Jiro Akahori : Citation Profile


Are you Jiro Akahori?

3

H index

0

i10 index

36

Citations

RESEARCH PRODUCTION:

7

Articles

10

Papers

1

Chapters

EDITOR:

3

Books edited

1

Series edited

RESEARCH ACTIVITY:

   18 years (1999 - 2017). See details.
   Cites by year: 2
   Journals where Jiro Akahori has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 4 (10 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pak46
   Updated: 2019-11-16    RAS profile: 2017-11-15    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jiro Akahori.

Is cited by:

Laurini, Márcio (2)

Fabozzi, Frank (1)

Cites to:

Jarrow, Robert (5)

Zhou, Hao (3)

Rogers, Leonard (3)

Singleton, Kenneth (2)

Renault, Eric (2)

Leland, Hayne (2)

Duffie, Darrell (2)

Pelsser, Antoon (2)

He, Hua (1)

White, Alan (1)

merton, robert (1)

Main data


Where Jiro Akahori has published?


Journals with more than one article published# docs
Asia-Pacific Financial Markets4

Working Papers Series with more than one paper published# docs
Papers / arXiv.org10

Recent works citing Jiro Akahori (2019 and 2018)


YearTitle of citing document
2018Asymptotic Static Hedge via Symmetrization. (2018). Imamura, Yuri ; Barsotti, Flavia ; Akahori, Jiro. In: Papers. RePEc:arx:papers:1801.04045.

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2018Consistent Valuation Across Curves Using Pricing Kernels. (2018). Mahomed, Obeid ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.04994.

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2018Target volatility option pricing in lognormal fractional SABR model. (2018). Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak ; Alos, Elisa. In: Papers. RePEc:arx:papers:1801.08215.

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2019On the Euler–Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients. (2019). Taguchi, Dai ; Ngo, Hoang-Long. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:161:y:2019:i:c:p:102-112.

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2017Strong convergence for the Euler–Maruyama approximation of stochastic differential equations with discontinuous coefficients. (2017). Ngo, Hoang-Long ; Taguchi, Dai . In: Statistics & Probability Letters. RePEc:eee:stapro:v:125:y:2017:i:c:p:55-63.

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2018Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:18-:d:134969.

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2017Rare event simulation related to financial risks: efficient estimation and sensitivity analysis. (2017). Agarwal, Ankush ; Liu, Gang ; Gobet, Emmanuel ; de Marco, Stefano. In: Working Papers. RePEc:hal:wpaper:hal-01219616.

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2019Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. (2019). Alos, Elisa ; Shiraya, Kenichiro. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00384-5.

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Jiro Akahori is editor of


Journal
Asia-Pacific Financial Markets

Jiro Akahori has edited the books:


YearTitleTypeCited

Works by Jiro Akahori:


YearTitleTypeCited
2009Calibration of transparency risks: a note In: Papers.
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paper0
2009A Heat Kernel Approach to Interest Rate Models In: Papers.
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paper7
2010Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes In: Papers.
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paper7
2012HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2012HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES.(2012) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
chapter
2012On a Symmetrization of Diffusion Processes In: Papers.
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paper4
2014On a symmetrization of diffusion processes.(2014) In: Quantitative Finance.
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This paper has another version. Agregated cites: 4
article
2014The Fourier estimation method with positive semi-definite estimators In: Papers.
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paper0
2017The Value of Timing Risk In: Papers.
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paper1
2019Probability density of lognormal fractional SABR model In: Papers.
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paper2
2017Default Contagion with Domino Effect , A First Passage Time Approach In: Papers.
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paper0
2006Generalizations of Ho-Lees binomial interest rate model I: from one- to multi-factor In: Papers.
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paper3
2006Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor.(2006) In: Asia-Pacific Financial Markets.
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This paper has another version. Agregated cites: 3
article
2006What is the natural scale for a L\evy process in modelling term structure of interest rates? In: Papers.
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paper1
2006What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?.(2006) In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2006LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION In: Mathematical Finance.
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article0
2005A discrete Itô calculus approach to He’s framework for multi-factor discrete markets In: Asia-Pacific Financial Markets.
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article1
1999On the Quasi Gaussian Interest Rate Models In: Asia-Pacific Financial Markets.
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article0

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