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Valuation of a credit swap of the basket type

Kijima, Masaaki - In: Review of derivatives research 4 (2000) 1, pp. 81-97

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Pricing of CDOs based on the multivariate Wang transform

Kijima, Masaaki; Motomiya, Shin-ichi; Suzuki, Yoichi - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2259-2272

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An extension of the chaos expansion approximation for the pricing of exotic basket options

Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139

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Credit-equity modeling under a latent Lévy firm process

Kijima, Masaaki; Siu, Chi Chung - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-41

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Credit events and the valuation of credit derivatives of basket type

Kijima, Masaaki; Muromachi, Yukio - In: Review of derivatives research 4 (2000) 1, pp. 55-79

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Recent Advances in Financial Engineering 2009 : Proceedings of the KIER-TMU International Workshop on Financial Engineering

Hara, Chiaki - 2010

Intro -- CONTENTS -- Preface -- Program -- Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach M. Davis and S. Lleo -- Keywords: -- 1. Introduction -- 2. Analytical Setting -- 2.1 Overview -- 2.2 Factor Dynamics -- 2.3 Asset Market Dynamics -- 2.4 Portfolio Dynamics...

Persistent link: https://www.econbiz.de/10012689623