| No. |
Title |
Author |
Name of Journal |
Date of Publication |
Volume Number Page |
DOI |
| 1 |
Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
|
Jiro Akahori, Andrea Macrina
|
International Journal of Theoretical and Applied Finance
|
02/2012
|
15/1, 1250007 (15 pages)
|
10.1142/S0219024911006553
|
| 2 |
Some Simulation Results on the Computation of Delta of
Path-Dependent Options Using a Discrete Version of
Clark-Ocone Formula
|
Jiro Akahori, Takafumi Amaba and Kaori Okuma
|
Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Application,
|
2011
|
132--137
|
|
| 3 |
An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula
|
Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi
|
Mathematical Journal of Okayama University
|
2011
|
to appear
|
|
| 4 |
On a Type I Error of a Random Walk Hypothesis on Interest Rates
|
Jiro Akahori and Nien-Lin Liu
|
International Journal of Innovative Computing, Information and Control
|
2011
|
7/1, 115-131
|
|
| 5 |
Around the Random Walk Hypothesis on Interest Rates
|
Jiro Akahori and Nienlin Liu
|
Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application,
|
2010
|
206-210
|
|
| 6 |
Static hedging for knock-in/out options written on the price ratios : A simple case
|
Jiro Akahori and Katsuya Takagi
|
Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application
|
2010
|
201-205
|
|
| 7 |
On a Stochastic Extension of Integrated Models for Climate Changes
|
Jiro Akahori, Takanobu Kosugi, Takafumi Kumazaki, and Ken-ichi Oi
|
Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application
|
2010
|
229-264
|
|
| 8 |
On the pricing of exotic warrant
|
Jiro Akahori and Ryutaro Akasaka
|
Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application
|
2010
|
241-245
|
|
| 9 |
On the pricing of options written on the last exit time
|
Jiro Akahori, Yuri Imamura and Yuko Yano
|
Methodology and Computing in Applied Probability
|
12/2009
|
11/4, 661-668
|
10.1007/s11009-008-9086-2
|
| 10 |
On the Stochastic Hamiltonian Systems
|
Jiro Akahori
|
Sytems, Controls, and Information
|
05/2009
|
53/5, 184-188
|
|
| 11 |
Thermodynamicla approach to life insurance: discrete space-time framework; a toy model and its analysis
|
Jiro Akahori, Maho Nishida, Yousuke Seto
|
Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Application
|
04/2009
|
360--365
|
|
| 12 |
Principle Component Analysis of Consistency of a Forward Rate Model
|
Jiro Akakhori and Ikumi Ishii
|
Proceedings of the 39th ISCIE International Symposium on Stochastic Systems Theory and Its Application
|
04/2008
|
85--90
|
|
| 13 |
Stochastic equations on compact groups in discrete negative time
|
Jirô Akahori, Chihiro Uenishi and Kouji Yano
|
Probability Theory and Related Fields
|
03/2008
|
140/3-4, 569-593
|
10.1007/s00440-007-0076-z
|
| 14 |
Noises, Stochastic Flows, and E_0 semigroups
|
Jiro Akahori,, Masaki Izumi and Shinzo Watanabe
|
Suugaku
|
07/2007
|
59/3, 243--263
|
|
| 15 |
What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?
|
Jiro Akahori, and Takahiro Tsuchiya
|
Asia-Pacific Financial Markets
|
12/2006
|
13/4, 299--313
|
10.1007/s10690-007-9046-9
|
| 16 |
Lifting Quadratic Term Structure Models to Infinite Dimension
|
Jiro Akahori and Keisuke Hara
|
Mathematical Finance
|
10/2006
|
16/4, 635--645
|
10.1111/j.1467-9965.2006.00287.x
|
| 17 |
Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor
|
Jiro Akahori, Hiroki Aoki and Yoshihiko Nagata
|
Asia Pacific Financial Markets
|
06/2006
|
13/2, 151--179
|
10.1007/s10690-007-9039-8
|
| 18 |
Backwardation in Asian Option Prices
|
J.Akahori, K. Yasutomi, and T. Yokota
|
International Journal of Innovative Computing, Information and Control
|
2005
|
1/3, 581--593
|
|
| 19 |
A discrete Ito calculus approach to He's framework for multi-factor discrete market
|
Jiro Akahori
|
Asia Pacific Financial Markets
|
09/2005
|
12/3, 273--287
|
10.1007/s10690-006-9026-5
|
| 20 |
Pricing of an Exotic Forward Contract
|
J.Akahori, Y. Hishida and M. Nishida
|
Proceedings of the 36th ISCIE International Symposium on Stochastic Systems Theory and Its Application (
|
2004
|
132--136
|
|
| 21 |
Term Structure of Prices of Asian Options
|
J.Akahori, T. Mikami, K. Yasutomi, and T. Yokota
|
Proceedings of the 36th ISCIE International Symposium on Stochastic Systems Theory and Its Application
|
2004
|
137--142
|
|
| 22 |
Multi-Dimensional Discrete Stochastic Calculus and its application to a problem in mathematical finance
|
Jiro Akahori
|
Proceedings of the 35th ISCIE International Symposium on Stochastic Systems Theory and Its Application
|
2003
|
71--76
|
|
| 23 |
On Dassios formula of Brownian quantiles
|
Jiro Akahori
|
Mem. Inst. Sci. Engrg. Ritsumeikan Univ.
|
2003
|
61, 61--64
|
|
| 24 |
On the strong solutions of stochastic differential equations.
|
Jiro Akahori and Shinzo Watanabe
|
Social System Studies
|
2002
|
4, 1-12
|
|
| 25 |
Quasi Pricing of European Options
|
Jiro Akahori
|
Proceedings of the 32nd SCIE International Symposium on Stochastic Systems Theory and Its Application
|
2001
|
235-239
|
|
| 26 |
The Pricing of the Currecy Options with Knock-Out
|
Jiro Akahori
|
Proceedings of the 31st ISCIE International Symposium on Stochastic Systems Theory and Its Applications
|
2000
|
95--99
|
|
| 27 |
Stochastic Analysis in Mathematical Finance
|
Jiro Akahori
|
Systems, Control and Information
|
2000
|
44, 429-433
|
|
| 28 |
On quasi Gaussian interest rate models.
|
Jiro Akahori
|
Asia-Pacific Financial Markets
|
01/1999
|
6/1, 3--6
|
10.1023/A:1010050324643
|
| 29 |
Explosion tests for stochastic integral equations related to interest rate models
|
Jiro Akahori
|
J. Math. Sci. Univ. Tokyo
|
1998
|
4, 727--745
|
|
| 30 |
Hedging Forward Contracrs by Futures, Simple Cases
|
Jiro Akahori
|
MTEC journal
|
1998
|
11, 66-74
|
|
| 31 |
Some formulae for a new type of path-dependent option
|
Jiro Akahori
|
Annals of Applied Probability
|
1995
|
5/2, 383-388
|
|