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Credit risk model with contagious default dependencies affected by macro-economic condition

Takada, Hideyuki; Sumita, Ushio - In: European journal of operational research : EJOR 214 (2011) 2, pp. 365-379

Persistent link: https://www.econbiz.de/10009307344

Credit risk model with contagious default dependencies affected by macro-economic condition

Takada, Hideyuki; Sumita, Ushio - In: European journal of operational research : EJOR 214 (2011) 2, pp. 365-380

Persistent link: https://www.econbiz.de/10009166451

Multi-name extension to the credit grades and an efficient Monte Carlo method

Takada, Hideyuki - In: Journal of mathematical finance 4 (2014) 3, pp. 188-206

Persistent link: https://www.econbiz.de/10010400105

Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method

Nakagawa, Hidetoshi; Takada, Hideyuki - In: Journal of financial engineering 1 (2014) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10010508007

Measuring credit risk of individual corporate bonds in US energy sector

Kariya, Takeaki; Tanokura, Yoko; Takada, Hideyuki; … - In: Asia-Pacific financial markets 23 (2016) 3, pp. 229-262

Persistent link: https://www.econbiz.de/10011619917

Price dynamics under the information-based dealer model

Fukuda, Kenta; Kondo, Kaichi; Takada, Hideyuki - In: Journal of mathematical finance 9 (2019) 4, pp. 726-746

Persistent link: https://www.econbiz.de/10012433476

Quantifying the behavior of price dynamics at opening time in stock market

Ochiai, Tomoshiro; Takada, Hideyuki; Nacher, Jose C. - In: Physica A: Statistical Mechanics and its Applications 413 (2014) C, pp. 534-543

The availability of huge volume of financial data has offered the possibility for understanding the markets as a complex system characterized by several stylized facts. Here we first show that the time evolution of the Japan’s Nikkei stock average index (Nikkei 225) futures follows the...

Persistent link: https://www.econbiz.de/10010906996

The Black-Scholes equation in the presence of arbitrage

Farinelli, Simone; Takada, Hideyuki - In: Quantitative finance 22 (2022) 12, pp. 2155-2170

Persistent link: https://www.econbiz.de/10013490935

A default contagion model for pricing defaultable bonds from an information based perspective

Nakagawa, Hidetoshi; Takada, Hideyuki - In: Quantitative finance 23 (2023) 1, pp. 169-185

Persistent link: https://www.econbiz.de/10013490963

Optimal threshold analysis of segmentation methods for identifying target customers

Mizuno, Makoto; Saji, Akira; Sumita, Ushio; Suzuki, Hideo - In: European journal of operational research : EJOR 186 (2008) 1, pp. 358-379

Persistent link: https://www.econbiz.de/10003769534