Stochastic processes with applications to finance

By 木島正明. 2002

117 citations recorded by the source corpus.

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A multi-quality model of interest rates (2009, methodology): “As shown by Kijima and Tanaka (2007), the onefactor quadratic Gaussian model is well-fitted to a low-interest-rate environment such as JPY,y while the performance of the Vasicek model (as well as the CIR model) is not so good.”
CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009, background): “For further background on credit risk, see Bielecki and Rutkowski (2002), Das (1995), Duffie and Singleton (2003), Kijima (2002), Lando (2004), and Schönbucher (2003).”
Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007, background): “There is a large literature on jump-diffusion models in finance, including several excellent books, e.g. the books by Cont and Tankov (2004), Kijima (2002).”
Option Pricing Under a Double Exponential Jump Diffusion Model (2004, background): “[18], Cont and Tankov [21], and Kijima [32].”
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms (2005, background): “For a survey of other alternative models for equity and interest rate derivatives with jumps, see Cont and Tankov (2004a), Hull (2002), Kijima (2002), and Glasserman and Kou (2004).”
Stochastic processes in science, engineering, and finance (2006, background): “Hence, other stochastic models have been proposed for the price development of risky securities [12, 50, 64, 74].”