Yoshiki Obayashi

Applied Academics LLC

United States

  • Applied Academics LLC

SCHOLARLY PAPERS

7

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2,035

SSRN CITATIONS

6

CROSSREF CITATIONS

9

Scholarly Papers (7)

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1.

The Lifetime of a Financial Bubble

Number of pages: 25 Posted: 16 Jun 2015 Last Revised: 08 Apr 2016
Yoshiki Obayashi, Philip Protter and Shihao Yang
Applied Academics LLC, Columbia University and Harvard University, Department of Statistics, Students
Downloads 490 (107,549)
Citation 5

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Financial Bubbles, Bubble Lifetimes, Strict Local Martingales, Generalized Gamma Distributions

2.

Credit Variance Swaps and Volatility Indexes

Downloads 451 (118,654)

Credit Variance Swaps and Volatility Indexes

Swiss Finance Institute Research Paper No. 13-24
Number of pages: 31 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
University of Lugano and Applied Academics LLC
Downloads 300 (185,228)
Citation 2

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Credit Default Swap Volatility, Credit Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Quadratic Contracts

Credit Volatility Indexes

Swiss Finance Institute Research Paper No. 20-88
Number of pages: 65 Posted: 19 Oct 2020 Last Revised: 21 Oct 2020
Antonio Mele and Yoshiki Obayashi
University of Lugano and Applied Academics LLC
Downloads 151 (354,273)

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Credit Default Swap Volatility; Credit Variance Swaps; Model-Free Pricing; Basis Point Variance; Fixed Income VIX

3.

The Price of Government Bond Volatility

Swiss Finance Institute Research Paper No. 13-27
Number of pages: 39 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
University of Lugano and Applied Academics LLC
Downloads 401 (136,343)
Citation 7

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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Basis Point Yield Volatility, Quadratic Contracts

4.

Dynamics of Interest Rate Swap and Equity Volatilities

Swiss Finance Institute Research Paper No. 13-23
Number of pages: 16 Posted: 26 Apr 2013
Antonio Mele, Yoshiki Obayashi and Catherine Shalen
University of Lugano, Applied Academics LLC and Chicago Board Options Exchange (CBOE)
Downloads 353 (156,742)

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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, SRVX Index, Basis Point Variance, Variance Risk-Premiums

5.

Volatility Indexes and Contracts for Eurodollar and Related Deposits

Swiss Finance Institute Research Paper No. 13-25
Number of pages: 30 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
University of Lugano and Applied Academics LLC
Downloads 190 (290,308)
Citation 4

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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Basis Point Yield Volatility, Quadratic Contracts

6.

Volatility Indexes and Contracts for Government Bonds and Time Deposits

Swiss Finance Institute Research Paper No. 13-26
Number of pages: 51 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
University of Lugano and Applied Academics LLC
Downloads 150 (355,792)
Citation 5

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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Basis Point Yield Volatility, Quadratic Contracts

7.

The Term Structure of Government Debt Uncertainty

CEPR Discussion Paper No. DP13874
Number of pages: 64 Posted: 02 Aug 2019 Last Revised: 06 May 2020
Antonio Mele, Yoshiki Obayashi and Shihao Yang
University of Lugano, Applied Academics LLC and Harvard University, Department of Statistics, Students
Downloads 0 (1,120,022)
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Abstract:

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fixed income volatility, government bond variance swaps, information content of government bond volatility, Treasury markets