3 papers
math.PR2020
On distributional and asymptotic results for exponential functional of renewal -- reward processes describing risk models
J. Akahori, C. Constantinescu, Y. Imamura +1
Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash…
q-fin.PR2018
Asymptotic Static Hedge via Symmetrization
Jiro Akahori, Flavia Barsotti, Yuri Imamura
This paper is a continuation of Akahori-Barsotti-Imamura (2017) and where the authors i) showed that a payment at a random time, which we call timing risk, is decomposed into an in…
q-fin.CP2017
Towards the Exact Simulation Using Hyperbolic Brownian Motion
Yuuki Ida, Yuri Imamura
In the present paper, an expansion of the transition density of Hyperbolic Brownian motion with drift is given, which is potentially useful for pricing and hedging of options under…