96 citations · 111 across the 6 of their papers we have counts for
8 papers
Two-Factor Hull-White Model Revisited: Correlation Structure for Two-Factor Interest Rate Model in CVA Calculation
Osamu Tsuchiya
The development of credit valuation adjustment (CVA) (valuation adjustments [XVA]) [Green] has increased the importance of simple interest rate models such as the Hull-White model…
SABR Type Libor (Forward) Market Model (SABR/LMM) with time-dependent skew and smile
Osamu Tsuchiya
Volatility Skew and Smile of Interest Rate products (Swaption and Caplet) are represented by SABR (Stochastic Alpha Beta Rho model). So, the Interest Rate derivatives model for pri…
Integrable Impurity Model with Spin and Flavour: Model Inspired by Resonant Tunneling in Quantum Dot
Osamu Tsuchiya, Ikuo Ichinose, Yasuyuki Kayama
We introduce an integrable impurity model in which both electrons and impurity have spin and flavour degrees of freedom. This model is a generalization of the multi-channel Kondo m…
Determinant formula for the six-vertex model with reflecting end
O. Tsuchiya
Using the Quantum Inverse Scattering Method for the XXZ model with open boundary conditions, we obtained the determinant formula for the six vertex model with reflecting end.
Boundary bound states for the open Hubbard chain with boundary fields
Osamu Tsuchiya, Takashi Yamamoto
The boundary effects in the open Hubbard chain with boundary fields are studied. The boundary string solutions of the Bethe ansatz equations that give rise to a wave functions loca…
Boundary S matrices for the open Hubbard chain with boundary fields
Osamu Tsuchiya
Using the method introduced by Grisaru et al., boundary S matrices for the physical excitations of the open Hubbard chain with boundary fields are studied. In contrast to the open…