Egami, Masahiko - Graduate School of Economics, Kyoto University

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Egami, Masahiko - Graduate School of Economics, Kyoto University

PRECAUTIONARY MEASURES FOR CREDIT RISK MANAGEMENT IN JUMP MODELS MASAHIKO EGAMI AND KAZUTOSHI YAMAZAKI
Optimal Reinsurance Strategy under Fixed Cost and Delay Masahiko Egami
Masahiko Egami [1] An approximation method for analysis and valuation of credit correlation
A Model for Bank's Optimal Asset Securitization Program $ Masahiko Egamia
ON SCALE FUNCTIONS OF SPECTRALLY NEGATIVE L EVY PROCESSES WITH PHASE-TYPE JUMPS
An approximation method for analysis and valuation of credit correlation derivatives
An Analysis of Monotone Follower Problems for Diffusion Erhan Bayraktar
(scale function) X := ( ) -( (1)
A UNIFIED TREATMENT OF DIVIDEND PAYMENT PROBLEMS UNDER FIXED COST AND IMPLEMENTATION DELAYS
SOLVING OPTIMAL DIVIDEND PROBLEMS VIA PHASE-TYPE FITTING APPROXIMATION OF SCALE FUNCTIONS
Beta Smile and Coskewness: Theoretical and Empirical Results in Options Markets
A Framework for the Study of Expansion Options, Loan Commitments and Agency Costs
Indifference Prices of Structured Catastrophe (CAT) Bonds Masahiko Egami
A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
The Effects of Implementation Delay on Decision-Making Under Uncertainty
OPTIONS ON MULTIPLE ASSETS IN A MEAN-REVERTING MODEL MASAHIKO EGAMI AND TADAO ORYU
Optimizing Venture Capital Investments in a Jump Diffusion Erhan Bayraktar
A Continuous-Time Search Model with Job Switch and Jumps Masahiko Egami
ON THE ONE-DIMENSIONAL OPTIMAL SWITCHING PROBLEM ERHAN BAYRAKTAR AND MASAHIKO EGAMI
A Game Options Approach to the Investment Problem with Convertible Debt Masahiko Egami
ON THE CONTINUOUS AND SMOOTH FIT PRINCIPLE FOR OPTIMAL STOPPING PROBLEMS IN SPECTRALLY NEGATIVE L EVY MODELS
DEFAULT SWAP GAMES DRIVEN BY SPECTRALLY NEGATIVE L EVY PROCESSES MASAHIKO EGAMI , TIM S.T. LEUNG
ON SCALE FUNCTIONS OF SPECTRALLY NEGATIVE L EVY PROCESSES WITH PHASE-TYPE JUMPS