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信用リスクの計量化とその応用に関する総合的研究

信用リスクの計量化とその応用に関する総合的研究
Paper図書
仁科一彦, 大阪大学 [著][仁科一彦]2001-2003<Y151-H13430025>
National Diet Library
  • Subject Headingimplied volatility / 遺伝アルゴリズム / メタ・ヒューリスティック / 確...

Accumulation of Foreign Currency Reserves and Risk-taking

Accumulation of Foreign Currency Reserves and Risk-taking
Digital文書・図像類
Fatum, Rasmus, Yetman, JamesHitotsubashi Institute for Advanced Study, Hitotsubashi University2019-09
Available onlineOther Libraries in Japan
  • Subject HeadingForeign exchange reserves risk-taking implied volatility credit default swaps

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Digital文書・図像類
Ishida, Isao, McAleer, Michael, Oya, KosukeInstitute of Economic Research, Kyoto University2011-02KIER Discussion Paper759
Available onlineOther Libraries in Japan
  • Subject HeadingContinuous time high frequency data stochastic volatility S&P 500 implied volatility VIX

An Asymptotic Expansion with Push-Down of Malliavin Weights

An Asymptotic Expansion with Push-Down of Malliavin Weights
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2011-11Discussion paper series. CIRJE-FCIRJE-F-824
Other Libraries in Japan
  • Subject Heading...tic volatility Implied volatility Shifted log-normal model Jump...

An Asymptotic Expansion with Push-Down of Malliavin Weights

An Asymptotic Expansion with Push-Down of Malliavin Weights
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-695
Other Libraries in Japan
  • Subject Heading...tic volatility Implied volatility Local volatility Shifted log-...

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