Masahiko Egami

Kyoto University

Yoshida-Honmachi

Sakyo-ku

Kyoto, 606-8501

Japan

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

1.

An Analysis of CDS Market Liquidity by the Hawkes Process

Number of pages: 34 Posted: 15 Jan 2013 Last Revised: 26 Mar 2013
Masahiko Egami, Yasuyuki Kato and Tomochika Sawaki
Kyoto University, Kyoto University and Independent
Downloads 371 (92,367)

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CDS contract, liquidity, bid-ask spread, the Hawkes process, self-exciting processes, financial crisis, credit risk

2.

A Model for Bank's Asset Securitization Program

Number of pages: 20 Posted: 21 Apr 2010 Last Revised: 22 Feb 2017
Masahiko Egami and Kaoru Hosono
Kyoto University and Gakushuin University - Economics
Downloads 220 (159,779)

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Asset securitization program, leverage, singular stochastic control, bubble and crisis

3.

An Approximation Method for Analysis and Valuation of Credit Correlation Derivatives

Journal of Banking and Finance, Forthcoming
Number of pages: 25 Posted: 23 Nov 2005
Masahiko Egami and Kian Esteghamat
Kyoto University and Princeton University - Department of Operations Research and Financial Engineering
Downloads 212 (165,447)

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correlated credit risk, structured security, portfolio approximation

4.

A Game Options Approach to the Investment Problem with Convertible Securities Financing

Number of pages: 22 Posted: 31 Aug 2008
Masahiko Egami
Kyoto University
Downloads 124 (260,560)
Citation 1

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Convertible bond, Investment decision, Optimal stopping, Game options

5.

Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage

Number of pages: 36 Posted: 17 Jul 2019 Last Revised: 01 Aug 2019
Masahiko Egami and Rusudan Kevkhishvili
Kyoto University and Graduate School of Economics, Kyoto University
Downloads 86 (333,641)

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CDS spreads, negative basis arbitrage, shot noise, structural model

6.

Options on Multiple Assets in a Mean-Reverting Model

Number of pages: 17 Posted: 02 May 2010
Masahiko Egami and Tadao Oryu
Kyoto University and Kyoto University - Graduate School of Economics
Downloads 64 (393,796)

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options on multiple assets, optimal stopping, mean-reverting model, exercise boundaries

7.

A Framework for the Study of Expansion Options, Loan Commitments and Agency Costs

Number of pages: 24 Posted: 21 Jul 2008
Masahiko Egami
Kyoto University
Downloads 51 (438,468)
Citation 1

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Irreversible investment, bankruptcy cost, agency costs, optimal stopping, loan commitment

8.

A Direct Solution Method for Pricing Options in Regime-Switching Models

Number of pages: 28 Posted: 12 Jan 2018 Last Revised: 21 Sep 2018
Masahiko Egami and Rusudan Kevkhishvili
Kyoto University and Graduate School of Economics, Kyoto University
Downloads 39 (488,001)

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Optimal stopping, Markov switching, Diffusion, Concavity, Perpetual Options

9.

Default Swap Games Driven by Spectrally Negative Levy Processes

Stochastic Processes & their Applications, 123(2): 347-384, 2013.
Number of pages: 33 Posted: 26 Feb 2012 Last Revised: 08 Jan 2013
Tim Leung, Kazutoshi Yamazaki and Masahiko Egami
University of Washington - Department of Applied Math, Kansai University - Department of Mathematics and Kyoto University
Downloads 38 (492,467)

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optimal stopping games, Nash equilibrium, Levy processes, scale function, default swaps

10.

Optimal Stopping When the Absorbing Boundary is Following After

Number of pages: 14 Posted: 03 Aug 2013
Masahiko Egami and Tadao Oryu
Kyoto University and Kyoto University - Graduate School of Economics
Downloads 18 (607,090)
Citation 1

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High leverage, Bank Failure, Optimal stopping, excursion theory

11.

Recent Advances in Financial Engineering

Recent Advances in Financial Engineering: Proceedings of the 2008 Daiwa International Workshop on Financial Engineering, Otemachi Sankei Plaza, Tokyo, Japan, August 4 – 5, 2008
Posted: 08 Sep 2009
Masaaki Kijima and Masahiko Egami
Kyoto University - Graduate School of Economics and Kyoto University

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financial engineering, mathematical finance, real options, credit risk, option pricing, transaction cost, market microstructure