Koichi Matsumoto

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
Hedging derivatives on two assets with model risk Asia-Pacific Financial Markets	2020-05-13	Paper
Tail VaR measures in a multi-period setting Applied Mathematical Finance	2018-09-11	Paper
Option replication in discrete time with illiquidity Applied Mathematical Finance	2018-07-20	Paper
Partial super-hedging of derivatives with model risk Japan Journal of Industrial and Applied Mathematics	2017-12-12	Paper
Simple improvement method for upper bound of American option Stochastics	2012-01-03	Paper
Optimal growth rate in random trade time Advance in Mathematical Economics	2010-01-18	Paper
Mean-variance hedging with uncertain trade execution Applied Mathematical Finance	2009-12-16	Paper
Portfolio insurance with liquidity risk Asia-Pacific Financial Markets	2009-09-18	Paper
Dynamic programming and mean-variance hedging with partial execution risk Review of Derivatives Research	2009-08-31	Paper
Optimal portfolio of low liquid assets with a log-utility function Finance and Stochastics	2006-05-24	Paper
Implied default probability and credit derivatives Asia-Pacific Financial Markets	2006-02-23	Paper
scientific article; zbMATH DE number 2110050 (Why is no real title available?)	2004-10-25	Paper

Research outcomes over time

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