Junichi Imai

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
scientific article; zbMATH DE number 7696336 (Why is no real title available?)	2023-06-15	Paper
scientific article; zbMATH DE number 7696570 (Why is no real title available?)	2023-06-15	Paper
A numerical method for hedging Bermudan options under model uncertainty Methodology and Computing in Applied Probability	2022-07-07	Paper
Estimating parameters for technology investments: an application to 3d printing	2021-11-26	Paper
Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process Mathematics and Computers in Simulation	2021-02-18	Paper
Dimension reduction for pricing options under multidimensional Lévy processes Asia-Pacific Financial Markets	2017-08-16	Paper
Distributional bounds for portfolio risk with tail dependence Methodology and Computing in Applied Probability	2015-09-23	Paper
Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment SIAM Journal on Scientific Computing	2015-01-23	Paper
Numerical inverse Lévy measure method for infinite shot noise series representation Journal of Computational and Applied Mathematics	2014-06-06	Paper
Comparison of random number generators via Fourier transform Monte Carlo Methods and Applications	2013-11-26	Paper
On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws Springer Proceedings in Mathematics & Statistics	2013-07-31	Paper
Dimension reduction approach to simulating exotic options in a Meixner Lévy market	2011-12-24	Paper
Quasi-Monte Carlo method for infinitely divisible random vectors via series representations SIAM Journal on Scientific Computing	2011-05-17	Paper
An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process SIAM Journal on Scientific Computing	2010-06-10	Paper
Computation of optimal portfolios using simulation-based dimension reduction Insurance Mathematics & Economics	2009-01-16	Paper
scientific article; zbMATH DE number 5287156 (Why is no real title available?)	2008-06-11	Paper
Dynamic Fund Protection North American Actuarial Journal	2006-01-13	Paper
scientific article; zbMATH DE number 2051221 (Why is no real title available?)	2004-03-07	Paper

Research outcomes over time

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