This paper derives asymptotic expansion formulas for option prices and implied volatilities as well as the density of the underlying asset price in a stochastic volatility model. In particular, the integration-by-parts formula in Malliavin calculus and the push-down of Malliavin weights are...

The recent financial crisis has spiked the credit and liquidity premia among financial products, and significant widening of basis spreads among Libors with different tenors and currencies has been observed in interest rate markets. Our previous work, "A Note on Construction of Multiple Swap...

The efficient Bayesian estimation method using Markov chain Monte Carlo is proposed for a multivariate stochastic volatility model that is a natural extension of the univariate stochastic volatility model with leverage and heavy-tailed errors, where we further incorporate cross leverage effects...

This paper analyzes household structure of elders in Japan. Traditionally, this topic has been discussed from a perspective of coresidence of parents and children. However, we show that the number of childless elders, who do not have an option to coreside with their children, has rapid been...

This paper studies impacts of imperfect collateralization on derivatives values. Firstly, we present a general framework for the analysis in a multi-dimensional dif fusion setting, and then calclate pre-default values of forwards and options for the numerical experiments. In particular, we...

We propose a methodology for constructing valid confidence regions in incomplete models with latent variables satisfying moment equality restrictions. These include moment equality and inequality models with latent variables. The confidence regions are obtained by inverting tests based on the...

In the spatial model of voting, voters choose the candidate closest to them in the ideological space. Recent work by (Degan and Merlo 2009) shows that it is falsifiable on the basis of individual voting data in multiple elections. We show how to tackle the fact that the model only partially...