An approximation formula for basket option prices under local stochastic volatility with jumps: An application to commodity markets. - Kenichiro Shiraya; Akihiko Takahashi (J. Comput. Appl. Math., 2016)

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

Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. - Elisa Alòs; Kenichiro Shiraya (Finance Stochastics, 2019)

Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models. - Kenichiro Shiraya; Akihiko Takahashi (Math. Oper. Res., 2019)

A general control variate method for Lévy models in finance. - Kenichiro Shiraya; Hiroki Uenishi; Akira Yamazaki (Eur. J. Oper. Res., 2020)

On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility. - Elisa Alòs; Frido Rolloos; Kenichiro Shiraya (SIAM J. Financial Math., 2021)

A Lower Bound for the Volatility Swap in the Lognormal SABR Model. - Elisa Alòs; Frido Rolloos; Kenichiro Shiraya (Axioms, 2023)

Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility. - Kenichiro Shiraya; Tomohisa Yamakami (Eur. J. Oper. Res., 2024)