3 citations · 7 across the 8 of their papers we have counts for
8 papers
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…
Carr-Nadtochiy's Weak Reflection Principle for Markov Chains on
Yuri Imamura
The present paper establishes a discrete version of the result obtained by P. Carr and S. Nadtochiy (2011) for 1-dimensional diffusion processes. Our result is for Markov chains on…
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…
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…
The Value of Timing Risk
Jiro Akahori, Flavia Barsotti, Yuri Imamura
The aim of this paper is to provide a mathematical contribution on the semi-static hedge of timing risk associated to positions in American-style options under a multi-dimensional…
On a Symmetrization of Diffusion Processes
Jiro Akahori, Yuri Imamura
The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion process.…