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Research Output

  • 29 Citations
  • 2 h-Index
  • 10 Article

Hedging Derivatives on Two Assets with Model Risk

Matsumoto, K. & Shimizu, K., Mar 1 2020, In : Asia-Pacific Financial Markets. 27, 1, p. 83-95 13 p.

Research output: Contribution to journalArticle

  • 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

  • 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

  • 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

  • 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

  • 1 Citation (Scopus)