3 papers in the archive (2022–2025), average empirical rigor 6/10, average math complexity 7.8/10. Quadrant mix: Holy Grail ×3.
Works mostly in Options & Derivatives Pricing, Fixed Income & Interest Rates, Volatility Modeling & Forecasting, Factor Investing & Asset Pricing.
Frequent co-authors: Yuki Takeuchi (1), Reo Adachi (1), Masaaki Fukasawa (1), Naoki Iida (1), Mitsumasa Ikeda (1), Yo Nakatsu (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
Copulas are used to construct joint distributions in many areas. In some problems, it is necessary to deal with correlation structures that are more complicated than the commonly known copulas. A finite order multivariate Hermite polynomial expansion, as an approximation of a joint density function,
This paper describes a fast and stable algorithm for evaluating Bermudan swaption under the two factor Hull-White model. We discretize the calculation of the expected value in the evaluation of Bermudan swaption by numerical integration, and Gaussian kernel sums appears in it. The fast Gauss transfo
This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic expansion of swaption implied volatility, connecting the FMM to a rough Bergomi-type framework for forward swap rates. T