ワーキングペーパー：査読付き専門誌掲載（数量ファイナンスチーム）

CARFワーキングペーパーとして公開中の以下の６つの論文が、査読付き専門誌に掲載あるいはアクセプトされました。

CARF-F-420:
“Quadratic-exponential growth BSDEs with jumps and their Malliavin’s differentiability,”
Stochastic Processes and their Applications,128(6),2018(2083-2130),
MasaakiFujii, AkihikoTakahashi.

CARF-F-436:
“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),
MasaakiFujii, AkihikoTakahashi.

CARF-F-407:
“Estimating the Hurst parameter from short term volatility swaps:
a Malliavin calculus approach,”
Finance and Stochastics, 23(2),2019(423-447)
Elisa Alòs, Kenichiro Shiraya.

CARF-F-426:
“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.

CARF-F-451:
“Stochastic differential game in high frequency market,”
Automatica,104,2019,(111-125),
Taiga Saito, Akihiko Takahashi.

CARF-F-448:
“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.