CARF Working Papers: Published in Academic Journals
The following six CARF working papers have been published/accepted in peer-reviewed academic journals.
“Quadratic-exponential growth BSDEs with jumps and their Malliavin’s differentiability,”
Stochastic Processes and their Applications,128(6),2018(2083-2130),
“Solving backward stochastic differential equations with quadratic-growth drivers
by connecting the short-term expansions”
Stochastic Processes and their Applications, 129(5), 2019(1492-1532),
“Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models,”
Mathematics of Operations Research, 44(1), 2019(303-333),
Kenichiro Shiraya, Akihiko Takahashi.
“Application of online booking data to hotel revenue management,”
International Journal of Information Management,46,2019(37-53),
Taiga Saito, Akihiko Takahashi, Noriaki Koide, Yu Ichifuji.