Kyoto University - Graduate School of Economics
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Wiener-Ito chaos expansion, Hermite polynomial, successive substitution, diffusion
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mortgage-loan portfolios, risk evaluation model, no-arbitrage framework
Average option; VWAP option; Local volatility model; Mean-reverting process
Wiener-Ito chaos expansion, local volatility, average option, basket option, spread option, Asian basket option
Environmental Kuznets curve, Pollution, Turning point,0 Inverted-U-shape, N-shape, Λ-shape, Economic growth, Real option
Environmental Kuznets curve, real option, alternating renewal process
financial engineering, mathematical finance, real options, credit risk, option pricing, transaction cost, market microstructure
Tradable permits, emission trading, state price density, Esscher transform
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