Hideyuki Takamizawa

 

 

Graduate School of Business AdministrationHUB,

Hitotsubashi University

 

 

 

 

 

CV (PDF, 7/1, 2018)

 

 

 

 

 

 

Working in Progress


An Equilibrium Model of Term Structures of Bonds and Equities, July 2018.
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Impact of No-Arbitrage on Interest Rate Dynamics, May 2015.
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Term Structure Models Can Predict Interest Rate Volatility. But How?, April 2011.
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An Approximation of European Option Prices under General Diffusion Processes, Feb 2011. PDF

 

 

 

 

Published Papers

 

A Term Structure Model of Interest Rates with Quadratic Volatility, Quantitative Finance 18 (7), 1173-1198 (2018). PDF

Predicting Interest Rate Volatility Using Information on the Yield Curve,
International Review of Finance 15 (3), 347386 (2015).
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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: 7/1, 2018