論文
公開件数:26件
No. 掲載種別 単著・共著区分 タイトル 著者 誌名 出版者 巻号頁 出版日 ISSN DOI URL 概要
1 研究論文(学術雑誌)
共著
Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
A. Kohatsu-Higa, A. Lejay, K. Yasuda
Journal of Computational and Applied Mathematics

326, 138-158
2017/12




2 研究論文(学術雑誌)
共著
Expected Exponential Utility Maximization of Insurers with a Linear Gaussian Stochastic Factor Model
H. Hata, K. Yasuda
Scandinavian Actuarial Journal

published/ online
2017/07




3 (MISC)会議報告等
共著
An Optimal Investment Strategy for Insurance Companies with a Linear Gaussian Stochastic Factor Model
畑 宏明, 安田 和弘
京都大学数理解析研究所講究録

2030, 143-150
2017/05




4 研究論文(学術雑誌)
共著
On Malliavin Sensitivity Analysis with Polynomial Growth Payoff Functions under the Black-Scholes Model
K. Yamamura, K. Yasuda
JSIAM Letters

9, 1-4
2017/02




5 研究論文(学術雑誌)
共著
On Classical and Restricted Impulse Stochastic Control for the Exchange Rate
G. Bertola, W.J. Runggaldier, K. Yasuda
Applied Mathematics & Optimization

74/ 2, 423-454
2016/10




6 研究論文(国際会議プロシーディングス)
共著
Numerical Comparisons of Expected Log-Utility Maximization Problem with a Factor Model under Several Situations
Y. Asakura, K. Yasuda
Proceedings of the 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings)

189-195
2016/05




7 研究論文(国際会議プロシーディングス)
共著
Effects on Hedging Errors of First-to-Default Swap from Parameter Estimation Errors
H. Hebiguchi, K. Yasuda
Proceedings of the 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings)

154-163
2016/05




8 研究論文(国際会議プロシーディングス)
共著
On Effects of Estimations and Information for Expected Log-Utility Maximization Problems
Y. Asakura, K. Yasuda
Proceedings of the 45th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings)

90-99
2014/08




9 研究論文(学術雑誌)
共著
Strong Consistency of Bayesian Estimator for the Ornstein-Uhlenbeck Process
A. Kohatsu-Higa, N. Vayatis, K. Yasuda
Inspired by Finance

411-438
2013/11




10 研究論文(学術雑誌)
共著
An Ornstein-Uhlenbeck Type Process which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure
A. Kohatsu-Higa, K. Yasuda
Malliavin Calculus and Stochastic Analysis

173-194
2013/03




11 研究論文(学術雑誌)
単著
Sensitivity Analysis of Expectation with respect to Stochastic Differential Equations with Long Memory through Malliavin Calculus
K. Yasuda
Transactions of the Institute of Systems, Control and Information Engineers

25/ 11, 328-335
2012/11




12 研究論文(国際会議プロシーディングス)
単著
Some Numerical Results of Sensitivity Analysis for Expected Values w.r.t. Linear SDE with Long Memory
K. Yasuda
Proceedings of the 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Application (CD-ROM)

paper no. SB1-4 (9 pages)
2012/05




13 (MISC)会議報告等
共著
On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient
A. Kohatsu-Higa, A. Lejay, K. Yasuda
京都大学数理解析研究所講究録

1788, 94-106
2012/04




14 研究論文(学術雑誌)
共著
Testing for Levy Type Jumps in Japanese Stock Market under the Financial Crisis Using High-Frequency Data
Y. Barada, K. Yasuda
International Journal of Innovative Computing, Information and Control

8/ 3(B), 2215-2223
2012/03




15 研究論文(学術雑誌)
共著
Strong consistency of Bayesian estimator under discrete observation and unknown transition density
A. Kohatsu-Higa, N. Vayatis, K. Yasuda
Progress in Probability (Stochastic Analysis with Financial Applications)

65, 165-187
2011/08




16 (MISC)会議報告等
共著
金融危機下における日本の株式市場でのジャンプの検定
茨田佳明, 久保裕介, 安田和弘
京都大学数理解析研究所講究録

1736, 58-73
2011/06




17 研究論文(国際会議プロシーディングス)
共著
Volatility estimations under the financial crisis in the Japanese market and testing for jumps
K. Aoki, Y. Barada, M. Tamura, K. Yasuda
Proceedings of The 42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (CD-ROM)

112-120
2011/05




18 研究論文(国際会議プロシーディングス)
共著
Testing for Jumps in Japanese Stock Market under the Financial Crisis through High-frequency Data
Y. Barada, Y. Kubo, K. Yasuda
Proceedings of The 42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (CD-ROM)

102-111
2011/05




19 (MISC)総説・解説(その他)
共著
金融工学におけるMalliavin解析を用いた感度解析
A. Kohatsu-Higa, 安田 和弘
オペレーションズ・リサーチ : 経営の科学

55/ 10, 643-649
2010/10




20 (MISC)会議報告等
共著
Strong consistency for Bayesian estimator with approximations
A. Kohatsu-Higa, N. Vayatis, K. Yasuda
北海道大学数学講究録

142, 140-143
2010/01




21 研究論文(学術雑誌)
共著
Estimation of densities for Heston-type models through the Malliavin-Thalmaier method and its application to the calculation of Greeks
A. Kohatsu-Higa, K. Yasuda
International Journal of Innovative Computing, Information and Control

6/ 1, 199-213
2010/01




22 (MISC)総説・解説(その他)
共著
A review of some recent results on Malliavin Calculus and its applications
A. Kohatsu-Higa, K. Yasuda
Advanced Financial Modelling (Radon Series on Computational and Applied Mathematics)

8, 275-302
2009/10




23 研究論文(国際会議プロシーディングス)
共著
Simulation on multidimensional density functions through the Malliavin-Thalmaier formula and its application to finance
A. Kohatsu-Higa, K. Yasuda
Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Applications

342-347
2009/05




24 研究論文(学術雑誌)
共著
Estimating multidimensional density functions using the Malliavin-Thalmaier formula
A. Kohatsu-Higa, K. Yasuda
SIAM Journal on Numerical Analysis

47/ 2, 1546-1575
2009/04




25 研究論文(学術雑誌)
共著
Estimating multidimensional density functions for random variables in Wiener space
A. Kohatsu-Higa, K. Yasuda
Comptes rendus - Mathematics

346/ 5-6, 335-338
2008/03




26 (MISC)会議報告等
共著
Estimating Multi-dimensional Density Functions through the Malliavin-Thalmaier Formula and Its Application to Finance
A. Kohatsu-Higa, K. Yasuda
数理解析研究所講究録

1580, 124-135
2008/02