Hideyuki Takada

Toho University

Assistant Professor

Room 4421

Miyama 2-2-1

Funabashi, Chiba 274-8510

Japan

  • Toho University

    • Email
    • Tel: (+81)-47-472-1856
SCHOLARLY PAPERS

7

DOWNLOADS

690

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (7)

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1.

Exact and Efficient Simulation of Correlated Defaults

Number of pages: 36 Posted: 01 Nov 2009 Last Revised: 01 Oct 2010
Kay Giesecke, Hossein Kakavand, Mohammad Mousavi and Hideyuki Takada
Stanford University - Department of Management Science & Engineering, Stanford University, Stanford University - Department of Management Science & Engineering and Toho University
Downloads 218 (240,188)
Citation 3

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Correlated Default Risk, Portfolio Credit Risk, Intensity, Simulation, Variance Reduction, Intensity Model

2.

The Black-Scholes Equation in Presence of Arbitrage

Number of pages: 32 Posted: 20 Dec 2016 Last Revised: 28 Jun 2019
Simone Farinelli and Hideyuki Takada
Core Dynamics GmbH and Toho University
Downloads 134 (364,306)
Citation 2

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Geometric Arbitrage, Black-Scholes PDE, Expected Utility Maximization

3.

Can You Hear the Shape of a Market? Geometric Arbitrage and Spectral Theory

Axioms 2021, 10(4).
Number of pages: 31 Posted: 16 Aug 2015 Last Revised: 15 Jun 2022
Simone Farinelli and Hideyuki Takada
Core Dynamics GmbH and Toho University
Downloads 117 (403,264)
Citation 2

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Arbitrage, Spectral Theory, Stochastic Differential Geometry

4.

When Risks and Uncertainties Collide: Quantum Mechanical Formulation of Mathematical Finance for Arbitrage Markets

Chapter 16 - When risks and uncertainties collide: quantum mechanical formulation of mathematical finance for arbitrage markets, Mechanics and Physics of Structured Media, Asymptotic and Integral Equations Methods of Leonid Filshtinsky, 2022, Pages 327-355, Academic Press
Number of pages: 32 Posted: 20 Jun 2019 Last Revised: 15 Jun 2022
Simone Farinelli and Hideyuki Takada
Core Dynamics GmbH and Toho University
Downloads 78 (526,822)

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Geometric Arbitrage, Arbitrage Bubbles, Minimal Arbitrage Dynamics

5.

Geometry and Spectral Theory Applied to Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk

Symmetry 2022, 14
Number of pages: 25 Posted: 28 Jun 2014 Last Revised: 28 Jun 2022
Simone Farinelli and Hideyuki Takada
Core Dynamics GmbH and Toho University
Downloads 74 (542,964)
Citation 1

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Credit Risk, No-Free-Lunch-With-Vanishing-Risk, Geometric Arbitrage Theory, Arbitrage Credit Bubbles

6.

Numerical Analysis of Rating Transition Matrix Depending on Latent Macro Factor via Nonlinear Particle Filter Method

Journal of Financial Engineering, Vol.1, Issue 3, 2014
Number of pages: 27 Posted: 26 Dec 2014
Hidetoshi Nakagawa and Hideyuki Takada
Hitotsubashi University Business School and Toho University
Downloads 69 (564,022)

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Credit risk, credit rating transition, nonlinear filtering, branching particle filter

7.

Analytical Approximations for Loan and Credit Derivatives Portfolios

Posted: 29 Apr 2012 Last Revised: 20 Jul 2015
Kay Giesecke, Jack Kim and Hideyuki Takada
Stanford University - Department of Management Science & Engineering, Stanford University - Department of Management Science & Engineering and Toho University

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profit and loss distribution, correlated defaults, mark-to-market, short-term approximation