1 citations · 1 across the 5 of their papers we have counts for
5 papers
Optimal positioning in derivative securities in incomplete markets
Tim Leung, Matthew Lorig, Yoshihiro Shirai
This paper analyzes a problem of optimal static hedging using derivatives in incomplete markets. The investor is assumed to have a risk exposure to two underlying assets. The hedgi…
Acceptable Bilateral Gamma Parameters
Yoshihiro Shirai
The purpose of this paper is to utilize statistical methodologies to infer from market prices of assets and their derivatives the magnitude of the set of a measure M that defines a…
A Levy-driven Ornstein-Uhlenbeck process for the valuation of credit index swaptions
Yoshihiro Shirai
A Levy-driven Ornstein-Uhlenbeck process is proposed to model the evolution of the risk-free rate and default intensities for the purpose of evaluating option contracts on a credit…
Extreme Measures in Continuous Time Conic Finace
Yoshihiro Shirai
Dynamic spectral risk measures define a claim's valuation bounds as supremum and infimum of expectations of the claim's payoff over a dominated set of measures. The measures at whi…
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
Tim Leung, Yoshihiro Shirai
This paper studies the risk-adjusted optimal timing to liquidate an option at the prevailing market price. In addition to maximizing the expected discounted return from option sale…