Our paper "Total discounted cash flow with Poisson arrivals" (with Y. Kitamura, Y. Kudo, M. Goto) is now available on SSRN.
Our paper "M & A strategies for industry entry under information assymmetr" (with M. Suzuki and M. Goto) is now available on SSRN.
Our paper Brokerage commissions in an uncertain stock market (with T. Ogawa and J. Sakamoto) is now available on SSRN.
Our paper "Trade execution games in a Markovian environment" (with M. Ohnishi) is published at Applied Mathematical Finance.
(with Y. Kitamura, Y. Kudo, M. Goto) Total discounted cash flow with Poisson arrivals (under review)
(with M. Susuki and M. Goto) M & A strategies for industry entry under information assymmetry (under review)
(with T. Ogawa and J. Sakamoto) Brokerage commissions in an uncertain stock market (under review)
(with M. Ohnishi) Optimal execution strategy with incomplete state information
(with M. Fukasawa and M. Ohnishi) Continuous-time optimal execution under a generalized price impact model with Markovian exogenous orders
(with M. Fukasawa and M. Ohnishi) Continuous-time optimal execution and utility-based statistical arbitrage in a Markovian environment
(with M. Ohnishi) Continuous-time optimal pair-trade execution with cross-impacts and common risk factors
(with M. Ohnishi) Optimal Dynamic Asset Allocation with Quadratic Transaction Costs under a Mean-Variance Criteria
(with T. Ogawa and J. Sakamoto) Investors' endogenous choices of brokerage commissions
(with R. Sakamoto and T. Sugiyama) How do divorce laws impact money and time allocation?
(with M. Abe) Term premium and ambiguity
(with K. Ito and R. Takashima) Optimal fuel procurement under uncertainty in elyectricity supply from renewable energy
(with K. Takino) Moral hazards in centralized derivatives clearing
Annals of Operations Research / Asia-Pacific Financial Markets / Journal of the Operations Research Society of Japan / TOP.