1 citations · 1 across the 5 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
q-fin.MF2023★ 1 cited
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…
q-fin.PR2023
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…