# Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

# CARF F-Series

Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033

Phone: +81-3-5841-0682

Web page: http://www.carf.e.u-tokyo.ac.jp/english/

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Phone: +81-3-5841-0682

Web page: http://www.carf.e.u-tokyo.ac.jp/english/

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### 2017

**CARF-F-426 Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models (Forthcoming in Mathematics of Operations Research)***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-425 Framing Game Theory***by*Hitoshi Matsushima**CARF-F-424 Understanding Macroeconomic Statistics: An â€œIdeal-Typeâ€ Economy Approach***by*Kiyohiko G. Nishimura & Junko Ishikawa**CARF-F-423 Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs***by*Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi**CARF-F-422 State Space Approach to Adaptive Fuzzy Modeling: Application to Financial Investment***by*Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi**CARF-F-421 Optimal overbooking strategy in online hotel booking systems***by*Taiga Saito & Akihiko Takahashi & Noriaki Koide & Yu Ichifuji**CARF-F-420 Quadratic-exponential growth BSDEs with Jumps and their Malliavinâ€™s Differentiability (Forthcoming in Stochastic Processes and their Applications)(revised version of CARF-F-395)***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-419 On the effect of Bank of Japan's outright purchase on the JGB yield curve***by*Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi & Takami Tokioka**CARF-F-418 Hedging and Pricing Illiquid Options with Market Impacts (Forthcoming in International Journal of Financial Engineering)***by*Taiga Saito**CARF-F-417 Derivatives Pricing with Market Impact and Limit Order Book (Forthcoming in Automatica.)(Revised version of F-385)***by*Taiga Saito & Akihiko Takahashi**CARF-F-416 Dynamic Implementation, Verification, and Detection***by*Hitoshi Matsushima**CARF-F-415 Mechanism Design in Hidden Action and Hidden Information: Richness and Pure-VCG (Revised version of F-386)***by*Hitoshi Matsushima & Shunya Noda**CARF-F-414 Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory (Revised version of F-381)***by*Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama**CARF-F-413 Robust technical trading with fuzzy knowledge-based systems (Forthcoming in "Frontiers in Artificial Intelligence and Applications".)***by*Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi**CARF-F-412 Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models Online Appendix***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-411 Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-***by*Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino**CARF-F-410 Why Has Japan Failed to Escape from Deflation?***by*Kota Watanabe & Tsutomu Watanabe**CARF-F-409 Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-408 Price Rigidity at Near-Zero Inflation Rates: Evidence from Japan***by*Kota Watanabe & Tsutomu Watanabe**CARF-F-407 Estimating the Hurst parameter from short term volatility swaps***by*Elisa AlÃ²s & Kenichiro Shiraya**cf406 Creating Investment Scheme with State Space Modeling***by*Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi**CARF-F-405 Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection (Subsequently published in "Knowledge-Based Systems")***by*Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi**CARF-F-404 Portfolio Choice and Its Predictions on Japanese Municipalities in the 2040s***by*Yoshihiro Tamai & Chihiro Shimizu & Kiyohiko G. Nishimura**CARF-F-385 Derivatives Pricing with Market Impact and Limit Order Book***by*Taiga Saito & Akihiko Takahashi**CARF-F-383 This paper proposes a new approach to style analysis of mutual funds in a general state space framework with particle filtering and generalized simulated annealing (GSA). Speci cally, we regard the ex-posure of each style index as a latent state variable in a state space model and employ a Monte Carlo filter as a particle filtering method, where GSA is effectively applied to estimating unknown parameters. An empirical analysis using data of three Japanese equity mu- tual funds with six standard style indexes con rms the validity of our method. Moreover, we create fund-specific style indexes to further improves estimation in the analysis***by*Takaya Fukui & Seisho Sato & Akihiko Takahashi

### 2016

**CARF-F-403 Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection (Forthcoming in "Expert Systems With Applications")***by*Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi**CARF-F-402 Predicting accounting fraud: Evidence from Japan***by*Song Mingzi & Naoto Oshiro & Akinobu Shuto**CARF-F-401 Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar***by*Shin-ichi Fukuda & Mariko Tanaka**CARF-F-400 Product Turnover and Deflation: Evidence from Japan***by*Kozo Ueda & Kota Watanabe & Tsutomu Watanabe**CARF-F-399 The Effect of Bank Recapitalization Policy on Corporate Investment: Evidence from a Banking Crisis in Japan***by*Hiroyuki Kasahara & Yasuyuki Sawada & Michio Suzuki**CARF-F-398 Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions(Revised version of CARF-F-387)***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-397 An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models***by*Kenichiro Shiraya**CARF-F-396 Monopoly Rights and Economic Growth: An Inverted U-Shaped Relation***by*Kenichi Ueda & Stijn Claessen**CARF-F-395 Quadratic-exponential growth BSDEs with Jumps and their Malliavinâ€™s Differentiability (revised version of CARF-F-376)***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-394 An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Forthcoming in Asia-Pacific Financial Markets)***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-393 Who buys what, where: Reconstruction of the international trade flows by commodity and industry***by*Yuichi Ikeda & Tsutomu Watanabe**CARF-F-392 Power laws in market capitalization during the Dot-com and Shanghai bubble periods***by*Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe**CARF-F-391 A Return Prediction-based Investment with Particle Filtering and Anomaly Detection***by*Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi**CARF-F-390 Abenomics after Four Years: Formidable Challenges ahead with Limited Policy Tools***by*Kazuo Ueda**CARF-F-389 The gradual evolution of buyer-seller networks and their role in aggregate fluctuations***by*Ryohei Hisano & Tsutomu Watanabe & Takayuki Mizuno & Takaaki Ohnishi & Didier Sornette**CARF-F-388 The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience***by*Jess Diamond & Kota Watanabe & Tsutomu Watanabe**CARF-F-387 Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-386 Mechanism Design in Hidden Action and Hidden Information: Richness and Pure Groves***by*Hitoshi Matsushima & Shunya Noda**CARF-F-384 Rebalancing Static Super-Replications (Forthcoming in International Journal of Financial Engineering)***by*Akihiko Takahashi & Yukihiro Tsuzuki**CARF-F-382 A General Control Variate Method for Multi-dimensional SDEs: An Application to Multi-asset Options under Local Stochastic Volatility with Jumps Models in Finance (Forthcoming in "European Journal of Operational Research")***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-381 Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory***by*Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama**CARF-F-380 Optimal Room Charge and Expected Sales under Discrete Choice Models with Limited Capacity (Forthcoming in "International Journal of Hospitality Management")***by*Taiga Saito & Akihiko Takahashi & Hiroshi Tsuda**CARF-F-379 Three "Seismic Shifts" in the Global Economy and Policy Challenges***by*Kiyohiko G. Nishimura**CARF-F-378 A General Framework for the Benchmark pricing in a Fully Collateralized Market (formerly titled as "Choice of Collateral Currecy Updated" carf-f-371; Forthcoming in Journal of Financial Engineering)***by*Masaaki Fujii & Akihiko Takahashi

### 2015

**CARF-F-377 An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models (Forthcoming in Stochastics)***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-376 Quadratic-exponential growth BSDEs with Jumps and their Malliavinâ€™s Differentiability***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-375 Price Impacts of Imperfect Collateralization (Revised version of CARF-F-355; Forthcoming in "International Journal of Financial Engineering")***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-374 Financial Disintermediation and Financial Fragility***by*Kosuke Aoki & Kalin Nikolov**CARF-F-373 Currency intervention and the global portfolio balance effect: Japanese lessons***by*Petra Gerlach-Kristen & Robert N McCauley & Kazuo Ueda**CARF-F-372 Asymptotic Expansion for Forward-Backward SDEs***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-371 Choice of Collateral Currency Updated -A market model for the benchmark pricing-***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-370 To test the implication of Watts' (2003) argument that accounting conservatism increases the efficiency of executive compensation contracts, we investigate the relationship between accounting conservatism and earnings-based executive compensation contracts in Japanese firms. We focus on Japanese executive compensation practices because the demand for accounting conservatism is likely to be larger for Japanese than U.S. firms because of the predominance of earnings-based executive compensation contracts and lack of explicit compensation contracts in Japan. Consistent with our arguments, we find a positive relationship between accounting conservatism and the compensation earnings coefficient. Furthermore, this positive relationship is greater for firms with poor ex-ante information environment. These results suggest that the demand for accounting conservatism is higher for firms that use more earnings-based executive compensation contracts and have more serious ex post settling up problems***by*Takuya Iwasaki & Shota Otomasa & Atsushi Shiiba & Akinobu Shuto**CARF-F-369 Managerial discretion over initial earnings forecasts***by*Takuya Iwasaki & Norio Kitagawa & Akinobu Shuto**CARF-F-368 Management Earnings Forecasts as a Performance Target in Executive Compensation Contracts***by*Shota Otomasa & Atsushi Shiiba & Akinobu Shuto**CARF-F-367 Credibility of management earnings forecasts and future returns***by*Norio Kitagawa & Akinobu Shuto**CARF-F-366 Novel and topical business news and their impact on stock market activities***by*Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe**CARF-F-365 Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-364 Replicating Japan's CPI Using Scanner Data***by*Satoshi Imai & Tsutomu Watanabe**CARF-F-363 An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-362 Structure of global buyer-supplier networks and its implications for conflict minerals regulations***by*Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe**CARF-F-361 An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-360 Optimal Position Management for a Market Maker with Stochastic Price Impacts***by*Masaaki Fujii**CARF-F-359 Connected Price Dynamics with Revealed Preferences and Auctioneer's Discretion in VCG Combinatorial Auction***by*Hitoshi Matsushima**CARF-F-358 A weak approximation with asymptotic expansion and multidimensional Malliavin weights***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-357 Optimal Mechanism Design: Type-Independent Preference Orderings***by*Hitoshi Matsushima**CARF-F-356 Asymptotic Expansion Approach in Finance***by*Akihiko Takahashi

### 2014

**CARF-F-355 Price Impacts of Imperfect Collateralization***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-354 Multi-Belief Rational-Expectations Equilibria: Indeterminacy, Complexity And Sustained Deflation***by*Kiyohiko G. Nishimura & Hiroyuki Ozaki S**CARF-F-353 Buyer-Supplier Networks and Aggregate Volatility***by*Takayuki Mizuno & Wataru Souma & Tsutomu Watanabe**CARF-F-352 An FBSDE Approach to American Option Pricing with an Interacting Particle Method***by*Masaaki Fujii & Seisho Sato & Akihiko Takahashi**CARF-F-351 Working Less and Bargain Hunting More:Macro Implications of Sales during Japan's Lost Decades***by*Nao Sudo & Kozo Ueda & Kota Watanabe & Tsutomu Watanabe**CARF-F-350 A New Improvement Scheme for Approximation Methods of Probability Density Functions***by*Akihiko Takahashi & Yukihiro Tsuzuki**CARF-F-349 A Semi-group Expansion for Pricing Barrier Options***by*Takashi Kato & Akihiko Takahashi & Toshihiro Yamada**CARF-F-348 Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-347 This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More generally, we also derive an error estimate for an asymptotic expansion around a general partially elliptic diffusion and a more general Wiener functional, which is applicable to various important valuation and risk management tasks in the financial business such as the ones for multi-dimensional diffusion and non-diffusion models. In particular, we take the Malliavin calculus approach, and estimate the error bounds for the Malliavin weights of both the coefficient and the residual terms in the expansions by effectively applying the properties of Kusuoka-Stroock functions. Moreover, a numerical experiment under the Heston-type model confirms the effectiveness of our method***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-346 Beauty Contests and Fat Tails in Financial Markets***by*Makoto Nirei & Tsutomu Watanabe**CARF-F-345 Complexity of Payment Network***by*Hitoshi Hayakawa**CARF-F-344 Safe Asset Shortages and Asset Price Bubbles***by*Kosuke Aoki & Tomoyuki Nakajima & Kalin Nikolov**CARF-F-343 A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing***by*Masaaki Fujii**CARF-F-342 We construct a TÃ¶rnqvist daily price index using Japanese point of sale (POS) scannerdata spanning from 1988 to 2013. We find the following. First, the POS based inflation rate tends to be about 0.5 percentage points lower than the CPI inflation rate, although the difference between the two varies over time. Second, the difference between the two measures is greatest from 1992 to 1994, when, following the burst of bubble economy in 1991, the POS inflation rate drops rapidly and turns negative in June 1992, while the CPI inflation rate remains positive until summer 1994. Third, the standard deviation of daily POS inflation is 1.1 percent compared to a standard deviation for the monthly change in the CPI of 0.2 percent, indicating that daily POS inflation is much more volatile, mainly due to frequent switching between regular and sale prices. We show that the volatility in daily inflation can be reduced by more than 2daily inflation rate 0 percent by trimming the tails of product-level price change distributions. Finally, if we measure price changes from one day to the next and construct a chained TÃ¶rnqvist index, a strong chain drift arises so that the chained price index falls to 10-10 of the base value over the 25-year sample period, which is equivalent to an annual deflation rate of 60 percent. We provide evidence suggesting that one source of the chain drift is fluctuations in sales quantity before, during, and after a sale period***by*Kota Watanabe & Tsutomu Watanabe**CARF-F-341 A New Improvement Scheme for Approximation Methods of Probability Density Functions***by*Akihiko Takahashi & Yukihiro Tsuzuki**CARF-F-340 Speculative Attacks with Multiple Targets***by*Junichi Fujimoto**CARF-F-339 The Structure and Evolution of Buyer-Supplier Networks***by*Takayuki Mizuno & Wataru Souma & Tsutomu Watanabe**CARF-F-338 Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-337 Liquidity Preference And Knightian Uncertainty***by*Kiyohiko G. Nishimura & Hiroyuki Ozaki

### 2013

**CARF-F-336 Pricing Basket Options under Local Stochastic Volatility with Jumps***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-335 A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-334 Aging and Real Estate Prices: Evidence from Japanese and US Regional Data***by*Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe**CARF-F-333 Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method***by*Hideyuki Tanaka & Toshihiro Yamada**CARF-F-332 Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-331 Role of Credit Default Swap in Bubbles and Crashes***by*Hitoshi Matsushima**CARF-F-330 Auction Platform Design and the Linkage Principle***by*Wataru Tamura**CARF-F-329 Optimal Monetary Policy and Transparency under Informational Friction***by*Wataru Tamura**CARF-F-328 How Much Do Official Price Indexes Tell Us About Inflation?***by*Jessie Handbury & Tsutomu Watanabe & David E. Weinstein**CARF-F-327 Do Wild Fluctuations in Quarterly Inventory Investment Data Matter?: A Study of Japanese GDP Statistics, 1994-2010***by*Yoshiro Miwa**CARF-F-326 On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-325 Pricing Bounds on Barrier Options (forthcoming in "Journal of Futures Markets")***by*Yukihiro Tsuzuki**CARF-F-324 On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-323 Bankâ€™s regulation, asset portfolio choice of banks, and macroeconomic dynamics***by*Kosuke Aoki & Nao Sudo**CARF-F-322 A Regime-Switching SVAR Analysis of Quantitative Easing***by*Fumio Hayashi & Junko Koeda**CARF-F-321 Making Mean-Variance Hedging Implementable in a Partially Observable Market***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-320 Product Downsizing and Hidden Price Increases: Evidence from Japan's Deflationary Period***by*Satoshi Imai & Tsutomu Watanabe**CARF-F-319 A Robust Version of Convex Integral Functionals***by*Keita Owari**CARF-F-318 Dark Sides of Patent Pools with Compulsory Independent Licensing***by*Akifumi Ishihara & Noriyuki Yanagawa**CARF-F-317 On the Lebesgue Property of Monotone Convex Functions***by*Keita Owari**CARF-F-316 International Trade and Capital Movement under Financial Imperfection***by*Taiji Furusawa & Taiji Furusawa, Noriyuki Yanagawa**CARF-F-315 Maximum Lebesgue Extension of Monotone Convex Functions***by*Keita Owari**CARF-F-314 Why are product prices in online markets not converging?***by*Takayuki Mizuno & Tsutomu Watanabe**CARF-F-313 Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices***by*Takaaki Ohnishi & Takayuki Mizuno & Chihiro Shimizu & Tsutomu Watanabe**CARF-F-312 Note on an Extension of an Asymptotic Expansion Scheme***by*Akihiko Takahashi & Masashi Toda**CARF-F-310 Abenomics and Asset Prices: Is It Case of Self-Fulfilling Expectations?***by*Kazuo Ueda**CARF-F-309 Behavioral Approach to Repeated Games with Private Monitoring***by*Hitoshi Matsushima & Tomomi Tanaka & Tomohisa Toyama**CARF-F-306 Impact of Financial Regulation and Innovation on Bubbles and Crashes due to Limited Arbitrage: Awareness Heterogeneity***by*Hitoshi Matsushima**CARF-F-305 A New Improvement Scheme for Approximation Methods of Probability Density Functions***by*Akihiko Takahashi & Yukihiro Tsuzuki

### 2012

**CARF-F-311 Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering***by*Masaaki Fujii**CARF-F-307 Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data***by*C. Shimizu & W. E. Diewert & K. G. Nishimura & T. Watanabe**CARF-F-304 An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model***by*Takashi Kato & Akihiko Takahashi & Toshihiro Yamada**CARF-F-303 Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields***by*Junko Koeda**CARF-F-302 An FBSDE Approach to American Option Pricing with an Interacting Particle Method***by*Masaaki Fujii & Seisho Sato & Akihiko Takahashi**CARF-F-300 On the Optimal Super- and Sub-Hedging Strategies***by*Yukihiro Tsuzuki**CARF-F-299 High quality topic extraction from business news explains abnormal financial market volatility***by*Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe**CARF-F-298 How Fast Are Prices in Japan Falling?***by*Satoshi Imai & Chihiro Shimizu & Tsutomu Watanabe**CARF-F-297 The Emergence of Different Tail Exponents in the Distributions of Firm Size Variables***by*Atushi Ishikawa & Shouji Fujimotoa & Tsutomu Watanabe & Takayuki Mizuno**CARF-F-296 An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-295 Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity***by*Shin-ichi Fukuda**CARF-F-292 Optimal Multiunit Exchange Design with Single-Dimensionality***by*Hitoshi Matsushima**CARF-F-291 How Strongly Do "Financing Constraints" Affect Firm Behavior?: Japanese Corporate Investment since the Mid-1980s***by*Yoshiro Miwa**CARF-F-290 Pricing Multi-Asset Cross Currency Options***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-289 Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering and other Problems***by*Masaaki Fujii**CARF-F-288 Role of Leverage in Bubbles and Crashes***by*Hitoshi Matsushima**CARF-F-287 Maximum Lebesgue Extension Of Convex Risk Measures***by*Keita Owari**CARF-F-286 Note on an Extension of an Asymptotic Expansion Scheme***by*Akihiko Takahashi & Masashi Toda**CARF-F-285 Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes***by*Hitoshi Matsushima**CARF-F-284 Inequalities in Japanese Economy during the Lost Decades***by*Nao Sudo & Michio Suzuki & Tomoaki Yamadai**CARF-F-283 Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007***by*Kazuo Ueda**CARF-F-282 The Boy Who Cried Bubble: Public Warnings Against Riding Bubbles***by*Yasushi Asako & Kozo Ueda**CARF-F-281 Collateralized CDS and Default Dependence -Implications for the Central Clearing***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-280 Channels of Stabilization in a System of Local Public Health Insurance: The Case of the National Health Insurance in Japan***by*Masayoshi Hayashi**CARF-F-279 Optimal Multiunit Exchange Design***by*Hitoshi Matsushima**CARF-F-278 Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-277 Application Of The Kusuoka Approximation To Barrier Options***by*Shigeto Kusuoka & Mariko Ninomiya & Syoiti Ninomiya**CARF-F-276 Pricing Multi-Asset Cross Currency Options***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-275 Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003***by*Hiroyuki Kasahara, & Katsumi Shimotsu & Michio Suzuki**CARF-F-273 A Remark on Approximation of the Solutions to Partial Differential Equations in Finance***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-272 A General Computation Scheme for a High-Order Asymptotic Expansion Method***by*Akihiko Takahashi & Kohta Takehara & Masashi Toda**CARF-F-271 Semi-group Expansion for Pricing Barrier Options***by*Takashi Kato & Akihiko Takahashi & Toshihiro Yamada**CARF-F-270 Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-269 Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme***by*Masaaki Fujii, Akihiko Takahashi**CARF-F-268 Asset Bubbles and Bailouts***by*Tomohiro Hirano & Masaru Inaba & Noriyuki Yanagawa**CARF-F-249 On Approximation of the Solutions to Partial Differential Equations in Finance***by*Akihiko Takahashi & Toshihiro Yamada

### 2011

**CARF-F-294 Efficient Combinatorial Exchanges with Opt-Out Types***by*Hitoshi Matsushima**CARF-F-274 Sde Weak Approximation Library (Sde Wa) (Version 1.0)***by*Mariko Ninomiya**CARF-F-267 Speculative Attacks with Multiple Targets***by*Junichi Fujimoto**CARF-F-266 The Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004***by*Tsutomu Watanabe & Tomoyoshi Yabu**CARF-F-265 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-264 Currency intervention and the global portfolio balance effect: Japanese and Swiss lessons, 2003-2004 and 2009-2010***by*Petra Gerlach & Robert N McCauley & Kazuo Ueda**CARF-F-263 Power Laws In Real Estate Prices During Bubble Periods***by*Takaaki Ohnishi & Takayuki Mizuno & Chihiro Shimizu & Tsutomu Watanabe**CARF-F-262 Temporal and Cross Correlations in Business News***by*Takayuki Mizuno & Kazumasa Takei & Takaaki Ohnishi & Tsutomu Watanabe**CARF-F-261 Price-Based Combinatorial Auction: Connectedness and Representative Valuations***by*Hitoshi Matsushima**CARF-F-260 Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)-***by*Masaaki Fujii, Akihiko Takahashi**CARF-F-259 Japan's Deleveraging since the 1990s and the Bank of Japan's Monetary Policy: Some Comparisons with the U.S. Experience since 2007***by*Kazuo Ueda**CARF-F-258 Efficient Combinatorial Exchanges***by*Hitoshi Matsushima**CARF-F-257 ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION(Revised in March 2012, Forthcoming in "Mathematics and Financial Economics")***by*Keita Owari**CARF-F-256 An Asymptotic Expansion with Push-Down of Malliavin Weights***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-255 Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models***by*Kenichiro Shiraya & Akihiko Takahashi & Akira Yamazaki**CARF-F-254 Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective***by*Junko Koeda**CARF-F-253 Bubbles, Banks, and Financial Stability***by*Kosuke Aoki & Kalin Nikolov**CARF-F-252 The Effectiveness of Non-traditional Monetary Policy Measures: The Case of the Bank of Japan***by*Kazuo Ueda**CARF-F-251 Are Japanese Firms Becoming More Independent from Their Banks?: Evidence from the Firm-Level Data of the "Corporate Enterprise Quarterly Statistics," 1994-2009***by*Yoshiro Miwa**CARF-F-250 Interbank Networks in Prewar Japan: Structure and Implications***by*Tetsuji Okazaki & Michiru Sawada**CARF-F-248 Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-247 Democracy and Reforms: Evidence from a New Dataset***by*Paola Giuliano & Prachi Mishra & Antonio Spilimbergo**CARF-F-246 Collateralized CDS and Default Dependence -Implications for the Central Clearing-***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-245 Rebalancing Static Super-Replications***by*Akihiko Takahashi & Yukihiro Tsuzuki**CARF-F-244 Investment and Ultimatum Games: Experiments***by*Hitoshi Matsushima & Toshihiko Shima**CARF-F-243 Exclusive Dealing Contracts by Distributors***by*Ryoko Oki & Noriyuki Yanagawa**CARF-F-242 A General Computation Scheme for a High-Order Asymptotic Expansion Method***by*Akihiko Takahashi & Kohta Takehara & Masashi Toda**CARF-F-241 A Study of Financing Behavior of Japanese Firms with Firm-Level Data from Corporate Enterprise Quarterly Statistics - 1994~2009: Introduction and Summary***by*Yoshiro Miwa

### 2010

**CARF-F-293 Auctioneer's Discretion in Combinatorial Auctions***by*Hitoshi Matsushima**CARF-F-240 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-239 Choice of Collateral Currency***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-238 Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments***by*Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki**CARF-F-237 How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited***by*Junko Koeda**CARF-F-236 Japan's Bubble, America's Bubble and China's Bubble***by*Kazuo Ueda**CARF-F-235 Japan's Deflation and the Bank of Japan's Experience with Non-traditional Monetary Policy***by*Kazuo Ueda**CARF-F-234 Financial Institution, Asset Bubbles and Economic Performance***by*Tomohiro Hirano & Noriyuki Yanagawa**CARF-F-233 Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement***by*Taiji Furusawa & Noriyuki Yanagawa**CARF-F-232 Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints***by*Kazuya Kamiya & Takashi Shimizu**CARF-F-231 Exaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions***by*Kazuko Kano & Takashi Kano & Kazutaka Takechi**CARF-F-230 Modeling of Interest Rate Term Structures under Collateralization and its Implications***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-229 Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London***by*Shin-ichi Fukuda**CARF-F-228 On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise***by*Naoto Kunitomo & Seisho Sato**CARF-F-227 Financing Harmful Bubbles***by*Hitoshi Matsushima**CARF-F-226 Core-Selecting Auctions: An Experimental Study***by*Eiichiro Kazumori**CARF-F-225 Application Of A High-Order Asymptotic Expansion Scheme To Long-Term Currency Options***by*Kohta Takehara & Masashi Toda & Akihiko Takahashi