Takaaki Ozeki

Mizuho-DL Financial Technology Co., Ltd.

Japan

SCHOLARLY PAPERS

3

DOWNLOADS

649

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

A Note on the Black-Scholes Implied Volatility with Default Risk

Wilmott Journal, Vol. 2, No. 3, 2010
Number of pages: 19 Posted: 12 Nov 2008 Last Revised: 14 Jun 2016
Merrill Lynch & Co., Mizuho-DL Financial Technology Co., Ltd., Mizuho-DL Financial Technology Co., Ltd. and Hosei University - Graduate School of Business Administration
Downloads 649 (41,902)

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Implied Volatility, Default Probability, Arbitrage-Free Condition

2.

An Extension of CreditGrades Model Approach with Levy Processes

Quantitative Finance, Vol. 11, No. 12, 2011
Posted: 15 Nov 2008 Last Revised: 27 Nov 2011
Mizuho-DL Financial Technology Co., Ltd., Mizuho-DL Financial Technology Co., Ltd., Hosei University - Graduate School of Business Administration and Hokkai-Gakuen University

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CreditGrades Model, Levy Process, Equity Option, Credit Default Swap, Wiener-Hopf Factorization

3.

Valuation of Residential Mortgage-Backed Securities with Proportional Hazard Model: Cumulant Expansion Approach to Pricing RMBS

Journal of Fixed Income, Vol. 18, No. 4, 2009
Posted: 12 Nov 2008 Last Revised: 16 Mar 2010
Mizuho-DL Financial Technology Co., Ltd., Mizuho-DL Financial Technology Co., Ltd., Hosei University - Graduate School of Business Administration and Hokkai-Gakuen University

Abstract:

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Residential Mortgage-Backed Security, Prepayment Risk, Proportional Hazard Model, Cumulant Expansion