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AN EFFICIENT CALIBRATION METHOD FOR THE MULTI-FACTOR LIBOR MARKET MODEL AND ITS APPLICATION TO THE JAPANESE MARKET

TANIMURA, HIDETOSHI; YAMADA, YUJI - In: International Journal of Theoretical and Applied … 09 (2006) 07, pp. 1123-1139

In this paper an efficient calibration method for the multi-factor LIBOR Market Model (LMM) is proposed and is applied for the Japanese interest rate market. At first the joint calibration method in the cap and swaption market is demonstrated using a new parameterization for the correlation...

Persistent link: https://www.econbiz.de/10005060195

Optimal hedging of prediction errors using prediction errors

Yamada, Yuji - In: Asia-Pacific financial markets 15 (2008) 1, pp. 67-95

Persistent link: https://www.econbiz.de/10003757439

Valuation and hedging of weather derivatives on monthly average temperature

Yamada, Yuji - In: Journal of risk 10 (2007/08) 1, pp. 101-125

Persistent link: https://www.econbiz.de/10003572544

Properties of optimal smooth functions in additive models for hedging multivariate derivatives

Yamada, Yuji - In: Asia-Pacific financial markets 19 (2012) 2, pp. 149-179

Persistent link: https://www.econbiz.de/10009629160

Optimal hedging of basket barrier options with additive models and its application to equity value separation problem

Yamada, Yuji - In: Asia-Pacific financial markets 24 (2017) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011742282

Special issue on Stanford-Tsukuba Joint Workshop on Financial Engeneering

Yamada, Yuji (contributor) - Joint Workshop on Financial Engineering <2, 2007, … - 2008

Persistent link: https://www.econbiz.de/10003757424

Optimal trading with cointegrated pairs of stocks

Yamada, Yuji; Primbs, James A. - In: Recent advances in financial engineering 2011: …, (pp. 183-202). 2012

Persistent link: https://www.econbiz.de/10009573431

Application of homotopy analysis method to option pricing under Lévy processes

Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific financial markets 21 (2014) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010358467

A moment computation algorithm for the error in discrete dynamic hedging

Primbs, James A.; Yamada, Yuji - In: Journal of banking & finance 30 (2006) 2, pp. 519-540

Persistent link: https://www.econbiz.de/10003291317

Properties of multinomial lattices with cumulants for option pricing and hedging

Yamada, Yuji; Primbs, James A. - In: Asia-Pacific financial markets 11 (2004) 3, pp. 335-365

Persistent link: https://www.econbiz.de/10003365663

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