Jun Sekine

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Notes on backward stochastic differential equations for computing XVA	2024-04-03	Paper
Backward stochastic difference equations on lattices with application to market equilibrium analysis	2023-12-17	Paper
Stochastic modelling with randomized Markov bridges	2022-07-06	Paper
Stochastic modelling with randomized Markov bridges	2022-04-29	Paper
ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL	2021-10-26	Paper
Optimal portfolio for a highly risk-averse investor: A differential game interpretation	2019-03-12	Paper
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps	2018-12-03	Paper
Order estimates for the exact Lugannani-Rice expansion	2016-04-04	Paper
A one-factor conditionally linear commodity pricing model under partial information	2015-08-06	Paper
Long-term optimal investment with a generalized drawdown constraint	2014-01-23	Paper
Long-term optimal portfolios with floor	2012-11-15	Paper
Risk-sensitive portfolio optimization with two-factor having a memory effect	2012-03-09	Paper
Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem	2010-12-03	Paper
A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM	2009-02-26	Paper
On a robustness of quantile hedging: Complete market's case	2009-02-06	Paper
Marginal distribution of some path-dependent stochastic volatility model	2008-09-29	Paper
On exponential hedging and related quadratic backward stochastic differential equations	2006-11-17	Paper
A note on long-term optimal portfolios under drawdown constraints	2006-11-02	Paper
https://portal.mardi4nfdi.de/entity/Q5482561	2006-08-28	Paper
Dynamic Minimization of Worst Conditional Expectation of Shortfall	2005-05-09	Paper
https://portal.mardi4nfdi.de/entity/Q3158932	2005-02-01	Paper
On superhedging under delta constraints	2002-09-05	Paper
Quantile hedging for defaultable securities in an incomplete market	2001-09-23	Paper
Information geometry for symmetric diffusions	2001-02-18	Paper
Mean-variance hedging in continuous-time with stochastic interest rate	2000-03-14	Paper
The Hilbert Riemannian structure of equivalent Gaussian measures associated with the Fisher information	1996-01-15	Paper
https://portal.mardi4nfdi.de/entity/Q3985356	1992-06-27	Paper

Research outcomes over time

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