Hideyuki Takada

Toho University

Assistant Professor

Room 4421

Miyama 2-2-1

Funabashi, Chiba 274-8510

Japan

SCHOLARLY PAPERS

7

DOWNLOADS

481

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (7)

1.

Exact and Efficient Simulation of Correlated Defaults

Number of pages: 36 Posted: 01 Nov 2009 Last Revised: 01 Oct 2010
Stanford University - Department of Management Science & Engineering, Stanford University, Stanford University - Department of Management Science & Engineering and Toho University
Downloads 181 (215,157)
Citation 1

Abstract:

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

2.

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

Number of pages: 44 Posted: 16 Aug 2015 Last Revised: 30 Jun 2019
Simone Farinelli and Hideyuki Takada
Core Dynamics GmbH and Toho University
Downloads 95 (350,341)
Citation 2

Abstract:

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Arbitrage, Spectral Theory, Stochastic Differential Geometry

3.

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 73 (409,804)
Citation 4

Abstract:

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Geometric Arbitrage, Black-Scholes PDE, Expected Utility Maximization

4.

Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk

Number of pages: 37 Posted: 28 Jun 2014 Last Revised: 30 Jun 2019
Simone Farinelli and Hideyuki Takada
Core Dynamics GmbH and Toho University
Downloads 56 (468,549)
Citation 1

Abstract:

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

5.

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 54 (476,224)

Abstract:

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

6.

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

Number of pages: 51 Posted: 20 Jun 2019 Last Revised: 08 Jul 2019
Simone Farinelli and Hideyuki Takada
Core Dynamics GmbH and Toho University
Downloads 22 (644,339)

Abstract:

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Geometric Arbitrage, Arbitrage Bubbles, Minimal Arbitrage Dynamics

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

Abstract:

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