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 357 (85,807)

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

2.

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 209 (150,310)

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correlated credit risk, structured security, portfolio approximation

3.

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 204 (153,760)

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

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 (234,550)
Citation 1

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Convertible bond, Investment decision, Optimal stopping, Game options

5.

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 62 (361,769)

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

6.

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 57 (377,000)

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

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 50 (400,106)
Citation 1

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

8.

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 (445,797)

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

9.

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 35 (458,544)

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

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 (550,055)
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