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Author ID: imai.junichi Recent zbMATH articles by "Imai, Junichi"
Published as: Imai, Junichi
Documents Indexed: 15 Publications since 2001
Co-Authors: 9 Co-Authors with 12 Joint Publications
143 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

9 Publications have been cited 64 times in 50 Documents Cited by Year
Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.60513
Imai, Junichi; Boyle, Phelim P.
16
2001
Minimizing effective dimension using linear transformation. Zbl 1043.65003
Imai, Junichi; Tan, Ken Seng
10
2004
Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment. Zbl 1307.65003
Imai, Junichi; Tan, Ken Seng
7
2014
Numerical inverse Lévy measure method for infinite shot noise series representation. Zbl 1288.65008
Imai, Junichi; Kawai, Reiichiro
7
2013
An accelerating quasi-Monte Carlo method for option pricing under the generalized hyperbolic Lévy process. Zbl 1189.91207
Imai, Junichi; Tan, Ken Seng
7
2009
Quasi-Monte Carlo method for infinitely divisible random vectors via series representations. Zbl 1216.60015
Imai, Junichi; Kawai, Reiichiro
7
2010
Dimension reduction approach to simulating exotic options in a Meixner Lévy market. Zbl 1229.91341
Imai, Junichi; Tan, Ken Seng
5
2009
On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws. Zbl 1271.65005
Kawai, Reiichiro; Imai, Junichi
3
2012
Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567
Boyle, Phelim; Imai, Junichi; Tan, Ken Seng
2
2008
Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment. Zbl 1307.65003
Imai, Junichi; Tan, Ken Seng
7
2014
Numerical inverse Lévy measure method for infinite shot noise series representation. Zbl 1288.65008
Imai, Junichi; Kawai, Reiichiro
7
2013
On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws. Zbl 1271.65005
Kawai, Reiichiro; Imai, Junichi
3
2012
Quasi-Monte Carlo method for infinitely divisible random vectors via series representations. Zbl 1216.60015
Imai, Junichi; Kawai, Reiichiro
7
2010
An accelerating quasi-Monte Carlo method for option pricing under the generalized hyperbolic Lévy process. Zbl 1189.91207
Imai, Junichi; Tan, Ken Seng
7
2009
Dimension reduction approach to simulating exotic options in a Meixner Lévy market. Zbl 1229.91341
Imai, Junichi; Tan, Ken Seng
5
2009
Computation of optimal portfolios using simulation-based dimension reduction. Zbl 1284.91567
Boyle, Phelim; Imai, Junichi; Tan, Ken Seng
2
2008
Minimizing effective dimension using linear transformation. Zbl 1043.65003
Imai, Junichi; Tan, Ken Seng
10
2004
Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. Zbl 1083.60513
Imai, Junichi; Boyle, Phelim P.
16
2001

Citations by Year