マルコフ過程の研究とクレジットリスクへの応用

Products Report

• Project/Area Number: 17J06948
• Research Category: Grant-in-Aid for JSPS Fellows
• Allocation Type: Single-year Grants
• Section: 国内
• Research Field: Money/ Finance
• Research Institution: Kyoto University
• Principal Investigator: KEVKHISHVILI RUSUDAN 京都大学, 経済学研究科, 特別研究員(DC2)
• Project Period (FY): 2017-04-26 – 2019-03-31

Research Products

• [Journal Article] Time reversal and last passage time of diffusions with applications to credit risk management (2020)
  • Author(s): Masahiko Egami, Rusudan Kevkhishvili
  • Journal Title: Finance and Stochastics Volume: 24 Pages: 795-825
  • DOI: 10.1007/s00780-020-00423-6
  • Peer Reviewed
• [Journal Article] A direct solution method for pricing options in regime-switching models (2020)
  • Author(s): Masahiko Egami, Rusudan Kevkhishvili
  • Journal Title: Mathematical Finance Volume: 30 Pages: 547-576
  • DOI: 10.1111/mafi.12220
  • Peer Reviewed