Graduate School of Commerce and Management,
Working in Progress
A Term Structure Model of Interest Rates with Quadratic Volatility, August 2017. PDF
Impact of No-Arbitrage on Interest Rate Dynamics, May 2015. PDF
Term Structure Models Can Predict Interest Rate Volatility. But How?, April 2011. PDF
An Approximation of European Option Prices under General Diffusion Processes, Feb 2011. PDF
Predicting Interest Rate Volatility Using
Information on the Yield Curve, International Review of Finance 15 (3), 347–386
Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach, Journal of Economic Dynamics and Control 33 (1), 65-77 (2009) (with I. Shoji). PDF
Is Nonlinear Drift Implied by the Short-End of the Term Structure?, Review of Financial Studies 21 (1), 311-346 (2008).
A Simple Measure for Examining the Proxy Problem of the Short-Rate, Asia-Pacific Financial Markets 14 (4), 341-361 (2007).
On Accuracy of Local Linear Approximation for the Term Structure of Interest Rates, Quantitative Finance 4 (2), 151-157 (2004) (with I. Shoji).
Modeling the Term Structure of Interest Rates with General Short- Rate Models, Finance and Stochastics 7 (3), 323-335 (2003) (with I. Shoji).
Approximation of Nonlinear Term Structure Models, Journal of Derivatives 8 (3), 44-51 (2001) (with I. Shoj).
last update: 10/5, 2017