K. Matsumoto and K. Shimizu (2020) "Hedging Derivatives on Two Assets with Model Risk, "
Asia-Pacific Financial Markets, 27, 1, 83-95
K. Matsumoto (2017) "Mean-variance hedging with model risk, "
International Journal of Financial Engineering, 4, 4, 1750042 (23 pages)
K. Matsumoto (2017) "Partial super-hedging of derivatives with model risk, "
Japan Journal of Industrial and Applied Mathematics, 34(3), 811-831
Ichikawa, M. and K. Matsumoto (2016) "Model Risk of two Assets Derivatives, "
Proceedings of the 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, 144-153
Hosokawa, S. and K. Matsumoto (2015) "Pricing Interest Rate Derivatives with Model Risk, "
Journal of Financial Engineering, 2, 1, 1550003 (18 pages)
Katsuki, Y. and K. Matsumoto (2014) "Tail VaR Measures in a Multi-period Setting, "
Applied Mathematical Finance, 21, 3, 270-297
Matsumoto, K. (2013) "Option Replication in Discrete Time with Illiquidity, "
Applied Mathematical Finance, 20, 2, 167-190
Fuji, M., K. Matsumoto and K. Tsubota (2011) "Simple Improvement Method for Upper Bound of American Option, "
Stochastics: An International Journal of Probability and Stochastic Processes, 83, 449-466
Matsumoto, K. (2009) "Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk, "
Review of Derivatives Research, 12, 1, 29-53
Matsumoto, K. (2009) "Mean-Variance Hedging with Uncertain Trade Execution , "
Applied Mathematical Finance, 16, 3, 219-252
Matsumoto, K. (2009) "Optimal Growth Rate in Random Trade Time , "
Advances in Mathematical Economics, 12, 129-152
Matsumoto, K. (2007) "Portfolio Insurance with Liquidity Risk , "
Asia-Pacific Financial Markets, 14, 4, 363-386
Matsumoto, K. (2006) "Optimal portfolio of low liquid assets with a log-utility function,"
Finance and Stochastics, 10, 121–145
Matsumoto, K. (2003) "Optimal Portfolio of Low Liquid Assets with a Power Utility Function,"
Journal of Mathematical Sciences, the University of Tokyo, 10, 687-726
Matsumoto, K. (2003) "Optimal Portfolio of the Low Liquid Asset (低流動性資産のポートフォリオ最適化),"
Doctoral Dissertation, Graduate School of Mathematical Sciences, the University of Tokyo
Matsumoto, K. (2003) "Implied Default Probability and Credit Derivatives, "
Asia-Pacific Financial Markets, 10, 2-3, 129-149
Matsumoto, K. (2001) "Lognormal Swap Approximation in the LIBOR Market Model and Its Application, "
The Journal of Computational Finance, 5, 1, 107-131
Discussion Papers
Davis, M., S. Goto and K. Matsumoto (2021) "Hedging Derivatives with Recalibration and Model Risk, "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2021-1
Matsumoto, K. and K. Shimizu (2019) "Hedging Derivatives on Two Assets with Model Risk, "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2019-1
Matsumoto, K. (2015) "Mean-Variance Hedging with Model Risk, "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2015-4
Ichikawa, M. and K. Matsumoto (2014) "Pricing Derivatives on Two Assets with Model Risk, "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2014-2
Hosokawa, S. and K. Matsumoto (2013) "Pricing Interest Rate Derivatives with Model Risk, "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2013-3
Matsumoto, K. (2011) "Hedging Derivatives with Model Risk, "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2011-9
Katsuki, Y. and K. Matsumoto (2010) "Tail VaR Measures in a Multi-period Setting, "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2010-3
Fuji, M., K. Matsumoto and K. Tsubota (2009) "Simple Improvement Method for Upper Bound of American Option, "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2009-8
Matsumoto, K. (2009) "Option Replication in Discrete Time with Illiquidity, "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2009-6
Matsumoto, K. and K. Tsubota (2009) "アメリカンオプション価格の上方境界の改善,"
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2009-3 (in Japanese)
Matsumoto, K. (2008) "Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk, "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2008-3
Matsumoto, K. (2007) "Mean-Variance Hedging in Random Discrete Trade Time (Revised Version), "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2007-2
Matsumoto, K. (2006) "Portfolio Insurance with Liquidity Risk , "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2006-3
Matsumoto, K. (2005) "Optimal Growth Rate with Liquidity Risk (Revised Version), "
Discussion Paper Series, Graduate School of Economics, Kyushu University, 2005-4
Other Papers
Matsumoto, K. (2008) "Optimal Strategy with Uncertain Trade Execution,"
京都大学数理解析研究所講究録, 1580「ファイナンスの数理解析とその応用」, 136-149
Matsumoto, K. (2004) "Optimal Portfolio of Low Liquid Assets,"
京都大学数理解析研究所講究録, 1391「経済の数理解析」, 192-211
Matsumoto, K. (2002) "Optimal portfolio of the low liquid asset with the power utility function,"
UTMS Preprint Series, Graduate School of Mathematical Sciences, University of Tokyo, UTMS 2002-34
Matsumoto, K. (2002) "Optimal portfolio of the low liquid asset with the log-utility function,"
UTMS Preprint Series, Graduate School of Mathematical Sciences, University of Tokyo, UTMS 2002-28
Matsumoto, K. (2000) "Generalized Jarrow Turnbull Model and Its Application to Credit Derivatives,"
Master's Thesis, Graduate School of Systems Management, The University of Tsukuba
Matsumoto, K. (1999) "Implementation of the BGM Model under the Actual LIBOR Period,"
Research Report, Graduate School of Systems Management, The University of Tsukuba, N0.99-11