In this paper, we deal with no-arbitrage pricing problems of a chooser flexible cap written on
an underlying LIBOR. The chooser flexible cap allows a right for a buyer to exercise a …

This paper proposes a risk evaluation model for mortgage-loan portfolios within the no-arbitrage
framework when interest rates are very low, as in the current Japanese economy. A …

In this article, we present properties of a chooser flexible cap, which is used for hedging
interest rate risk. The chooser flexible cap is a financial instrument written on an underlying …

This paper presents the tree construction approach to pricing a Bermudan swaption. The
Bermudan swaption is an option, which at each date in a schedule of exercise dates gives the …

In this paper, we deal with no-arbitrage pricing problems of a chooser flexible cap (floor)
written on an underlying LIBOR. The chooser flexible cap (floor) allows a right for a buyer to …

In this paper, we theoretically look into various features of a chooser flexible cap. The chooser
flexible cap is a financial instrument written on an underlying market interest rate index, …

In this paper, we analyze temporal learning effects of the asset allocation decision of an
investor, who has along investment horizon. The investor has an uncertainty about the mean …

… In this paper, I discuss the result derived in Tamba (2007) in detail. I verify propriety of a
hedge portfolio in the uncertainty. I prove that the partial differential of the investor’s expected …

… Yasuhiro TAMBA completed a MA in economics and social development degree at University
of Pittsburgh and a Ph.D. degree at Graduate School of Economics, Osaka University. …

In this paper, we deal with no-arbitrage pricing problems of a chooser flexible cap (floor)
written on an underlying LIBOR. The chooser flexible cap (floor) allows a right for a buyer to …