Yoshiki Obayashi

Applied Academics LLC

United States

SCHOLARLY PAPERS

6

DOWNLOADS
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Top 31,758

in Total Papers Downloads

1,397

CITATIONS
Rank 33,403

SSRN RANKINGS

Top 33,403

in Total Papers Citations

11

Scholarly Papers (6)

1.

The Lifetime of a Financial Bubble

Number of pages: 25 Posted: 16 Jun 2015 Last Revised: 08 Apr 2016
Yoshiki Obayashi, Philip Protter and Shihao Yang
Applied Academics LLC, Columbia University and Harvard University, Department of Statistics, Students
Downloads 364 (80,117)
Citation 2

Abstract:

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Financial Bubbles, Bubble Lifetimes, Strict Local Martingales, Generalized Gamma Distributions

2.

The Price of Government Bond Volatility

Swiss Finance Institute Research Paper No. 13-27
Number of pages: 39 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
USI Università della Svizzera italiana and Applied Academics LLC
Downloads 319 (93,065)
Citation 4

Abstract:

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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Basis Point Yield Volatility, Quadratic Contracts

3.

Dynamics of Interest Rate Swap and Equity Volatilities

Swiss Finance Institute Research Paper No. 13-23
Number of pages: 16 Posted: 26 Apr 2013
Antonio Mele, Yoshiki Obayashi and Catherine Shalen
USI Università della Svizzera italiana, Applied Academics LLC and Chicago Board Options Exchange (CBOE)
Downloads 283 (105,962)

Abstract:

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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, SRVX Index, Basis Point Variance, Variance Risk-Premiums

4.

Credit Variance Swaps and Volatility Indexes

Swiss Finance Institute Research Paper No. 13-24
Number of pages: 31 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
USI Università della Svizzera italiana and Applied Academics LLC
Downloads 188 (158,606)

Abstract:

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Credit Default Swap Volatility, Credit Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Quadratic Contracts

5.

Volatility Indexes and Contracts for Eurodollar and Related Deposits

Swiss Finance Institute Research Paper No. 13-25
Number of pages: 30 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
USI Università della Svizzera italiana and Applied Academics LLC
Downloads 132 (213,976)
Citation 2

Abstract:

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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Basis Point Yield Volatility, Quadratic Contracts

6.

Volatility Indexes and Contracts for Government Bonds and Time Deposits

Swiss Finance Institute Research Paper No. 13-26
Number of pages: 51 Posted: 26 Apr 2013
Antonio Mele and Yoshiki Obayashi
USI Università della Svizzera italiana and Applied Academics LLC
Downloads 111 (243,429)
Citation 3

Abstract:

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Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Basis Point Yield Volatility, Quadratic Contracts