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On the risk evaluation method based on the market model
Kijima, Masaaki; Muromachi, Yukio - In: Nonlinear economic dynamics and financial modelling : …, (pp. 253-273). 2014
Persistent link: https://www.econbiz.de/10011286582
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Pricing equity swaps in a stochastic interest rate economy
Kijima, Masaaki; Muromachi, Yukio - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 19-35
Persistent link: https://www.econbiz.de/10001613578
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Evaluation of credit risk of a portfolio with stochastic interest rate and default processes
Kijima, Masaaki; Muromachi, Yukio - In: Innovations in risk management : seminal papers from …, (pp. 419-456). 2004
Persistent link: https://www.econbiz.de/10002600547
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Recent Advances in Financial Engineering - Proceedings of the 2008 Daiwa International Workshop on Financial Engineering : Proceedings of the 2008 Daiwa International Workshop on F...
Kijima, Masaaki - 2009
Key Features:Contains work by more than 20 leading researchers in financial engineeringPresents the latest state-of-the-art techniques in financial engineeringCovers a wide range of perspectives on the field from both academics and practitionersIncludes photographs taken during the Workshop that...
Persistent link: https://www.econbiz.de/10012684919
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The generalized harmonic mean and a portfolio problem with dependent assets
Kijima, Masaaki - In: Theory and decision : an international journal for … 43 (1997) 1, pp. 71-87
Persistent link: https://www.econbiz.de/10001226213
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Monotonicities in a Markov chain model for valuing corporate bonds subject to credit risk
Kijima, Masaaki - In: Mathematical finance : an international journal of … 8 (1998) 3, pp. 229-247
Persistent link: https://www.econbiz.de/10001245921
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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
Persistent link: https://www.econbiz.de/10001521989
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Monotonity and convexity of option prices revisited
Kijima, Masaaki - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 411-425
Persistent link: https://www.econbiz.de/10001741952
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RECENT ADVANCES IN FINANCIAL ENGINEERING 2009:
Kijima, Masaaki (contributor); Hara, Chiaki (contributor);  … - World Scientific Publishing Co. Pte. Ltd.
This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the...
Persistent link: https://www.econbiz.de/10008691678
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An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
Kijima, Masaaki; Muromachi, Yukio - In: Insurance: Mathematics and Economics 42 (2008) 3, pp. 887-896
It is well known that the Wang transform [Wang, S.S., 2002. A universal framework for pricing financial and insurance risks. Astin Bull. 32, 213-234] for the pricing of financial and insurance risks is derived from Bühlmann's economic premium principle [Bühlmann, H., 1980. An economic premium...
Persistent link: https://www.econbiz.de/10005374697