Yoshio MIYAHARA

Professor of Mathematical Finance

Faculty of Economics, Nagoya City University

Mailing address
Mizuhochou, Mizuhoku, Nagoya
JAPAN 467-8501

Phone
+81-52-872-5718

Fax
+81-52-871-9429

List of Papers (Mathematical Finance)

[1] Y. Miyahara (1996), "Canonical Martingale Measures of Incomplete Assets Markets," in "Probability Theory and Mathematical Statistics: Proceedings of the Seventh Japan-Russia Symposium, Tokyo 1995 (eds. S. Watanabe et al)," pp.343-352.
(This is the first paper that introduced the MEMM (minimal entropy martingale measure).) PDF-file

[2] Y. Miyahara (1996), "Canonical Martingale Measures and Minimal Martingale Measures of Incomplete Assets Markets,"　The Australian Research Report, No. FMRR 007-96 (pp. 95-100).

[3] Y. Miyahara (1999), "Minimal Entropy Martingale Measures of Jump Type Price Processes in Incomplete Assets Markets," Asia-Pacific Financial Markets, Vol. 6 (1999), No. 2, pp. 97-113.

[4] Y. Miyahara (2000), "A Theorem Related to LogLévy Processes and its Application to Option Pricing Problems in Incomplete Markets, " in "Italian School of East Asian Studies, Natural and Mathematical Sciences Series 3: TRENDS IN CONTEMPORARY INFINITE DIMENSIONAL ANALYSIS AND QUANTUM PROBABILITY (edited by L. Accardi, H.-H.Kuo, N. Obata, K. Saito, Si Si, L. Streit), Instituto Italiano di Cultura (Kyoto)," pp.331-335.

[5] Y. Miyahara (1999), "Minimal Relative Entropy Martingale Measures of Geometric Lévy Processes and Option Pricing Models in Incomplete Markets,'' Discussion Papers in Economics, Nagoya City University, No. 249, pp. 1-13. Abstract

[6] Y. Miyahara (1999), "Minimal Relative Entropy Martingale Measures and their Applications to Option Pricing Theory," in "Proceedings of JIC99, The 5-th JAFEE International Conference", pp. 316-323. 1999. 1.Abstract 　 2.PDF-file

[7] Y. Miyahara (2001), "[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems," Asia-Pacific Financial Markets, Vol. 8 (2001), No. 1,　pp. 45-60. Abstract

[8] K. Xiao, Y. Miyahara and T. Misawa (2000), "Computer Simulation of [Geometric Lévy Process & MEMM] Pricing Model," Discussion Papers in Economics, Nagoya City University, No. 266 (2000), pp. 1-16. 1.Abstract 　2.PDF-file

[9] Y. Miyahara (2000), "Minimal Relative Entropy Martingale Measure of Birth and Death Process," Discussion Papers in Economics, Nagoya City University, No. 273 (2000), pp. 1-20. 1.Abstract 　2.PDF-file

[10] T. Fujiwara and Y. Miyahara (2001), "On the Minimal Entropy Martingale Measures for Geometric Lévy Processes," Discussion Papers in Economics, Nagoya City University, No. 299 (2001), pp. 1-21. Abstract

[11] Y. Miyahara (2002), "Estimation of Lévy Processes," Discussion Papers in Economics, Nagoya City University, No. 318 (2002), pp. 1-35. PDF-file

[12] T. Fujiwara and Y. Miyahara (2003), "The Minimal Entropy Martingale Measures for Geometric Lévy Processes," Finance and Stochastics 7 (2003), pp.509-531. (The original publication is available at http://link.springer.de .)

[13] Y. Miyahara (2004), "A Note on Esscher Transformed Martingale Measures for Geometric Lévy Processes," Discussion Papers in Economics, Nagoya City University No. 379, pp. 1-14. PDF-file

[14] Y. Miyahara (2004), "The [GLP & MEMM] Pricing Model and its Calibration Problems," Discussion Papers in Economics, Nagoya City University No. 397, pp. 1-30. PDF-file

[15] Y. Miyahara and N. Moriwaki (2004), "Volatility Smile/Smirk Properties of [GLP & MEMM] Models," Discussion Papers in Economics, Nagoya City University No. 405, pp. 1-16. (RIMS Kokyuroku 1462, "The 7th Workshop on Stochastic Numerics", pp.156-170, 2006. ) PDF-file

[16] Y. Miyahara and N. Moriwaki (2005), "Application of [GLP & MEMM] Model to Nikkei 225 Option," Proceedings of the 7th JAFEE International Conference, pp. 81-88.

[17] Y. Maeda, N. Moriwaki and Y. Miyahara (2005), "On Modeling U.S. Product Liability Risk - An Empirical Analysis -," Working Paper No. B-5, Center for Risk Research, Shiga University, pp. 1-20.

[18] Y. Miyahara (2005), "Martingale measures for the geometric Lévy process models", Discussion Papers in Economics, Nagoya City University No. 431, pp. 1-14. (The Institute of Statistical Mathematics Cooperative Research Report 184 "Infinitely divisible processes and related topics (10)", (2006), pp. 24-37.
)PDF-file

[19] M. Jeanblanc and Y. Miyahara (2006), "Variance minimal martingale measures for geometric Lévy processes", Discussion Papers in Economics, Nagoya City University No. 444, pp. 1-22.

[20] Y. Miyahara (2006), "The [GLP & MEMM] Pricing Model and Related Problems,'' Proceedings of the 5th Ritsumeikan International Symposium ` Stochastic Processes and Applications to Mathematical Finance' (eds. J. Akahori et al) ,World Scientific,(2006), pp. 125-156.

[21] M. Jeanblanc, S. Kloeppel and Y. Miyahara (2007), ``Minimal f-q martingale measures for exponential Levy processes,'' Annals of Applied Probability, Volume 17, Number 5/6, pp. 1615-1638.

[22] Y. Miyahara and N. Moriwaki (2009), ``Option Pricing Based on Geometric Stable Processes and Minimal Entropy Martingale Measures,'' in Recent Advances in Financial Engineering (Proceedings of the 2008 Daiwa International Workshop on Financial Engineering), World Scientific, pp.119-133.

[23] Yoshio Miyahara (2010), ``Risk-Sensitive Value Measure Method for Projects Evaluation, ''Journal of Real Options and Strategy, Vol. 3, No. 2, 185-204. PDF-file

[24] Miyahara, Y. and Tsujii, Y. (2011), “Applications of Risk-Sensitive Value Measure Method to Portfolio Evaluation Problems,” Discussion Papers in Economics, Nagoya City University, No. 542, pp. 1-12.

[25] Yoshio Miyahara (2012), Option pricing in Incomplete Markets: Modeling Based on Geometric Levy Processes and Minimal Entropy Martingale Measures, Imperial College Press. >>>Online Book Store

[26] Yoshio Miyahara (2014), "Evaluation of the Scale Risk,"RIMS Kokyuroku, No. 1886, pp. 181-188.PDF-file