Kenichiro Shiraya

According to our database, Kenichiro Shiraya authored at least 8 papers between 2016 and 2024.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2024

Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility.

Kenichiro Shiraya, Tomohisa Yamakami

Eur. J. Oper. Res., 2024

2023

A Lower Bound for the Volatility Swap in the Lognormal SABR Model.

Elisa Alòs, Frido Rolloos, Kenichiro Shiraya

Axioms, August, 2023

2021

On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility.

Elisa Alòs, Frido Rolloos, Kenichiro Shiraya

SIAM J. Financial Math., 2021

2020

A general control variate method for Lévy models in finance.

Kenichiro Shiraya, Hiroki Uenishi, Akira Yamazaki

Eur. J. Oper. Res., 2020

2019

Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models.

Kenichiro Shiraya, Akihiko Takahashi

Math. Oper. Res., 2019

Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach.

Elisa Alòs, Kenichiro Shiraya

Finance Stochastics, 2019

2017

A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance.

Kenichiro Shiraya, Akihiko Takahashi

Eur. J. Oper. Res., 2017

2016

An approximation formula for basket option prices under local stochastic volatility with jumps: An application to commodity markets.

Kenichiro Shiraya, Akihiko Takahashi

J. Comput. Appl. Math., 2016