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) (2006), pp. 125-156.

[21] M. Jeanblanc, S. Klöppel and Y. Miyahara (2006), "Minimal f^q-Martingale Measures for Exponential Lévy Processes", (submitted) PDF-file