption under the two factor Hull-White model. We discretize the calculation of the expected value in the…