Junichi Imai – 研究成果 — Keio University

Scopus著者プロファイル

ウェブサイトhttps://k-ris.keio.ac.jp/html/100011474_ja.html

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年別の研究成果

Pureに変更を加えた場合、すぐここに表示されます。

15 Article
1 Conference contribution
1 Conference article

15 件

フィルター

2022
A Numerical Method for Hedging Bermudan Options under Model Uncertainty
Imai, J., 2022 6月, In: Methodology and Computing in Applied Probability. 24, 2, p. 893-916 24 p.
研究成果: Article › 査読
2021
Estimating parameters for technology investments: An application to 3d printing
Schneider, R., Hirakawa, H., Hosoda, N., Jin, R. & Imai, J., 2021 7月 31, In: Journal of the Operations Research Society of Japan. 64, 3, p. 129-157 29 p.
研究成果: Article › 査読

Open Access
2018
An empirical analysis of the dependence structure of international equity and bond markets using regime-switching copula model
Otani, Y. & Imai, J., 2018 5月 28, In: IAENG International Journal of Applied Mathematics. 48, 2, p. 191-205 15 p.
研究成果: Article › 査読
4 被引用数 (Scopus)
2014
Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process
Imai, J., 2014 6月, In: Mathematics and Computers in Simulation. 100, p. 54-71 18 p.
研究成果: Article › 査読
Dimension Reduction for Pricing Options Under Multidimensional Lévy Processes
Imai, J., 2014 3月, In: Asia-Pacific Financial Markets. 22, 1, p. 1-26 26 p.
研究成果: Article › 査読
Distributional Bounds for Portfolio Risk with Tail Dependence
So, K. & Imai, J., 2014 2月 14, In: Methodology and Computing in Applied Probability. 17, 3, p. 795-816 22 p.
研究成果: Article › 査読
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-A2121
研究成果: Article › 査読
9 被引用数 (Scopus)
2013
Comparison of random number generators via Fourier transform
Imai, J., 2013 10月 1, In: Monte Carlo Methods and Applications. 19, 3, p. 237-259 23 p.
研究成果: Article › 査読
1 被引用数 (Scopus)
Numerical inverse Lévy measure method for infinite shot noise series representation
Imai, J. & Kawai, R., 2013, In: Journal of Computational and Applied Mathematics. 253, p. 264-283 20 p.
研究成果: Article › 査読
9 被引用数 (Scopus)
Pricing portfolio credit derivatives with stochastic recovery and systematic factor
Otani, Y. & Imai, J., 2013 11月 1, In: IAENG International Journal of Applied Mathematics. 43, 4, p. 176-184 9 p.
研究成果: Article › 査読
7 被引用数 (Scopus)
2011
On finite truncation of infinite shot noise series representation of tempered stable laws
Imai, J. & Kawai, R., 2011 11月 1, In: Physica A: Statistical Mechanics and its Applications. 390, 23-24, p. 4411-4425 15 p.
研究成果: Article › 査読
22 被引用数 (Scopus)
2010
Quasi-Monte Carlo method for in finitely divisible random vectors via series representations
Imai, J. & Kawai, R., 2010, In: SIAM Journal on Scientific Computing. 32, 4, p. 1879-1897 19 p.
研究成果: Article › 査読
11 被引用数 (Scopus)
2009
Dimension reduction approach to simulating exotic options in a Meixner Levy market
Imai, J. & Tan, K. S., 2009 11月 1, In: IAENG International Journal of Applied Mathematics. 39, 4, p. 1-11 11 p.
研究成果: Article › 査読
11 被引用数 (Scopus)
2008
Computation of optimal portfolios using simulation-based dimension reduction
Boyle, P., Imai, J. & Tan, K. S., 2008 12月, In: Insurance: Mathematics and Economics. 43, 3, p. 327-338 12 p.
研究成果: Article › 査読
6 被引用数 (Scopus)
2001
Dynamic Fund Protection
Imai, J. & Boyle, P. P., 2001 7月 1, In: North American Actuarial Journal. 5, 3, p. 31-47 17 p.
研究成果: Article › 査読
31 被引用数 (Scopus)