Yuri Imamura

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
A note on subadditivity of value at risks (VaRs): a new connection to comonotonicity Journal of Applied Probability	2026-07-31	Paper
Occupation time, quantile and rank of the Ornstein-Uhlenbeck process and their applications to mathematical finance Frontiers of Mathematical Finance	2025-07-25	Paper
Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment International Journal of Mathematics for Industry	2024-05-29	Paper
On the convergence order of a binary tree approximation of symmetrized diffusion processes Mathematics and Computers in Simulation	2023-06-29	Paper
Hedging error as generalized timing risk Quantitative Finance	2023-06-20	Paper
Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\) Japan Journal of Industrial and Applied Mathematics	2021-05-04	Paper
Correction to: ``Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\)'' Japan Journal of Industrial and Applied Mathematics	2021-05-04	Paper
On distributional and asymptotic results for exponential functional of renewal -- reward processes describing risk models	2020-09-23	Paper
Correction to: ``Towards the exact simulation using hyperbolic Brownian motion'' Japan Journal of Industrial and Applied Mathematics	2018-12-07	Paper
Asymptotic Static Hedge via Symmetrization	2018-01-11	Paper
Towards the exact simulation using hyperbolic Brownian motion Japan Journal of Industrial and Applied Mathematics	2017-12-12	Paper
On a symmetrization of diffusion processes Quantitative Finance	2015-04-08	Paper
A numerical scheme based on semi-static hedging strategy Monte Carlo Methods and Applications	2015-01-22	Paper
Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion Asia-Pacific Financial Markets	2013-04-08	Paper
A remark on static hedging of options written on the last exit time Review of Derivatives Research	2012-01-26	Paper
On the pricing of options written on the last exit time Methodology and Computing in Applied Probability	2009-12-02	Paper

Research outcomes over time

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