Kenichiro Shiraya

Publication Activity (10 Years)

Years Active: 2016-2024
Publications (10 Years): 8

Top Topics

Diffusion Models

Monte Carlo Sampling

Top Venues

Eur. J. Oper. Res.

Finance Stochastics

J. Comput. Appl. Math.

Math. Oper. Res.

Publications

Kenichiro Shiraya, Tomohisa Yamakami
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility. Eur. J. Oper. Res. 314 (3) (2024)
Elisa Alòs, Frido Rolloos, Kenichiro Shiraya
A Lower Bound for the Volatility Swap in the Lognormal SABR Model. Axioms 12 (8) (2023)
Elisa Alòs, Frido Rolloos, Kenichiro Shiraya
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility. SIAM J. Financial Math. 12 (2) (2021)
Kenichiro Shiraya, Hiroki Uenishi, Akira Yamazaki
A general control variate method for Lévy models in finance. Eur. J. Oper. Res. 284 (3) (2020)
Elisa Alòs, Kenichiro Shiraya
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Finance Stochastics 23 (2) (2019)
Kenichiro Shiraya, Akihiko Takahashi
Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models. Math. Oper. Res. 44 (1) (2019)
Kenichiro Shiraya, Akihiko Takahashi
A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance. Eur. J. Oper. Res. 258 (1) (2017)
Kenichiro Shiraya, Akihiko Takahashi
An approximation formula for basket option prices under local stochastic volatility with jumps: An application to commodity markets. J. Comput. Appl. Math. 292 (2016)