15 citations · 48 across the 12 of their papers we have counts for
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q-fin.TR2011★ 5 cited
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…
q-fin.RM2011★ 3 cited
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…