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Working Paper
2010 - 2009 >>
Category NO Title Author Release Date
CARF-F-320
Product Downsizing and Hidden Price Increases: Evidence from Japan's Deflationary Period
Satoshi Imai, Tsutomu Watanabe
2013.06
CARF-F-319
A Robust Version of Convex Integral Functionals
Keita Owari
2013.05
CARF-F-318
Dark Sides of Patent Pools with Compulsory Independent Licensing
Akifumi Ishihara,
Noriyuki Yanagawa
2013.05
CARF-F-317
On the Lebesgue Property of Monotone Convex Functions
Keita Owari
2013.05
CARF-F-316
International Trade and Capital Movement
under Financial Imperfection
Taiji Furusawa,
Noriyuki Yanagawa
2013.05
CARF-F-315
Maximum Lebesgue Extension of Monotone Convex Functions
Keita Owari
2013.05
CARF-F-314
Why are product prices in online markets not converging?
Takayuki Mizuno, Tsutomu Watanabe
2013.04
CARF-F-313
Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices
Takaaki Ohnishi, Takayuki Mizuno, Chihiro Shimizu, Tsutomu Watanabe
2013.04
CARF-F-312
Note on an Extension of an Asymptotic Expansion Scheme (Revised version of F-286; Forthcoming in "International Journal of Theoretical and Applied Finance")
Akihiko Takahashi, Masashi Toda
2013.04
CARF-F-311
Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering (Revised version for CARF-F-289: Forthcoming in the Annals of Instituteof Statistical Mathematics)
Masaaki Fujii
2013.03
CARF-F-310
Abenomics and Asset Prices: Is It Case of Self-Fulfilling Expectations?
Kazuo Ueda
2013.03
CARF-F-309
Behavioral Approach to Repeated Games with Private Monitoring
Hitoshi Matsushima, Tomomi Tanaka, Tomohisa Toyama
2013.03
CARF-F-308
Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication (Revised version of CARF-F-150; forthcoming in "Quantitative finance")
Akihiko Takahashi, Kyo Yamamoto
2013.02
CARF-F-307
Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data
C. Shimizu, W. E. Diewert, K. G. Nishimura, T. Watanabe
2013.02
CARF-F-306
Impact of Financial Regulation and Innovation on Bubbles and Crashes due to Limited Arbitrage: Awareness Heterogeneity (Revised version of CARF-F-288)
Hitoshi Matsushima
2013.02
CARF-F-305
A New Improvement Scheme for Approximation Methods of Probability Density Functions
Akihiko Takahashi, Yukihiro Tsuzuki
2013.01
CARF-F-304
An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model (Forthcoming in "JSIAM Letters")
Takashi Kato, Akihiko Takahashi, Toshihiro Yamada
2013.01
CARF-F-303
Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields (Revised in April 2013)
Junko Koeda
2012.12
CARF-F-302
An FBSDE Approach to American Option Pricing with an Interacting Particle Method
Masaaki Fujii, Seisho Sato, Akihiko Takahashi
2012.11
CARF-F-301
Process Manipulation in Unique Implementation (Further revision will be forthcoming in "Social Choice and Welfare")
Hitoshi Matsushima
2012.11
CARF-F-300
On the Optimal Super- and Sub-Hedging Strategies
Yukihiro Tsuzuki
2012.11
CARF-F-299
High quality topic extraction from business news explains abnormal financial market volatility
Ryohei Hisano, Didier Sornette, Takayuki Mizuno, Takaaki Ohnishi, Tsutomu Watanabe
2012.10
CARF-F-298
How Fast Are Prices in Japan Falling?
Satoshi Imai, Chihiro Shimizu, Tsutomu Watanabe
2012.10
CARF-F-297
The Emergence of Different Tail Exponents in the Distributions of Firm Size Variables
Atsushi Ishikawa, Shouji Fujimoto, Tsutomu Watanabe, Takayuki Mizuno
2012.10
CARF-F-296
An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach (Revised in February 2013)
Akihiko Takahashi, Toshihiro Yamada
2012.10
CARF-F-295
Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity
Shin-ichi Fukuda
2012.09
CARF-F-294
Efficient Combinatorial Exchanges with Opt-Out Types (Revised version of CARF-F-258)
Hitoshi Matsushima
2012.09
CARF-F-293
Auctioneer fs Discretion in Combinatorial Auctions (Revised version of CARF-F-261)
Hitoshi Matsushima
2012.09
CARF-F-292
Optimal Multiunit Exchange Design with Single-Dimensionality (Revised version of CARF-F-279)
Hitoshi Matsushima
2012.09
CARF-F-291
How Strongly Do gFinancing Constraints h Affect Firm Behavior?: Japanese Corporate Investment since the Mid-1980s (Revised in November 2012; Forthcoming in "Public Policy Review of the Ministry of Finance, Japan")
Yoshiro Miwa
2012.09
CARF-F-290
Pricing Multi-Asset Cross Currency Options (Revised version of CARF-F-276; Revised in November 2012; Forthcoming in "Journal of Futures Markets")
Kenichiro Shiraya, Akihiko Takahashi
2012.09
CARF-F-289
Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering and other Problems
Masaaki Fujii
2012.09
CARF-F-288
Role of Leverage in Bubbles and Crashes (Revised as CARF-F-306)
Hitoshi Matsushima
2012.08
CARF-F-287
MAXIMUM LEBESGUE EXTENSION OF CONVEX RISK MEASURES
Keita Owari
2012.08
CARF-F-286
Note on an Extension of an Asymptotic Expansion Scheme (Revised as CARF-F-312)
Akihiko Takahashi, Masashi Toda
2012.08
CARF-F-285
Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes (Revised version of CARF-F-121; Forthcoming in "Journal of Economic Theory")
Hitoshi Matsushima
2012.08
CARF-F-284
Inequalities in Japanese Economy during the Lost Decades
Nao Sudo, Michio Suzuki, Tomoaki Yamada
2012.07
CARF-F-283
Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007
Kazuo Ueda
2012.07
CARF-F-282
The Boy Who Cried Bubble: Public Warnings Against Riding Bubbles
Yasushi Asako, Kozo Ueda
2012.06
CARF-F-281
Collateralized CDS and Default Dependence -Implications for the Central Clearing- (Revised version of CARF-F-246; Forthcoming in "The Journal of Credit Risk")
Masaaki Fujii, Akihiko Takahashi
2012.06
CARF-F-280
Channels of Stabilization in a System of Local Public Health Insurance: The Case of the National Health Insurance in Japan
Masayoshi Hayashi
2012.05
CARF-F-279
Optimal Multiunit Exchange Design (Revised as CARF-F-292)
Hitoshi Matsushima
2012.05
CARF-F-278
Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method
Masaaki Fujii, Akihiko Takahashi
2012.04
CARF-F-277
APPLICATION OF THE KUSUOKA APPROXIMATION TO BARRIER OPTIONS
Shigeo Kusuoka, Mariko Ninomiya, Syoiti Ninomiya
2012.03
CARF-F-276
Pricing Multi-Asset Cross Currency Options (Revised as CARF-F-290)
Kenichiro Shiraya, Akihiko Takahashi
2012.03
CARF-F-275
Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003
Hiroyuki Kasahara, Katsumi Shimotsu, Michio Suzuki
2012.02
CARF-F-274
SDE WEAK APPROXIMATION LIBRARY (SDE WA) (VERSION 1.0)
Mariko Ninomiya
2012.02
CARF-F-273
A Remark on Approximation of the Solutions to Partial Differential Equations in Finance (Revised in March 2012; Forthcoming in Recent Advances in Financial Engineering 2011)
Akihiko Takahashi, Toshihiro Yamada
2012.02
CARF-F-272
A General Computation Scheme for a High-Order Asymptotic Expansion Method (Revised version of CARF-F-242 (2011); Subsequently published in "International Journal of Theoretical and Applied Finance,"Vol. 15, No. 6 (2012).)
Akihiko Takahashi, Kohta Takehara, Masashi Toda
2012.02
CARF-F-271
Semi-group Expansion for Pricing Barrier Options (Revised in June 2013)
Takashi Kato, Akihiko Takahashi, Toshihiro Yamada
2012.02
CARF-F-270
Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility (Revised in June 2012; Forthcoming in "Quarterly Journal of Finance")
Masaaki Fujii, Akihiko Takahashi
2012.02
CARF-F-269
Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme (Revised version of CARF-F-248 (2011), Forthcoming in "International Journal of Theoretical and Applied Finance")
Masaaki Fujii, Akihiko Takahashi
2012.01
CARF-F-268
Asset Bubbles and Bailouts (Revised in April 2013)
Tomohiro Hirano, Masaru Inaba, Noriyuki Yanagawa
2012.01
CARF-F-267
Speculative Attacks with Multiple Targets
Junichi Fujimoto
2011.12
CARF-F-266
The Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004
Tsutomu Watanabe, Tomoyoshi Yabu
2011.12
CARF-F-265
Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA (Revised version of CARF-F-240 (2010); Forthcoming in "Quantitative Finance")
Masaaki Fujii, Akihiko Takahashi
2011.12
CARF-F-264
Currency intervention and the global portfolio balance effect: Japanese and Swiss lessons, 2003-2004 and 2009-2010
Petra Gerlach, Robert N McMauley, Kazuo Ueda
2011.12
CARF-F-263
POWER LAWS IN REAL ESTATE PRICES DURING BUBBLE PERIODS
Takaaki Ohnishi, Takayuki Mizuno, Chihiro Shimizu, Tsutomu Watanabe
2011.12
CARF-F-262
Temporal and Cross Correlations in Business News
Takayuki Mizuno, Kazumasa Takei, Takaaki Ohnishi, Tsutomu Watanabe
2011.12
CARF-F-261
Price-Based Combinatorial Auction: Connectedness and Representative Valuations (Revised as CARF-F-293)
Hitoshi Matsushima
2011.12
CARF-F-260
Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)- (Forthcoming in a chapter of Risk Book "Interest Rate Modelling After The Financial Crisis")
Masaaki Fujii, Akihiko Takahashi
2011.12
CARF-F-259
Japan fs Deleveraging since the 1990s and the Bank of Japan fs Monetary Policy: Some Comparisons with the U.S. Experience since 2007
Kazuo Ueda
2011.12
CARF-F-258
Efficient Combinatorial Exchanges (Revised as CARF-F-294)
Hitoshi Matsushima
2011.11
CARF-F-257
ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION (Revised in March 2012, Forthcoming in "Mathematics and Financial Economics")
Keita Owari
2011.10
CARF-F-256
An Asymptotic Expansion with Push-Down of Malliavin Weights (Revised version of CARF-F-194; Forthcoming in "SIAM Journal on Financial Mathematics")
Akihiko Takahashi, Toshihiro Yamada
2011.10
CARF-F-255
Pricing Swaptions under the LIBOR Market Model of Interest Rates with Local-Stochastic Volatility Models (Revised version of CARF-F-214 (2010); Forthcoming in "Wilmott Journal". )
Kenichiro Shiraya, Akihiko Takahashi, Akira Yamazaki
2011.10
CARF-F-254
Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective (Revised in November 2011)
Junko Koeda
2011.10
CARF-F-253
Bubbles, Banks, and Financial Stability
Kosuke Aoki, Kalin Nikolov
2011.08
CARF-F-252
The Effectiveness of Non-traditional Monetary Policy Measures: The Case of the Bank of Japan
Kazuo Ueda
2011.08
CARF-F-251
Are Japanese Firms Becoming More Independent from Their Banks?: Evidence from the Firm-Level Data of the "Corporate Enterprise Quarterly Statistics," 1994-2009
Yoshiro Miwa
2011.07
CARF-F-250
Interbank Networks in Prewar Japan: Structure and Implications
Tetsuji Okazaki, Michiru Sawada
2011.07
CARF-F-249
On Approximation of the Solutions to Partial Differential Equations in Finance (Revised in March 2012)
Akihiko Takahashi, Toshihiro Yamada
2011.06
CARF-F-248
Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme (Revised as CARF-F-269)
Masaaki Fujii, Akihiko Takahashi
2011.06
CARF-F-247
Democracy and Reforms: Evidence from a New Dataset
Paola Giuliano, Prachi Mishra, Antonio Spilimbergo
2011.05
CARF-F-246
Collateralized CDS and Default Dependence -Implications for the Central Clearing-(Revised as CARF-F-281)
Masaaki Fujii, Akihiko Takahashi
2011.04
CARF-F-245
Rebalancing Static Super-Replications (Revised in July 2011)
Akihiko Takahashi, Yukihiro Tsuzuki
2011.04
CARF-F-244
Investment and Ultimatum Games: Experiments
Hitoshi Matsushima, Toshihiko Shima
2011.03
CARF-F-243
Exclusive Dealing Contracts by Distributors
Ryoko Oki, Noriyuki Yanagawa
2011.02
CARF-F-242
A General Computation Scheme for a High-Order Asymptotic Expansion Method (Revised in July 2011; Revised as CARF-F-272)
Akihiko Takahashi, Kohta Takehara, Masashi Toda
2011.02
CARF-F-241
A Study of Financing Behavior of Japanese Firms with Firm-Level Data from Corporate Enterprise Quarterly Statistics - 1994~2009: Introduction and Summary
Yoshiro Miwa
2011.01
2010 - 2009 >>
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