Masahiko Egami

Available identifiers

zbMath Open egami.masahikoMaRDI QIDQ784740

List of research outcomes

Publication	Date of Publication	Type
On Decomposition of the Last Passage Time of Diffusions	2022-10-03	Paper
Time reversal and last passage time of diffusions with applications to credit risk management	2020-08-03	Paper
A direct solution method for pricing options in regime‐switching models	2020-05-14	Paper
A direct solution method for pricing options involving the maximum process	2017-10-23	Paper
Explicit Solutions for Optimal Stopping of Linear Diffusion and its Maximum	2016-09-10	Paper
An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem	2015-11-06	Paper
Explicit Solutions for Optimal Stopping of Maximum Process with Absorbing Boundary that Varies with It	2015-09-28	Paper
Phase-type Fitting of scale functions for spectrally negative Lévy processes	2014-07-16	Paper
On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models	2014-05-09	Paper
Precautionary measures for credit risk management in jump models	2014-04-25	Paper
Optimal Stopping When the Absorbing Boundary is Following After	2013-08-02	Paper
Default swap games driven by spectrally negative Lévy processes	2013-01-24	Paper
Optimal Stopping Problems for Asset Management	2012-11-02	Paper
An Analysis of Monotone Follower Problems for Diffusion Processes	2011-04-27	Paper
On the One-Dimensional Optimal Switching Problem	2011-04-27	Paper
A game options approach to the investment problem with convertible debt financing	2010-09-07	Paper
A unified treatment of dividend payment problems under fixed cost and implementation delays	2010-04-23	Paper
A continuous-time search model with job switch and jumps	2009-11-25	Paper
A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions	2009-05-27	Paper
Optimal reinsurance strategy under fixed cost and delay	2009-04-02	Paper
Indifference prices of structured catastrophe (CAT) bonds	2009-01-28	Paper
Optimizing venture capital investments in a jump diffusion model	2008-04-23	Paper
A Direct Method for Solving Optimal Switching Problems of One-Dimensional Diffusions	2007-04-09	Paper
The effects of implementation delay on decision-making under uncertainty	2007-02-26	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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