Research Output per year

## 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

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

## Research Output 2001 2018

## An empirical analysis of the dependence structure of international equity and bond markets using regime-switching copula model

Otani, Y. & Imai, J., 2018 May 28, In : IAENG International Journal of Applied Mathematics. 48, 2, p. 191-205 15 p.Research output: Contribution to journal › Article

Regime-switching Model

Copula Models

Dependence Structure

Empirical Analysis

Equity

## Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process

Imai, J., 2014, In : Mathematics and Computers in Simulation. 100, p. 54-71 18 p.Research output: Contribution to journal › Article

Option Pricing

Probability density function

Discrepancy

Trajectories

Mesh

## Dimension Reduction for Pricing Options Under Multidimensional Lévy Processes

Imai, J., 2014, In : Asia-Pacific Financial Markets. 22, 1Research output: Contribution to journal › Article

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 journal › Article

Tail Dependence

Risk Measures

Expected Shortfall

Copula Models

Financial Risk

7
Citations
(Scopus)

## Pricing derivative securities using integrated Quasi-Monte Carlo methods with dimension reduction and discontinuity realignment

Imai, J. & Tan, K. S., 2014, In : SIAM Journal on Scientific Computing. 36, 5, p. A2101-A2121Research output: Contribution to journal › Article

Quasi-Monte Carlo Methods

Linear transformations

Dimension Reduction

Pricing

Discontinuity