Kenichiro Shiraya

Available identifiers

Publication	Date of Publication	Type
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility	2024-06-17	Paper
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

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