Papers
Number of the published data : 46
No. Title of presented paper Author's name etc. Journal name Volume/issue,page Date of Publication ISSN DOI URL
1 Phase transitions for edge-reinforced random walks on the half-line
Jiro Akahori, Andrea Collevecchio, Masato Takei
Electronic Communications in Probability
24/ 39, 1-12
2019
1083-589X
10.1214/19-ECP240

2 p-conformal maps on the triangular lattice
Jiro Akahori, Yuuki Ida, Greg Markowsky
Statistics & Probability Letters
151, 42-48
08/2019

10.1016/j.spl.2019.03.010

3 Bridge representation and modal-path approximation
Jiro Akahori, Xiaoming Song, Tai-Ho Wang
Stochastic Processes and their Applications
129/ 1, 174-204
01/2019

10.1016/j.spa.2018.02.013

4 Asymptotic Static Hedge via Symmetrization
J. Akahori, Barsotti, F., & Imamura, Y.
arXiv
arXiv:1801.04045 [q-fin.PR]
01/2018



5 A Discrete-Time Clark-Ocone Formula and its Application to an Error Analysis
Jirô Akahori, Takafumi Amaba, Kaori Okuma
Journal of Theoretical Probability
30/ 3, 932–960
09/2017

10.1007/s10959-016-0666-8

6 Default Contagion with Domino Effect , A First Passage Time Approach
Jiro Akahori, Hai Ha Pham
arXiv
1708.08411 [q-fin.MF]
08/2017



7 Probability density of lognormal fractional SABR model
Jiro Akahori, Xiaoming Song, Tai-Ho Wang
arXiv
arXiv:1702.08081 [q-fin.CP]
02/2017



8 The Value of Timing Risk
Jiro Akahori, Flavia Barsotti, and Yuri Imamura
arXiv:1701.05695

2016



9 Attraction properties for general urn processes and applications to a class of interacting reinforced particle systems
Jiro Akahori, Andrea Collevecchio, Timothy Garoni, Kais Hamza
arXiv:1602.05677

02/2016



10 The Fourier estimation method with positive semi-definite estimators
Jiro Akahori, Nien-lin Liu, Maria Elvira Mancino, and Yukie Yasuda
preprint
arXiv:1410.0112
2014



11 On a symmetrization of diffusion processes
Jiro Akahori and Yuri Imamura
Quantitative Finance
14/ 7, 1211-1216
2014

10.1080/14697688.2013.825923

12 Some results on Parisian walks
Jiro Akahori, Yuuki Ida
JSIAM Letters
6, 77-80
12/2014

http://dx.doi.org/10.14495/jsiaml.6.77

13 A Heat Kernel Approach to Interest Rate Models
Jiro Akahori, Yuji Hishida, Josef Teichmann and Takahiro Tsuchiya
Japan Journal of Industrial and Applied Mathematics
31/ 2, 419-439
05/2014
0916-7005
10.1007/s13160-014-0147-3

14 Affine term structure as multi-soliton
Hidemi Aihara, Jiro Akahori, and Edouard Grenier
JSIAM letters
6, 17--20
05/2014

http://dx.doi.org/10.14495/jsiaml.6.17

15 Tau functions of KP solitons realized in Wiener space
Hidemi Aihara, Jiro Akahori, Hiroko Fujii, Yasuhumi Nitta
Bulletin of the London Mathematical Society
45/ 6, 1301-1309
2013

10.1112/blms/bdt056

16 An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula
Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi
Mathematical Journal of Okayama University
55, 167--190
2013



17 Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
Jiro Akahori, Andrea Macrina
International Journal of Theoretical and Applied Finance
15/ 1, 1250007 (15 pages)
02/2012

10.1142/S0219024911006553

18 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,
132--137
2011



19 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
7/ 1, 115-131
2011



20 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,
206-210
2010



21 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
201-205
2010



22 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
229-264
2010



23 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
241-245
2010



24 On the pricing of options written on the last exit time
Jiro Akahori, Yuri Imamura and Yuko Yano
Methodology and Computing in Applied Probability
11/ 4, 661-668
12/2009

10.1007/s11009-008-9086-2

25 On the Stochastic Hamiltonian Systems
Jiro Akahori
Sytems, Controls, and Information
53/ 5, 184-188
05/2009



26 Thermodynamical 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
360--365
04/2009



27 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
85--90
04/2008



28 Stochastic equations on compact groups in discrete negative time
Jirô Akahori, Chihiro Uenishi and Kouji Yano
Probability Theory and Related Fields
140/ 3-4, 569-593
03/2008

10.1007/s00440-007-0076-z

29 Noises, Stochastic Flows, and E_0 semigroups
Jiro Akahori,, Masaki Izumi and Shinzo Watanabe
Suugaku
59/ 3, 243--263
07/2007



30 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
13/ 4, 299--313
12/2006

10.1007/s10690-007-9046-9

31 Lifting Quadratic Term Structure Models to Infinite Dimension
Jiro Akahori and Keisuke Hara
Mathematical Finance
16/ 4, 635--645
10/2006

10.1111/j.1467-9965.2006.00287.x

32 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
13/ 2, 151--179
06/2006

10.1007/s10690-007-9039-8

33 Backwardation in Asian Option Prices
J.Akahori, K. Yasutomi, and T. Yokota
International Journal of Innovative Computing, Information and Control
1/ 3, 581--593
2005



34 A discrete Ito calculus approach to He's framework for multi-factor discrete market
Jiro Akahori
Asia Pacific Financial Markets
12/ 3, 273--287
09/2005

10.1007/s10690-006-9026-5

35 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 (
132--136
2004



36 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
137--142
2004



37 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
71--76
2003



38 On Dassios formula of Brownian quantiles
Jiro Akahori
Mem. Inst. Sci. Engrg. Ritsumeikan Univ.
61, 61--64
2003



39 On the strong solutions of stochastic differential equations.
Jiro Akahori and Shinzo Watanabe
Social System Studies
4, 1-12
2002



40 Quasi Pricing of European Options
Jiro Akahori
Proceedings of the 32nd SCIE International Symposium on Stochastic Systems Theory and Its Application
235-239
2001



41 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
95--99
2000



42 Stochastic Analysis in Mathematical Finance
Jiro Akahori
Systems, Control and Information
44, 429-433
2000



43 On quasi Gaussian interest rate models.
Jiro Akahori
Asia-Pacific Financial Markets
6/ 1, 3--6
01/1999

10.1023/A:1010050324643

44 Explosion tests for stochastic integral equations related to interest rate models
Jiro Akahori
J. Math. Sci. Univ. Tokyo
4, 727--745
1998



45 Hedging Forward Contracrs by Futures, Simple Cases
Jiro Akahori
MTEC journal
11, 66-74
1998



46 Some formulae for a new type of path-dependent option
Jiro Akahori
Annals of Applied Probability
5/ 2, 383-388
1995