Kenichiro Shiraya

Orcid: 0000-0002-0120-8554

According to our database1, Kenichiro Shiraya authored at least 8 papers between 2016 and 2024.

Collaborative distances:
  • Dijkstra number2 of six.
  • Erdős number3 of five.

Timeline

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PhD thesis 
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Bibliography

2024
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility.
Eur. J. Oper. Res., 2024

2023
A Lower Bound for the Volatility Swap in the Lognormal SABR Model.
Axioms, August, 2023

2021
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility.
SIAM J. Financial Math., 2021

2020
A general control variate method for Lévy models in finance.
Eur. J. Oper. Res., 2020

2019
Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models.
Math. Oper. Res., 2019

Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach.
Finance Stochastics, 2019

2017
A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance.
Eur. J. Oper. Res., 2017

2016
An approximation formula for basket option prices under local stochastic volatility with jumps: An application to commodity markets.
J. Comput. Appl. Math., 2016


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