This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical...

This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is...

For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a,b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable asymptotic properties; it is consistent...

The Ministry of Finance's "Corporate Enterprise Quarterly Statistics" (Hojin kigyo tokei kiho) is the only statistical source of well-balanced information about the financing behavior of Japanese firms. Indeed, there are few comparable sources available anywhere in the world. Using this...

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...

From early spring to late summer in 2010 I investigated the financing behavior of Japanese firms with over \20 million in paid-in capital, using firm-level financial data from Hojin Kigyo Tokei Kiho (Corporate Enterprise Quarterly Statistics) of the Ministry of Finance. "A Study of Financing...

This is the second of the 4 discussion papers that, together with the Introduction and Summary paper (Miwa, 2010c), comprise the report of my recent investigation: "A Study of Financing Behavior of Japanese Firms with Firm-Level Data from the Corporate Enterprise Quarterly Statistics -...

This is the first of the 4 discussion papers that, together with the Introduction and Summary paper (Miwa, 2010c), comprise the report of my recent investigation: "A Study of Financing Behavior of Japanese Firms with Firm-Level Data from the Corporate Enterprise Quarterly Statistics -...

From early spring to late summer in 2010 I investigated the financing behavior of Japanese firms with over \10 million in paid-in capital, using firm-level financial data from Hojin Kigyo Tokei Kiho (Corporate Enterprise Quarterly Statistics) of the Ministry of Finance. "A Study of Financing...