15 citations · 48 across the 12 of their papers we have counts for
15 papers
Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level
Takashi Kato
We study the asymptotic behavior of the difference as , where is a risk measure equipped with a confidence level parameter…
An Optimal Execution Problem with S-shaped Market Impact Functions
Takashi Kato
In this study, we extend the optimal execution problem with convex market impact function studied in Kato (2014) to the case where the market impact function is S-shaped, that is,…
An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model
Takashi Kato
In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for…
Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions
Takashi Kato
In this short note, we study an optimization problem of expected implementation shortfall (IS) cost under general shaped market impact functions. In particular, we find that an opt…
Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact
Kensuke Ishitani, Takashi Kato
This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market i…
VWAP Execution as an Optimal Strategy
Takashi Kato
The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almg…
A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
Takashi Kato, Jun Sekine, Hiromitsu Yamamoto
A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting spe…
Order Estimates for the Exact Lugannani-Rice Expansion
Takashi Kato, Jun Sekine, Kenichi Yoshikawa
The Lugannani-Rice formula is a saddlepoint approximation method for estimating the tail probability distribution function, which was originally studied for the sum of independent…
An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
Takashi Kato, Akihiko Takahashi, Toshihiro Yamada
This paper derives a new semi closed-form approximation formula for pricing an up-and-out barrier option under a certain type of stochastic volatility model including SABR model by…
Stock Price Fluctuations in an Agent-Based Model with Market Liquidity
Takashi Kato
We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discret…
Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact
Kensuke Ishitani, Takashi Kato
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execu…
A Semi-group Expansion for Pricing Barrier Options
Takashi Kato, Akihiko Takahashi, Toshihiro Yamada
This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-D…
An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process
Takashi Kato
We study an optimal execution problem in the presence of market impact where the security price follows a geometric Ornstein-Uhlenbeck process, which implies the mean-reverting pro…
Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
Takashi Kato
We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L+S) for heavy tailed random variables L and S for application in sensitivity analysis…
An Optimal Execution Problem with Market Impact
Takashi Kato
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate prope…