This paper derives an approximation formula for average options under two stochastic volatility models such as Heston and ă(Lambda)-SABR models by using an asymptotic expansion method. Moreover, numerical examples with various parameters some of which are obtained by calibration to WTI...

This paper proposes a method to price convertible bonds with credit risk using Duffie-Singleton approach to handle credit risk. As such it also provides a method to replicate convertibles by trading common stocks and corporate bonds of the issuing company. Empirical comparison with existing...

This paper overviews the industrial organization in Japan between the two World Wars. In this period, the change in the industrial structure gave a substantial impact on the industrial organization. On one hand, development of the heavy industries, which had been highly concentrated, raised the...

Using the firm-level data of the "Corporate Enterprise Annual Statistics (hojin kigyo tokei nenpo)", in this paper I investigate the capital investment behavior of Japanese firms. I focus on the second-half of 1980s, and begin what I anticipate will become a full-fledged study of corporate...

This paper tries to trace the way in which various methods were used in the payment of wages in Yawata Steel Works from 1900s to 1930s. The widely held idea behind the wage payment in the post WW‡U Japanese society has required companies to pay wages which not only guarantee the amount of...

We often see people procrastinate what should be done immediately. This propensity seems to be especially high in Japan as bad loans problem in 1990 exemplifies. Propcrastinations in collective decision making tend to occur when there are many stakeholders. They tend to waste time while trying...

This paper explores the flow of fund around the holding company (headquarters) of Mitsubishi Zaibatsu during the Second World War. From the late 1930s, the Mitsubishi holding company started to raise fund from the outside capital market through selling the shares of its affiliated companies, and...

This paper investigates the attributes of the multi-step income 1) operating profits, 2) earnings before tax, special and extra-ordinary items, and 3) net income, and then this paper confirms the rationality of the multi-step performance reporting. We examine the relationship between the...

Recently the various types of the equity-linked insurance have been introduced and actively traded in Japanese insurance markets. We investigate the basic problems of the actuarial risk management methods for those products based on the Markovian regime-switching time series model, which was...

This paper explores the change in the security portfolio of the holding company of Mitsubishi Zaibatsu (Mitsubishi Partnership) and its implication on the profitability of that company. First we confirmed that Mitsubishi Partnership substantially altered the portfolio from 1925 to 1935,...