This paper provides a time series analysis of the Bank of Japan (BOJ)'s ETF and REIT purchase program. The program is a part of the BOJ's unconventional monetary policy and has strengthened since the Quantitative and Qualitative Easing (QQE) in April 2013. To the best of our knowledge, the...

This paper develops a new efficient scheme for approximations of expectations of the solutions to stochastic differential equations (SDEs). In particular, we present a method for connecting approximate operators based on an asymptotic expansion to compute a target expectation value precisely....

This article presents an equilibrium-based multi-agent optimal consumption and portfolio problem incorporating sentiments, where multiple agents have heterogeneous (optimistic, pessimistic, neutral) views on fundamental risks represented by Brownian motions.Each agent maximizes its expected...

An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [6] and Yoshida [29] is a widely applicable methodology for analytic approximation of the expectation of a certain functional of diffusion processes. Mathematically, this methodology is justified by Watanabe...

The recent financial crisis caused dramatic widening and elevated volatilities among basis spreads in cross currency as well as domestic interest rate markets. Furthermore, the widespread use of collateral has made the effective funding cost of financial institutions for the trades significantly...

The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift processes can only be inferred through the observation of asset or index processes. Although most of the literatures treat the MVH problem by the duality method, here we study a system consisting...

All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. Making the situation worse, they are only equipped with the imperfect information on the relevant processes. In addition to the market risk, fund and insurance managers have to be prepared for...

This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More generally, we also derive an error estimate for an asymptotic expansion around a partially elliptic...

This paper presents a mathematical validity for an asymptotic expansion scheme of the solutions to the forward-backward stochastic differential equations (FBSDEs) in terms of a perturbed driver in the BSDE and a small diffusion in the FSDE. This computational scheme was proposed by...