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 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...

Passed as essential to consumer protection, the Japanese Consumer Contract Act of 2000 took effect in April 2001. The battle over its passage illustrates both the politics of 'consumer protection' and the way its supporters understood the effect and role of government intervention in the...

This paper investigates the value relevance of segment earnings in railroad companies. Operating profits in transportation and real estate business are value relevant. While operating losses in leisure business contains large noise, positive earnings is value relevant. Earnings in other segments...

This paper is a detailed historical survey of Suffolk Banking System. The System is a voluntary and private bank note clearing system in New England at the dawn of American capitalism, and continued for about 40 years (1819-1858). Managing this System by the Suffolk Bank in Boston, cash reserves...

The present paper provides a survey on the recent progress in the theory of repeated games. Many recent works investigated infinitely repeated games with discounting, and newly assumed that monitoring is private. These works provided their respective folk theorems or efficiency theorems on this...

In the recent X-12-ARIMA program developed by the United States Census Bureau for seasonal adjustments, the RegARIMA modeling has been extensively utilized. We shall discuss some problems in the RegARIMA modeling when the time series are realizations of non-stationary integrated stochastic...

This paper analyzes the modularization in the world auto industry. The modularization in the industry has been involving architectural changes in product, production, and supplier systems, with each region (Japan, Europe, and the U.S.A.) emphasizing different purposes and aspects. As an attempt...

This paper investigates whether earnings of the firms, which belong to the sluggish industries under recent recession in Japan, is value relevant. It is often said that, while the relevance of earnings is recently declining, the relevance of book value of equity increases gradually. Moreover, it...

This paper is a companion paper to "Publicly Listed Parent/Subsidiary Pairs: Benchmarking to TOPIX and Market Distortion," by the same authors. The purpose of this separate piece is to give a more intuitive and non-mathematical illustration of the structure of the model, its assumptions, and...