44 citations · 231 across the 45 of their papers we have counts for
4 papers · 1 filter
American Step-Up and Step-Down Default Swaps under Levy Models
Tim Siu-Tang Leung, Kazutoshi Yamazaki
This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These…
Solving Optimal Dividend Problems via Phase-type Fitting Approximation of Scale Functions
Masahiko Egami, Kazutoshi Yamazaki
The optimal dividend problem by De Finetti (1957) has been recently generalized to the spectrally negative Lévy model where the implementation of optimal strategies draws upon the…
Phase-type fitting of scale functions for spectrally negative Levy processes
Masahiko Egami, Kazutoshi Yamazaki
We study the scale function of the spectrally negative phase-type Levy process. Its scale function admits an analytical expression and so do a number of its fluctuation identities.…
Precautionary Measures for Credit Risk Management in Jump Models
Masahiko Egami, Kazutoshi Yamazaki
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected an…