Research Output per year

## Fingerprint Dive into the research topics where Koichi Matsumoto is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Hedging
Mathematics

Liquidity
Mathematics

Contingent Claims
Mathematics

Mean-variance Hedging
Mathematics

Time Consistency
Mathematics

Optimal Strategy
Mathematics

American Options
Mathematics

Optimal Portfolio
Mathematics

## Research Output 2003 2017

- 26 Citations
- 2 h-Index
- 9 Article

### Partial super-hedging of derivatives with model risk

Matsumoto, K., Nov 1 2017, In : Japan Journal of Industrial and Applied Mathematics. 34, 3, p. 811-831 21 p.Research output: Contribution to journal › Article

Hedging

Derivatives

Partial

Derivative

Costs

1
Citation
(Scopus)

### Tail VaR Measures in a Multi-period Setting

Katsuki, Y. & Matsumoto, K., Jan 1 2014, In : Applied Mathematical Finance. 21, 3, p. 270-297 28 p.Research output: Contribution to journal › Article

Time Consistency

Value at Risk

Risk Measures

Tail

Coherent Risk Measures

### Option Replication in Discrete Time with Illiquidity

Matsumoto, K., Feb 21 2013, In : Applied Mathematical Finance. 20, 2, p. 167-190 24 p.Research output: Contribution to journal › Article

Replication

Contingent Claims

Liquidity

Discrete-time

Discrete-time Model

1
Citation
(Scopus)

### Simple improvement method for upper bound of American option

Fujii, M., Matsumoto, K. & Tsubota, K., Aug 1 2011, In : Stochastics. 83, 4-6, p. 449-466 18 p.Research output: Contribution to journal › Article

American Options

Martingale

Upper bound

Stopping Time

Costs

2
Citations
(Scopus)

### Dynamic programming and mean-variance hedging with partial execution risk

Matsumoto, K., Apr 1 2009, In : Review of Derivatives Research. 12, 1, p. 29-53 25 p.Research output: Contribution to journal › Article

Mean-variance hedging

Dynamic programming

State variable

Hedging

Hedge