Seisho Sato

Graduate School of Economics, The University of Tokyo

Hongo 7-3-1

Bunkyo-ku

Tokyo 113-0033

Japan

SCHOLARLY PAPERS

4

DOWNLOADS

229

CITATIONS

2

Scholarly Papers (4)

1.

Dynamic Instrument Rules Based on Time Varying Coefficients Vector Autoregressive Modeling and Forecast-Based Monetary Policy

Number of pages: 38 Posted: 10 Feb 2005
Koiti Yano and Seisho Sato
Komazawa University and Graduate School of Economics, The University of Tokyo
Downloads 135 (176,523)

Abstract:

Targeting regimes, forecast-based monetary policy, monetary policy lags, inflation targeting, nominal growth targeting, time varying autoregressive modeling

2.

An FBSDE Approach to American Option Pricing with an Interacting Particle Method

Number of pages: 18 Posted: 26 Nov 2012
Masaaki Fujii, Seisho Sato and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Graduate School of Economics, The University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 47 (300,384)
Citation 2

Abstract:

BSDE, FBSDE, asymptotic expansion, perturbation, particle method

3.

Estimating Style Weights of Mutual Funds by Monte Carlo Filter with Generalized Simulated Annealing

Number of pages: 44 Posted: 08 Jun 2016
Takaya Fukui, Seisho Sato and Akihiko Takahashi
University of Tokyo - Graduate School of Economics, Graduate School of Economics, The University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 0 (416,242)

Abstract:

Style Weights, Mutual Fund, General State Space Model, Monte Carlo filer, Generalized Simulated Annealing

4.

Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment

International Journal of Theoretical and Applied Finance (IJTAF), Vol. 13, No. 2, pp. 335-354, 2010
Posted: 08 Jun 2010 Last Revised: 09 Jun 2010
Kyo Yamamoto, Seisho Sato and Akihiko Takahashi
GCI Asset Management, Inc., Graduate School of Economics, The University of Tokyo and University of Tokyo - Faculty of Economics

Abstract:

Drawdown, Stochastic Voaltility, Singular Perturbation