Daisuke Yoshikawa

Kansai University

Professor

3-3-35 Yamate-cho

Suita, Osaka 564-8680

Japan

SCHOLARLY PAPERS

9

DOWNLOADS

633

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (9)

1.

A Note on Utility-Based Pricing

Mathematics and Financial Economics, Vol. 9, No. 3, 2015
Number of pages: 7 Posted: 05 Aug 2010 Last Revised: 29 Jul 2015
Mark Davis and Daisuke Yoshikawa
Imperial College London and Kansai University
Downloads 179 (244,231)
Citation 3

Abstract:

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utility-based pricing, utility indifference pricing, equilibrium, exponential utility

2.

An Equilibrium Approach to Indifference Pricing

In: M. Kijima, Y. Muromachi and T. Shibata (Eds.), Recent Advances in Financial Engineering, World Scientific, pp.29-56, (2016), with corrections and additional topics, as the title "An equilibrium approach to indifference pricing with model uncertainty".
Number of pages: 16 Posted: 11 Mar 2010 Last Revised: 07 Apr 2016
Mark Davis and Daisuke Yoshikawa
Imperial College London and Kansai University
Downloads 165 (261,810)
Citation 7

Abstract:

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Indifference Pricing, Equilibrium

3.

A Note on Utility-Based Pricing in Models with Transaction Costs

Mathematics and Financial Economics, Vol. 9, No. 3, 2015
Number of pages: 12 Posted: 30 Mar 2012 Last Revised: 29 Jul 2015
Mark Davis and Daisuke Yoshikawa
Imperial College London and Kansai University
Downloads 123 (329,621)
Citation 1

Abstract:

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equilibrium, transaction costs, indifference pricing, utility-based price

4.

The Disposition Effect under the Reference Dependent Smooth Model of Ambiguity

Number of pages: 32 Posted: 01 Oct 2019
Hideki Iwaki and Daisuke Yoshikawa
Kyoto Sangyo University - Faculty of Business Administration and Kansai University
Downloads 55 (528,472)

Abstract:

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Disposition Effect, Prospect Theory, Ambiguity, Smooth Model of Ambiguity

Analyzing Equilibrium in Incomplete Markets with Model Uncertainty

Number of pages: 29 Posted: 27 Jul 2015
Daisuke Yoshikawa
Kansai University
Downloads 46 (581,497)

Abstract:

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Utility indifference pricing, Utility-based pricing, Partial equilibrium, Model uncertainty, Maxmin expected utility

Analyzing Equilibrium in Incomplete Markets with Model Uncertainty

International Review of Finance, Vol. 17, Issue 2, pp. 235-262, 2017
Number of pages: 28 Posted: 03 Jun 2017
Daisuke Yoshikawa
Kansai University
Downloads 0

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6.

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 40 (601,887)

Abstract:

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Transaction costs; Optimal trading strategy; Investor; Market maker

7.

A Note on Model Uncertainty for Statistical Arbitrage

Number of pages: 20 Posted: 18 May 2022
Daisuke Yoshikawa
Kansai University
Downloads 25 (698,821)

Abstract:

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Kullback-Leibler divergence, relative entropy, optimal stopping, robustness, certainty equivalent, Ornstein-Uhlenbeck (OU) process

8.

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
Takaaki Ozeki, Yuji Umezawa, Akira Yamazaki and Daisuke Yoshikawa
Mizuho-DL Financial Technology Co., Ltd., Mizuho-DL Financial Technology Co., Ltd., Hosei University - Graduate School of Business Administration and Kansai University

Abstract:

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

9.

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
Takaaki Ozeki, Yuji Umezawa, Akira Yamazaki and Daisuke Yoshikawa
Mizuho-DL Financial Technology Co., Ltd., Mizuho-DL Financial Technology Co., Ltd., Hosei University - Graduate School of Business Administration and Kansai University

Abstract:

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