Yuji Umezawa

Mizuho-DL Financial Technology Co., Ltd.

Japan

SCHOLARLY PAPERS

4

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849

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (4)

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 (41,824)

Abstract:

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Implied Volatility, Default Probability, Arbitrage-Free Condition

2.

Pricing Path-Dependent Options with Discrete Monitoring Under Time-Changed Levy Processes

Applied Mathematical Finance, Forthcoming
Number of pages: 27 Posted: 11 Sep 2012 Last Revised: 17 Sep 2014
Yuji Umezawa and Akira Yamazaki
Mizuho-DL Financial Technology Co., Ltd. and Hosei University - Graduate School of Business Administration
Downloads 200 (159,423)
Citation 2

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time-changed Levy process, intertemporal joint distribution, multivariate characteristic function, Fourier transform, path-dependent options

3.

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

4.

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

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