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

**E-mail**

y-miya@econ.nagoya-cu.ac.jp

[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