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Author ID: egami.masahiko Recent zbMATH articles by "Egami, Masahiko"
Published as: Egami, Masahiko
External Links: MGP

Publications by Year

Citations contained in zbMATH Open

18 Publications have been cited 225 times in 186 Documents Cited by Year
Phase-type Fitting of scale functions for spectrally negative Lévy processes. Zbl 1291.60094
Egami, Masahiko; Yamazaki, Kazutoshi
55
2014
Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049
Bayraktar, Erhan; Egami, Masahiko
35
2008
On the one-dimensional optimal switching problem. Zbl 1221.60058
Bayraktar, Erhan; Egami, Masahiko
28
2010
Indifference prices of structured catastrophe (CAT) bonds. Zbl 1152.91442
Egami, Masahiko; Young, Virginia R.
18
2008
Precautionary measures for credit risk management in jump models. Zbl 1288.91187
Egami, Masahiko; Yamazaki, Kazutoshi
17
2013
A direct solution method for stochastic impulse control problems of one-dimensional diffusions. Zbl 1161.49036
Egami, Masahiko
13
2008
The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095
Bayraktar, Erhan; Egami, Masahiko
11
2007
Default swap games driven by spectrally negative Lévy processes. Zbl 1255.91418
Egami, Masahiko; Leung, Tim; Yamazaki, Kazutoshi
11
2013
An analysis of monotone follower problems for diffusion processes. Zbl 1217.93179
Bayraktar, Erhan; Egami, Masahiko
6
2008
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models. Zbl 1398.60062
Egami, Masahiko; Yamazaki, Kazutoshi
6
2014
Optimal reinsurance strategy under fixed cost and delay. Zbl 1172.62035
Egami, Masahiko; Young, Virginia R.
5
2009
A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142
Bayraktar, Erhan; Egami, Masahiko
4
2010
An excursion-theoretic approach to regulator’s bank reorganization problem. Zbl 1377.91171
Egami, Masahiko; Oryu, Tadao
4
2015
Optimal stopping problems for asset management. Zbl 1262.91123
Dayanik, Savas; Egami, Masahiko
4
2012
A game options approach to the investment problem with convertible debt financing. Zbl 1232.91697
Egami, Masahiko
3
2010
A continuous-time search model with job switch and jumps. Zbl 1194.60028
Egami, Masahiko; Xu, Mingxin
2
2009
A direct solution method for pricing options involving the maximum process. Zbl 1391.91155
Egami, Masahiko; Oryu, Tadao
2
2017
Time reversal and last passage time of diffusions with applications to credit risk management. Zbl 1447.91186
Egami, Masahiko; Kevkhishvili, Rusudan
1
2020
Time reversal and last passage time of diffusions with applications to credit risk management. Zbl 1447.91186
Egami, Masahiko; Kevkhishvili, Rusudan
1
2020
A direct solution method for pricing options involving the maximum process. Zbl 1391.91155
Egami, Masahiko; Oryu, Tadao
2
2017
An excursion-theoretic approach to regulator’s bank reorganization problem. Zbl 1377.91171
Egami, Masahiko; Oryu, Tadao
4
2015
Phase-type Fitting of scale functions for spectrally negative Lévy processes. Zbl 1291.60094
Egami, Masahiko; Yamazaki, Kazutoshi
55
2014
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models. Zbl 1398.60062
Egami, Masahiko; Yamazaki, Kazutoshi
6
2014
Precautionary measures for credit risk management in jump models. Zbl 1288.91187
Egami, Masahiko; Yamazaki, Kazutoshi
17
2013
Default swap games driven by spectrally negative Lévy processes. Zbl 1255.91418
Egami, Masahiko; Leung, Tim; Yamazaki, Kazutoshi
11
2013
Optimal stopping problems for asset management. Zbl 1262.91123
Dayanik, Savas; Egami, Masahiko
4
2012
On the one-dimensional optimal switching problem. Zbl 1221.60058
Bayraktar, Erhan; Egami, Masahiko
28
2010
A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142
Bayraktar, Erhan; Egami, Masahiko
4
2010
A game options approach to the investment problem with convertible debt financing. Zbl 1232.91697
Egami, Masahiko
3
2010
Optimal reinsurance strategy under fixed cost and delay. Zbl 1172.62035
Egami, Masahiko; Young, Virginia R.
5
2009
A continuous-time search model with job switch and jumps. Zbl 1194.60028
Egami, Masahiko; Xu, Mingxin
2
2009
Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049
Bayraktar, Erhan; Egami, Masahiko
35
2008
Indifference prices of structured catastrophe (CAT) bonds. Zbl 1152.91442
Egami, Masahiko; Young, Virginia R.
18
2008
A direct solution method for stochastic impulse control problems of one-dimensional diffusions. Zbl 1161.49036
Egami, Masahiko
13
2008
An analysis of monotone follower problems for diffusion processes. Zbl 1217.93179
Bayraktar, Erhan; Egami, Masahiko
6
2008
The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095
Bayraktar, Erhan; Egami, Masahiko
11
2007
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Cited by 270 Authors

27 Yamazaki, Kazutoshi
17 Pérez Garmendia, Jose Luis
8 Bayraktar, Erhan
6 Avanzi, Benjamin
6 Egami, Masahiko
5 Yin, Chuancun
4 Christensen, Soren
4 Gapeev, Pavel V.
4 Lkabous, Mohamed Amine
4 Noba, Kei
4 Suzuki, Kiyoshi
4 Zhang, Hongzhong
4 Zhao, Yongxia
3 Czarna, Irmina
3 Egídio dos Reis, Alfredo D.
3 Frostig, Esther
3 Jiang, Zhengjun
3 Leung, Tim
3 Palmowski, Zbigniew
3 Pantelous, Athanasios A.
3 Pham, Huyên
3 Wong, Bernard
3 Xie, Jiayi
3 Zhang, Zhimin
3 Zhou, Ming
2 Alvarez, Luis H. R.
2 Behme, Anita Diana
2 Cardoso, Rui M. R.
2 Chao, Wen
2 Chen, Ping
2 Chen, Shumin
2 Chevalier, Etienne
2 Dai, Hongshuai
2 De Angelis, Tiziano
2 Ekström, Erik
2 El Asri, Brahim
2 Ferrari, Giorgio
2 Hamadene, Saïd
2 Helmes, Kurt L.
2 Hernández-Hernández, Daniel
2 Ivanovs, Jevgeņijs
2 Kabanov, Yuriĭ Mikhaĭlovich
2 Kwok, Yue-Kuen
2 Kyprianou, Andreas E.
2 Landriault, David
2 Lau, Hayden
2 Leobacher, Gunther
2 Li, Bin
2 Li, Peng
2 Liang, Gechun
2 Liu, Yuxuan
2 Liu, Zaiming
2 Ludkovski, Michael
2 Ly Vath, Vathana
2 Moreno-Franco, Harold A.
2 Ng, Andrew Cheuk-Yin
2 Papaioannou, Apostolos D.
2 Pergamenshchikov, Sergeĭ Markovich
2 Rakkolainen, Teppo A.
2 Renaud, Jean-François
2 Rodosthenous, Neofytos
2 Rodríguez-Martínez, Eugenio V.
2 Seifried, Frank Thomas
2 Shao, Jia
2 Stockbridge, Richard H.
2 Surya, Budhi Arta
2 Tang, Qihe
2 Wang, Rongming
2 Wang, Wenyuan
2 Wang, Zijia
2 Wen, Yuzhen
2 Wong, Tat Wing
2 Yano, Kouji
2 Young, Virginia R.
2 Yuan, Zhongyi
2 Yuen, Kam Chuen
2 Zhu, Lingjiong
1 Abidi, Hani
1 Afhami, Bahareh
1 Afonso, Lourdes B.
1 Amami, Rim
1 Angoshtari, Bahman
1 Asmussen, Søren
1 Assa, Hirbod
1 Avram, Florin
1 Azcue, Pablo
1 Bai, Lihua
1 Baltas, Ioannis D.
1 Bandini, Elena
1 Baurdoux, Erik Jan
1 Belak, Christoph
1 Bensoussan, Alain
1 Bergel, Agnieszka I.
1 Bichuch, Maxim
1 Bihary, Zsolt
1 Bladt, Mogens
1 Bo, Lijun
1 Borovkov, Konstantin A.
1 Boubaker, Sabri
1 Boxma, Onno Johan
...and 170 more Authors
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Cited in 57 Serials

21 Insurance Mathematics & Economics
10 Stochastic Processes and their Applications
9 SIAM Journal on Control and Optimization
8 Quantitative Finance
7 Applied Mathematics and Optimization
7 ASTIN Bulletin
6 Journal of Computational and Applied Mathematics
6 European Journal of Operational Research
6 Mathematical Methods of Operations Research
5 Advances in Applied Probability
5 Mathematics of Operations Research
5 Methodology and Computing in Applied Probability
5 Stochastics
4 Applied Mathematics and Computation
4 Annals of Operations Research
4 Finance and Stochastics
4 Scandinavian Actuarial Journal
4 Stochastic Models
4 Mathematics and Financial Economics
3 Journal of Applied Probability
3 Journal of Optimization Theory and Applications
3 Journal of Economic Dynamics & Control
3 Discrete Dynamics in Nature and Society
3 North American Actuarial Journal
2 Journal of Mathematical Analysis and Applications
2 Statistics & Probability Letters
2 Communications in Statistics. Theory and Methods
2 Statistical Papers
2 Applied Mathematical Finance
2 Mathematical Finance
2 International Journal of Theoretical and Applied Finance
2 Applied Stochastic Models in Business and Industry
2 Journal of Industrial and Management Optimization
2 SIAM Journal on Financial Mathematics
2 European Actuarial Journal
1 Automatica
1 Operations Research
1 Operations Research Letters
1 Acta Mathematicae Applicatae Sinica. English Series
1 Sequential Analysis
1 Mathematical and Computer Modelling
1 Queueing Systems
1 The Annals of Applied Probability
1 Journal of Mathematical Sciences (New York)
1 Revista Investigación Operacional
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Abstract and Applied Analysis
1 Journal of Applied Mathematics and Decision Sciences
1 The ANZIAM Journal
1 Dynamics of Continuous, Discrete & Impulsive Systems. Series B. Applications & Algorithms
1 Discrete and Continuous Dynamical Systems. Series B
1 Nonlinear Analysis. Hybrid Systems
1 MathematicS In Action
1 Afrika Matematika
1 Mathematical Control and Related Fields
1 Stochastic Systems
1 Philosophical Transactions of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences

Citations by Year