Concepedia

Kenichiro Shiraya

KS

7

Publications

129

Citations

7

H-Index

2009

Active since

Affiliations

The University of Tokyo(Current)

Japan University of Economics

Kenichiro Shiraya is an author at The University of Tokyo specializing in business, asset pricing, and multivariate stochastic volatility.

Top concepts

BusinessAsset PricingMultivariate Stochastic VolatilityOption PricingFinanceEngineeringVolatility ModelingStochastic CalculusStochastic VolatilityStatistics

Publications per year

2009–2019

7

Publications

7

Pricing barrier and average options in a stochastic volatility environment.

Kenichiro Shiraya, Akihiko Takahashi, Masashi Toda · The Journal of Computational Finance · 2011 · 33 citations

Numerical Analysis, Volatility Modeling, Engineering +16

Pricing Discrete Barrier Options Under Stochastic Volatility

Kenichiro Shiraya, Akihiko Takahashi, Toshihiro Yamada · Asia-Pacific Financial Markets · 2011 · 27 citations

Option Pricing, Multivariate Stochastic Volatility, Asset Pricing +4

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

Elisa Alòs, Kenichiro Shiraya · Finance and Stochastics · 2019 · 18 citations

Volatility Modeling, Multivariate Stochastic Volatility, Engineering +9

Pricing Barrier and Average Options Under Stochastic Volatility Environment

Kenichiro Shiraya, Akihiko Takahashi, Masashi Toda · SSRN Electronic Journal · 2009 · 17 citations · Full text

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

Kenichiro Shiraya, Akihiko Takahashi · Journal of Computational and Applied Mathematics · 2015 · 12 citations

Option Pricing, Multivariate Stochastic Volatility, Economics +13

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