Yoshida-Honmachi
Sakyo-ku
Kyoto, 606-8501
Japan
Kyoto University
CDS contract, liquidity, bid-ask spread, the Hawkes process, self-exciting processes, financial crisis, credit risk
asset process, shot noise, distance-to-default, structural model, credit risk, CDS spread
Asset securitization program, leverage, singular stochastic control, bubble and crisis
correlated credit risk, structured security, portfolio approximation
Convertible bond, Investment decision, Optimal stopping, Game options
Optimal stopping, Markov switching, Diffusion, Concavity, Perpetual Options
options on multiple assets, optimal stopping, mean-reverting model, exercise boundaries
optimal stopping games, Nash equilibrium, Levy processes, scale function, default swaps
Irreversible investment, bankruptcy cost, agency costs, optimal stopping, loan commitment
High leverage, Bank Failure, Optimal stopping, excursion theory
financial engineering, mathematical finance, real options, credit risk, option pricing, transaction cost, market microstructure
