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

Quasi-Monte Carlo Methods Mathematics
Series Representation Mathematics
Dimension Reduction Mathematics
Shot Noise Mathematics
Monte Carlo methods Engineering & Materials Science
Pricing Mathematics
Shot noise Engineering & Materials Science
Derivative Mathematics

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Research Output 2001 2018

  • 101 Citations
  • 7 h-Index
  • 13 Article
  • 2 Conference contribution
Regime-switching Model
Copula Models
Dependence Structure
Empirical Analysis
Equity
Option Pricing
Probability density function
Discrepancy
Trajectories
Mesh
Dimension reduction
Option pricing
Quasi-Monte Carlo methods
Brownian motion
Pricing

Distributional Bounds for Portfolio Risk with Tail Dependence

So, K. & Imai, J., 2014 Feb 14, In : Methodology and Computing in Applied Probability. 17, 3, p. 795-816 22 p.

Research output: Contribution to journalArticle

Tail Dependence
Risk Measures
Expected Shortfall
Copula Models
Financial Risk
7 Citations (Scopus)
Quasi-Monte Carlo Methods
Linear transformations
Dimension Reduction
Pricing
Discontinuity