New approaches of the DCC-GARCH residual: Application to foreign exchange rates

Authors: Shiraya, Kenichiro, Suzuki, Kanji, Yamakami, Tomohisa

Subject Terms: Quantitative Finance - Statistical Finance

Access URL: http://arxiv.org/abs/2411.08246

Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility

Authors: Shiraya, Kenichiro, Yamakami, Tomohisa

Subject Terms: Quantitative Finance - Mathematical Finance, Quantitative Finance - Statistical Finance

Access URL: http://arxiv.org/abs/2301.10044

Forward start volatility swaps in rough volatility models

Authors: Alòs, Elisa, Rolloos, Frido, Shiraya, Kenichiro

Subject Terms: Quantitative Finance - Mathematical Finance, 91G99

Access URL: http://arxiv.org/abs/2207.10370

On the difference between the volatility swap strike and the zero vanna implied volatility

Authors: Alos, Elisa, Rolloos, Frido, Shiraya, Kenichiro

Subject Terms: Quantitative Finance - Mathematical Finance, 91G99

Access URL: http://arxiv.org/abs/1912.05383

A model‐free approximation for barrier options in a general stochastic volatility framework.

Authors: Rolloos, Frido¹ (AUTHOR) frolloos@yahoo.com, Shiraya, Kenichiro² (AUTHOR)

Source: Journal of Futures Markets. Jun2024, Vol. 44 Issue 6, p923-935. 13p.

Subject Terms: *Spot prices, *Prices, *Stochastic models, *Market volatility

This result is not displayed to guests.
Login for full access.

A general control variate method for Lévy models in finance

Authors: Shiraya, Kenichiro, Uenishi, Hiroki, Yamazaki, Akira

Source: European journal of operational research. 284(3):1190-1200

Availability: http://explore.bl.uk/primo_library/libweb/action/display.do?tabs=detailsTab&gathStatTab=true&ct=display&fn=search&doc=ETOCvdc_100111005172.0x000001&indx=1&recIds=ETOCvdc_100111005172.0x000001

Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models

Authors: Shiraya, Kenichiro, Takahashi, Akihiko

Source: Mathematics of Operations Research, 2019 Feb 01. 44(1), 303-333.

Access URL: https://www.jstor.org/stable/27287836

A Lower Bound for the Volatility Swap in the Lognormal SABR Model.

Authors: Alòs, Elisa¹, elisa.alos@upf.edu, Rolloos, Frido², frolloos@yahoo.com, Shiraya, Kenichiro³, kenichiro.shiraya@gmail.com

Source: Axioms (2075-1680); Aug2023, Vol. 12 Issue 8, p749, 11p

Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach

Authors: Alòs, Elisa, Shiraya, Kenichiro

Source: Finance and stochastics. 23(2):423-447

Availability: http://explore.bl.uk/primo_library/libweb/action/display.do?tabs=detailsTab&gathStatTab=true&ct=display&fn=search&doc=ETOCvdc_100125315343.0x000001&indx=1&recIds=ETOCvdc_100125315343.0x000001

This result is not displayed to guests.
Login for full access.

An asymptotic expansion for local-stochastic volatility with jump models

Authors: Shiraya, Kenichiro, Takahashi, Akihiko

Source: Stochastics. 89(1):65-88

Availability: http://explore.bl.uk/primo_library/libweb/action/display.do?tabs=detailsTab&gathStatTab=true&ct=display&fn=search&doc=ETOCvdc_100050478236.0x000001&indx=1&recIds=ETOCvdc_100050478236.0x000001

A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance

Authors: Shiraya, Kenichiro, Takahashi, Akihiko

Source: European journal of operational research. 258(1):358-371

Availability: http://explore.bl.uk/primo_library/libweb/action/display.do?tabs=detailsTab&gathStatTab=true&ct=display&fn=search&doc=ETOCvdc_100044036388.0x000001&indx=1&recIds=ETOCvdc_100044036388.0x000001

This result is not displayed to guests.
Login for full access.

An approximation formula for basket option prices under local stochastic volatility with jumps: An application to commodity markets

Authors: Shiraya, Kenichiro, Takahashi, Akihiko

Source: Journal of computational and applied mathematics. 292:230-256

Availability: http://explore.bl.uk/primo_library/libweb/action/display.do?tabs=detailsTab&gathStatTab=true&ct=display&fn=search&doc=ETOCvdc_100032600936.0x000001&indx=1&recIds=ETOCvdc_100032600936.0x000001

This result is not displayed to guests.
Login for full access.

Pricing and hedging of long-term futures and forward contracts by a three-factor model

Authors: Shiraya, Kenichiro, Takahashi, Akihiko

Source: Quantitative finance. 12(12):1811-1826

Availability: http://explore.bl.uk/primo_library/libweb/action/display.do?tabs=detailsTab&gathStatTab=true&ct=display&fn=search&doc=ETOCvdc_100033223721.0x000001&indx=1&recIds=ETOCvdc_100033223721.0x000001

An approximation formula for normal implied volatility under general local stochastic volatility models.

Authors: Karami, Yasaman¹, Shiraya, Kenichiro¹ kenichiro.shiraya@gmail.com

Source: Journal of Futures Markets. Sep2018, Vol. 38 Issue 9, p1043-1061. 19p.

Subject Terms: *Market volatility, *Stochastic models, *Stock exchanges, *Monte Carlo method, Asymptotic expansions

This result is not displayed to guests.
Login for full access.

Pricing Multiasset Cross-Currency Options.

Authors: Shiraya, Kenichiro¹, Takahashi, Akihiko¹

Source: Journal of Futures Markets. Jan2014, Vol. 34 Issue 1, p1-19. 19p.

Subject Terms: *Options (Finance), *Pricing, *Liquidity (Economics), *Assets (Accounting), *Money market, *Stock options, *Money supply