| 1. |
Koichi MATSUMOTO, Tatsuhiko SUYAMA, Multi-period Mean-Variance Hedging Problem with Model Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2023-1, 2023.10. |
| 2. |
Mark DAVIS, Seiya GOTO, Koichi MATSUMOTO, Hedging Derivatives with Recalibration and Model Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2021-1, 2021.01. |
| 3. |
Matsumoto Koichi, Mean–variance hedging with model risk, International Journal of Financial Engineering, 10.1142/S2424786317500426, 4, 4, 1750042-1-1750042-23, 2018.01. |
| 4. |
Matsumoto Koichi, Partial super-hedging of derivatives with model risk, Japan Journal of Industrial and Applied Mathematics, 10.1007/s13160-017-0267-7, 34(3), 811-831, 2017.09. |
| 5. |
Koichi Matsumoto, Maki Ichikawa, Model Risk of two Assets Derivatives, Proceedings of the 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, 144-153, 2016.05. |
| 6. |
Matsumoto Koichi, Mean-Variance Hedging with Model Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2015-4, 2015.11. |
| 7. |
Satoshi Hosokawa, Matsumoto Koichi, Pricing Interest Rate Derivatives with Model Risk
, Journal of Financial Engineering, 10.1142/S2345768615500038, 2, 1, 1550003-1-1550003-18, 2015.03. |
| 8. |
Maki Ichikawa, Matsumoto Koichi, Pricing Derivatives on Two Assets with Model Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2014-2, 2014.06. |
| 9. |
Yuta Katsuki, Koichi Matsumoto, Tail VaR Measures in a Multi-period Setting, Applied Mathematical Finance, 21, 3, 270-297, 2014.05, This paper studies a coherent acceptability measure which is a negative coherent risk measure, in a multi-period model. When a coherent acceptability measure changes according to new information in the market, a time consistency plays an important role. The usual strong time consistency gives too severe a multi-period Tail Value at Risk (Tail VaR) from a practical viewpoint. We study a weak type of time consistency and propose new multi-period Tail VaR measures.. |
| 10. |
Hosokawa Satoshi, Matsumoto Koichi, Pricing Interest Rate Derivatives with Model Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2013-3, 2013.03. |
| 11. |
Matsumoto Koichi, Option Replication in Discrete Time with Illiquidity, Applied Mathematical Finance, 20, 2, 167-190, 2013
, 2012.05. |
| 12. |
Koichi Matsumoto, Hedging Derivatives with Model Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2010-9, 2011.11. |
| 13. |
Yuta Katsuki, Koichi Matsumoto, Tail VaR Measures in a Multi-period Setting, Discussion Paper Series, Faculty of Economics, Kyushu University, 2010-3, 2010.03. |
| 14. |
Mika FUJII, Koichi Matsumoto, Kengo TSUBOTA, Simple Improvement Method for Upper Bound of American Option, Discussion Paper Series, Faculty of Economics, Kyushu University, 2009-8, 2009.07. |
| 15. |
Koichi Matsumoto, Option Replication in Discrete Time with Illiquidity, Discussion Paper Series, Faculty of Economics, Kyushu University, 2009-6, 2009.06. |
| 16. |
Koichi Matsumoto, Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk, Review of Derivatives Research, 12, 1, 29-53, 2009.05. |
| 17. |
Koichi Matsumoto, Mean-Variance Hedging with Uncertain Trade Execution, Applied Mathematical Finance, 16, 3, 219-252, 2009.06. |
| 18. |
Koichi Matsumoto, Optimal Growth Rate in Random Trade Time, Advances in Mathematical Economics, 12, 129-152, 2009.04. |
| 19. |
Koichi Matsumoto, Portfolio Insurance with Liquidity Risk, Asia-Pacific Financial Markets, 14, 4, 363-386, 2007, 2008.06. |
| 20. |
Koichi Matsumoto, Optimal Strategy with Uncertain Trade Execution, 京都大学数理解析研究所講究録, 1580「ファイナンスの数理解析とその応用」, 136-149, 2008.02. |
| 21. |
Koichi Matsumoto, Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2008-3, 2008.03. |
| 22. |
Koichi Matsumoto, Mean-Variance Hedging in Random Discrete Trade Time, Discussion Paper Series, Graduate School of Economics, Kyushu University, 2007-2, 2007.04. |
| 23. |
Koichi Matsumoto, Portfolio Insurance with Liquidity Risk, Discussion Paper Series, Graduate School of Economics, Kyushu University, 2006-3, 2006.04. |
| 24. |
Koichi Matsumoto, Optimal portfolio of low liquid assets with a log-utility function, Finance and Stochastics, 10, 1, 121-145, 2006.01. |
| 25. |
Koichi Matsumoto, Optimal Growth Rate with Liquidity Risk, Discussion Paper Series, Graduate School of Economics, Kyushu University, 2005-4, 2005.11. |
| 26. |
Koichi Matsumoto, Implied Default Probability and Credit Derivatives, Asia-Pacific Financial Markets, 10, 2-3, 129-149, 2003, 2005.06. |
| 27. |
Koichi Matsumoto, Optimal Portfolio of Low Liquid Assets, 京都大学数理解析研究所講究録, 1391「経済の数理解析」, 192-211, 2004.08. |
| 28. |
Koichi Matsumoto, Optimal Portfolio of Low Liquid Assets with a Power Utility Function, Journal of Mathematical Sciences, The University of Tokyo, 10, 687-726, 2004.12. |
| 29. |
Koichi Matsumoto, Optimal Portfolio of the Low Liquid Asset（低流動性資産のポートフォリオ最適化）, 東京大学大学院 数理科学研究科 博士論文, 2003.03. |
| 30. |
Koichi Matsumoto, Lognormal Swap Approximation in the LIBOR Market Model and Its Application, The Journal of Computational Finance, 5, 1, 107-131, 2001.10. |
| 31. |
Koichi Matsumoto, Generalized Jarrow Turnbull Model and Its Application to Credit Derivatives, 筑波大学大学院 経営・政策科学研究科 経営システム科学専攻 修士論文, 2000.03. |
| 32. |
Koichi Matsumoto, Implementation of the BGM Model under the Actual LIBOR Period, Research Report, Graduate School of Systems Management, The University of Tsukuba, 99-11, 1999.11. |
