Akira Yamazaki

Hosei University - Graduate School of Business Administration

Japan

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 31,480

in Total Papers Downloads

3,064

SSRN CITATIONS
Rank 34,882

SSRN RANKINGS

Top 34,882

in Total Papers Citations

23

CROSSREF CITATIONS

7

Scholarly Papers (21)

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 713 (68,904)

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Implied Volatility, Default Probability, Arbitrage-Free Condition

2.

Static Hedging of Defaultable Contingent Claims: A Simple Hedging Scheme Across Equity and Credit Markets

International Journal of Theoretical and Applied Finance, Vol. 14, No. 2, 2011
Number of pages: 33 Posted: 12 May 2009 Last Revised: 20 Apr 2011
Shuichi Ohsaki and Akira Yamazaki
Merrill Lynch & Co. and Hosei University - Graduate School of Business Administration
Downloads 313 (182,359)
Citation 3

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Static hedging, Default risk, Equity options, Defaultable bonds, Structural model, Intensity-based model

3.

Pricing Average Options Under Time-Changed Levy Processes

Review of Derivatives Research, Vol. 17, No. 1, 2014
Number of pages: 31 Posted: 06 Apr 2011 Last Revised: 17 Mar 2014
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 246 (233,062)
Citation 2

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average options, time-changed Levy processes, Gram-Charlier expansion, affine processes, quadratic Gaussian processes

4.

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 232 (246,709)
Citation 2

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

5.

Exponential Levy Models Extended by a Jump to Default

Applied Mathematical Finance, Vol. 20, No. 3, 2013
Number of pages: 17 Posted: 05 Dec 2010 Last Revised: 12 Dec 2013
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 225 (254,034)

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Levy processes, jump to default, proportional hazard model, equity option, credit default swap

6.

Analytical Approximation of Pricing Average Options under the Heston Model

Recent Advances in Financial Engineering, 2011
Number of pages: 17 Posted: 01 Nov 2011 Last Revised: 14 Mar 2012
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 204 (278,312)

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Heston model, average option, Gram-Charlier expansion, moment, Girsanov transform

7.

On Valuation with Stochastic Proportional Hazard Models in Finance

International Journal of Theoretical and Applied Finance, Vol. 16, No. 3, 2013
Number of pages: 34 Posted: 05 Dec 2010 Last Revised: 12 Dec 2013
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 183 (306,731)

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event risk, proportional hazard model, Gaussian process, affine process, quadratic Gaussian process, Levy process, time-changed Levy process

8.

Generalized Barndorff-Nielsen and Shephard Model and Discretely Monitored Option Pricing

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 31 Posted: 05 Aug 2014 Last Revised: 11 Feb 2016
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 175 (319,170)
Citation 1

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Ornstein-Uhlenbeck process, Levy process, intertemporal joint distribution, multivariate characteristic function, asymptotic analysis, discretely monitored path-dependent option

9.

Hedging European Derivatives with the Polynomial Variance Swap Under Uncertain Volatility Environments

International Journal of Theoretical and Applied Finance, Vol. 14, No. 4, 2011
Number of pages: 23 Posted: 22 Oct 2009 Last Revised: 20 Jul 2011
Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki
University of Tokyo - Faculty of Economics, University of Tokyo - Graduate School of Economics and Hosei University - Graduate School of Business Administration
Downloads 164 (337,636)
Citation 3

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European Derivatives, Black-Scholes Delta Hedging, Uncertain Volatility Risk, Polynomial Variance Swap

10.

Probability Weighting and Default Risk: A Possible Explanation for Distressed Stock Puzzles

Number of pages: 48 Posted: 08 Feb 2018 Last Revised: 18 Jan 2019
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 100 (493,572)
Citation 3

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asset pricing puzzles; consumption-based asset pricing; distressed stock; probability weighting function; default risk; business time

11.

A Dynamic Equilibrium Model for U-Shaped Pricing Kernels

Quantitative Finance, 2017
Number of pages: 39 Posted: 11 Feb 2017 Last Revised: 30 Jan 2018
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 100 (493,572)
Citation 6

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stock index, U-shaped pricing kernel, stochastic activity rate, aggregate consumption, physical distribution, risk-neutral distribution, realized variance

12.

Equilibrium Equity Price with Optimal Dividend Policy

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 26 Posted: 09 Jul 2015 Last Revised: 20 Jan 2017
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 96 (506,935)

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equilibrium equity price, optimal dividend policy, risk aversion, aggregate consumption, resumption of dividends, risk premium, jump-diffusion process

13.

When Is the Transaction Cost Optimal?

Number of pages: 39 Posted: 22 Aug 2018
Akira Yamazaki and Daisuke Yoshikawa
Hosei University - Graduate School of Business Administration and Kansai University
Downloads 88 (535,701)

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Transaction costs; Optimal trading strategy; Investor; Market maker

14.

Recovering Subjective Probability Distributions

Number of pages: 39 Posted: 08 Feb 2019 Last Revised: 14 Jan 2020
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 78 (575,940)
Citation 3

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subjective probability distribution; reciprocal kernel; risk aversion; static option portfolio; subjective risk premium

15.

Asset Pricing with Non-Geometric Type of Dividends

Annals of Financial Economics, Vol. 10, No. 2, 2015
Number of pages: 42 Posted: 28 Oct 2014 Last Revised: 11 Feb 2016
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 73 (597,728)

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Lucas model, exponential utility, asset pricing, interest rate, Sharpe ratio, return correlation, Jensen's alpha, small cap premium

16.

Subjective Probability Distributions of Nonlinear Payoffs: Recovering Option Payoff, Agent's Utility, Pricing Kernel Distributions

Number of pages: 47 Posted: 25 Jul 2023 Last Revised: 09 Nov 2023
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 42 (773,691)

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subjective probability distribution, option payoff, utility function, pricing kernel, static replication

17.

Theoretical Relation between Expected Option Returns and Pricing Kernel

Number of pages: 11 Posted: 28 Sep 2022
Akira Yamazaki
Hosei University - Graduate School of Business Administration
Downloads 32 (851,250)

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18.

A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models

Journal of Futures Markets, Vol. 29, No. 5, 2009
Posted: 23 Apr 2011
Akihiko Takahashi and Akira Yamazaki
University of Tokyo - Faculty of Economics and Hosei University - Graduate School of Business Administration

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Static Hedging, Stochastic Volatility, Markovian Projection, Plain Vanilla Option, Heston Model

19.

Efficient Static Replication of European Options under Exponential Lévy Models

Journal of Futures Markets, Vol. 29, No. 1, 2009
Posted: 23 Apr 2011
Akihiko Takahashi and Akira Yamazaki
University of Tokyo - Faculty of Economics and Hosei University - Graduate School of Business Administration

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Static Replication, Exponential Levy Model, Fourier Transform, Plain Vanilla Option, CGMY Model

20.

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 Kansai University

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

21.

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 Kansai University

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