Kyushu University Academic Staff Educational and Research Activities Database
List of Papers
Koichi Matsumoto Last modified date:2022.05.12

Professor / mathematics and information / Department of Economic Engineering / Faculty of Economics


Papers
1. 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.
2. Matsumoto Koichi, Mean–variance hedging with model risk, International Journal of Financial Engineering, 10.1142/S2424786317500426, 4, 4, 1750042-1-1750042-23, 2018.01.
3. 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.
4. 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.
5. Matsumoto Koichi, Mean-Variance Hedging with Model Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2015-4, 2015.11.
6. 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.
7. Maki Ichikawa, Matsumoto Koichi, Pricing Derivatives on Two Assets with Model Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2014-2, 2014.06.
8. 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..
9. Hosokawa Satoshi, Matsumoto Koichi, Pricing Interest Rate Derivatives with Model Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2013-3, 2013.03.
10. Matsumoto Koichi, Option Replication in Discrete Time with Illiquidity, Applied Mathematical Finance, 20, 2, 167-190, 2013
, 2012.05.
11. Koichi Matsumoto, Hedging Derivatives with Model Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2010-9, 2011.11.
12. Yuta Katsuki, Koichi Matsumoto, Tail VaR Measures in a Multi-period Setting, Discussion Paper Series, Faculty of Economics, Kyushu University, 2010-3, 2010.03.
13. 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.
14. Koichi Matsumoto, Option Replication in Discrete Time with Illiquidity, Discussion Paper Series, Faculty of Economics, Kyushu University, 2009-6, 2009.06.
15. Koichi Matsumoto, Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk, Review of Derivatives Research, 12, 1, 29-53, 2009.05.
16. Koichi Matsumoto, Mean-Variance Hedging with Uncertain Trade Execution, Applied Mathematical Finance, 16, 3, 219-252, 2009.06.
17. Koichi Matsumoto, Optimal Growth Rate in Random Trade Time, Advances in Mathematical Economics, 12, 129-152, 2009.04.
18. Koichi Matsumoto, Portfolio Insurance with Liquidity Risk, Asia-Pacific Financial Markets, 14, 4, 363-386, 2007, 2008.06.
19. 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.
20. Koichi Matsumoto, Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk, Discussion Paper Series, Faculty of Economics, Kyushu University, 2008-3, 2008.03.
21. Koichi Matsumoto, Mean-Variance Hedging in Random Discrete Trade Time, Discussion Paper Series, Graduate School of Economics, Kyushu University, 2007-2, 2007.04.
22. Koichi Matsumoto, Portfolio Insurance with Liquidity Risk, Discussion Paper Series, Graduate School of Economics, Kyushu University, 2006-3, 2006.04.
23. Koichi Matsumoto, Optimal portfolio of low liquid assets with a log-utility function, Finance and Stochastics, 10, 1, 121-145, 2006.01.
24. Koichi Matsumoto, Optimal Growth Rate with Liquidity Risk, Discussion Paper Series, Graduate School of Economics, Kyushu University, 2005-4, 2005.11.
25. Koichi Matsumoto, Implied Default Probability and Credit Derivatives, Asia-Pacific Financial Markets, 10, 2-3, 129-149, 2003, 2005.06.
26. 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.
27. 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.
28. 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.
29. Koichi Matsumoto, Lognormal Swap Approximation in the LIBOR Market Model and Its Application, The Journal of Computational Finance, 5, 1, 107-131, 2001.10.
30. 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.
31. 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.