Rusudan Kevkhishvili

Personal Details

First Name:	Rusudan
Middle Name:
Last Name:	Kevkhishvili
Suffix:
RePEc Short-ID:	pke397
	https://www.kevkhishvili.com/
Terminal Degree:	(from RePEc Genealogy)

Affiliation

Graduate School of Economics
Kyoto University

Kyoto, Japan
https://www.econ.kyoto-u.ac.jp/
RePEc:edi:fekyojp (more details at EDIRC)

Citations

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Working papers

Sorry, no citations of working papers recorded.

Articles

1. Masahiko Egami & Rusudan Kevkhishvili, 2020. "A direct solution method for pricing options in regime‐switching models," Mathematical Finance, Wiley Blackwell, vol. 30(2), pages 547-576, April.

   Cited by:

   1. Takuji Arai & Masahiko Takenaka, 2022. "Constrained optimal stopping under a regime-switching model," Papers 2204.07914, arXiv.org.
   2. Leunglung Chan & Song-Ping Zhu, 2021. "An Analytic Approach for Pricing American Options with Regime Switching," JRFM, MDPI, vol. 14(5), pages 1-20, April.

2. Masahiko Egami & Rusudan Kevkhishvili, 2020. "Time reversal and last passage time of diffusions with applications to credit risk management," Finance and Stochastics, Springer, vol. 24(3), pages 795-825, July.

   Cited by:

   1. Baurdoux, Erik J. & Pedraza, José M., 2024. "Lp optimal prediction of the last zero of a spectrally negative Lévy process," LSE Research Online Documents on Economics 119468, London School of Economics and Political Science, LSE Library.
   2. Landriault, David & Li, Bin & Lkabous, Mohamed Amine & Wang, Zijia, 2023. "Bridging the first and last passage times for Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 308-334.
   3. Masahiko Egami & Rusudan Kevkhishvili, 2020. "Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution," Papers 2009.00868, arXiv.org, revised Mar 2024.

3. Egami, M. & Kevkhishvili, R., 2017. "An analysis of simultaneous company defaults using a shot noise process," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 135-161.

   Cited by:

   1. Fan He & Xuansen He, 2019. "A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 729-761, August.
   2. Jean-David Fermanian, 2020. "On the Dependence between Default Risk and Recovery Rates in Structural Models," Annals of Economics and Statistics, GENES, issue 140, pages 45-82.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-RMG: Risk Management (1) 2020-09-21. Author is listed

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