If you made any changes in Pure these will be visible here soon.

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

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 2003 2019

  • 29 Citations
  • 2 h-Index
  • 10 Article

Hedging Derivatives on Two Assets with Model Risk

Matsumoto, K. & Shimizu, K., Jan 1 2019, (Accepted/In press) In : Asia-Pacific Financial Markets.

Research output: Contribution to journalArticle

Model risk
Hedging
Derivatives
Assets
Optimal solution

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 journalArticle

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 journalArticle

Time Consistency
Value at Risk
Risk Measures
Tail
Coherent Risk Measures
1 Citation (Scopus)

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 journalArticle

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 journalArticle

American Options
Martingale
Upper bound
Stopping Time
Costs