Kenichiro Shiraya

Available identifiers

zbMath Open shiraya.kenichiroMaRDI QIDQ495064

List of research outcomes

Publication	Date of Publication	Type
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility	2021-09-08	Paper
A general control variate method for Lévy models in finance	2020-05-07	Paper
Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models	2020-03-12	Paper
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach	2019-04-24	Paper
A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance	2018-02-16	Paper
An asymptotic expansion for local-stochastic volatility with jump models	2017-04-11	Paper
An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets	2015-09-09	Paper
Pricing and hedging of long-term futures and forward contracts by a three-factor model	2014-01-30	Paper
Pricing discrete barrier options under stochastic volatility	2013-01-07	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Kenichiro Shiraya