Daisuke Yoshikawa

Kansai University

Professor

3-3-35 Yamate-cho

Suita, Osaka 564-8680

Japan

  • Kansai University

SCHOLARLY PAPERS

9

DOWNLOADS

633

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (9)

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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

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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

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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)

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

5.

Analyzing Equilibrium in Incomplete Markets with Model Uncertainty

Downloads 46 (570,167)

Analyzing Equilibrium in Incomplete Markets with Model Uncertainty

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

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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)

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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)

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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