1 citations · 2 across the 4 of their papers we have counts for
4 papers
On Decomposition of the Last Passage Time of Diffusions
Masahiko Egami, Rusudan Kevkhishvili
For a regular transient diffusion, we provide a decomposition of its last passage time to a certain state . This is accomplished by transforming the original diffusion into two…
Loss-Given-Default Modeling by Post-Last Passage Time Process
Masahiko Egami, Rusudan Kevkhishvili
This study proposes a stochastic model for loss-given-default (LGD) which provides the LGD distribution based on credit market and company-specific financial conditions. The model…
A Direct Solution Method for Pricing Options in Regime-switching Models
Masahiko Egami, Rusudan Kevkhishvili
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assum…
Time Reversal and Last Passage Time of Diffusions with Applications to Credit Risk Management
Masahiko Egami, Rusudan Kevkhishvili
We study time reversal, last passage time, and -transform of linear diffusions. For general diffusions with killing, we obtain the probability density of the last passage time t…