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Osamu Tsuchiya

Publications and source records attributed to Osamu Tsuchiya.

7 recordsLinked to original sources
arXiv2026

Two-Factor Hull-White Model Revisited: Correlation Structure for Two-Factor Interest Rate Model in CVA Calculation

The development of credit valuation adjustment (CVA) (valuation adjustments [XVA]) [Green] has increased the importance of simple interest rate models such as the Hull-White model [Tan14] [Tsuchiya]. This is because the XVA model is an FX hybrid model, and is tractable only when the interest rate part is a simple Gaussian model. For the XVA calculation of interest rate instruments, de-correlation of the yield curve can be important even for the swap portfolio. Capturing the correlation structure in the two-factor Hull-White model is an integral element of CVA (XVA) modeling. However, the correlation structure in two-factor Hull-White model has not studied enough except for the analysis in [AndersenPiterbarg]. In this study, the correlation structure of the two-factor Hull-White model is analyzed in detail. The correlation structure of co-initial swap rates is investigated using a combination of the approximation formula and Monte-Carlo simulation. The Hull-White model captures the de-correlation of the yield curve only when the parameters (volatilities and mean reversion strength) satisfy certain relationships, making the valuation of XVA by two-factor Hull-White model effective.

q-fin.PR↗
arXiv2026

SABR Type Libor (Forward) Market Model (SABR/LMM) with time-dependent skew and smile

Volatility Skew and Smile of Interest Rate products (Swaption and Caplet) are represented by SABR (Stochastic Alpha Beta Rho model). So, the Interest Rate derivatives model for pricing the callable exotic swaps should be comparable to the SABR volatility surface. In the interest rate derivatives models, Libor Market Model (LMM) (in a post-Libor world, Forward Market Model (FMM)) is one of the most popular models used in the market. So, there are many attempts to develop LMMs that are comparable to the SABR surface. It is called SABR/LMM. There are many references for SABR/LMM, but most of them only treat SABR/LMM, which is not flexible enough to be used practically in global banks. The purpose of this paper is to provide a comprehensive definition of SABR/LMM and a complete description of how it is to be implemented.

q-fin.MF↗
arXiv1997

Boundary bound states for the open Hubbard chain with boundary fields

The boundary effects in the open Hubbard chain with boundary fields are studied. The boundary string solutions of the Bethe ansatz equations that give rise to a wave functions localized at the boundary and exponentially decreasing away from the boundary are provided. In particular, it is shown that the correct ground state of the model at half-filling contains the boundary strings.

cond-mat.str-el↗
arXiv1997

Boundary S matrices for the open Hubbard chain with boundary fields

Using the method introduced by Grisaru et al., boundary S matrices for the physical excitations of the open Hubbard chain with boundary fields are studied. In contrast to the open supersymmetric t-J model, the boundary S matrix for the charge excitations depend on the boundary fields though the boundary fields do not break the spin-SU(2) symmetry.

cond-mat.stat-mech↗
arXiv1996

Integrable $1/r^2$ Spin Chain with Reflecting End

A new integrable spin chain of the Haldane-Shastry type is introduced. It is interpreted as the inverse-square interacting spin chain with a {\it reflecting end}. The lattice points of this model consist of the square roots of the zeros of the Laguerre polynomial. Using the ``exchange operator formalism'', the integrals of motion for the model are explicitly constructed.

cond-mat↗
arXiv1994

Critical behavior in $c=1$ matrix model with branching interactions

Motivated by understanding the phase structure of $d >1$ strings we investigate the $c=1$ matrix model with $g' (\tr M(t)^{2})^{2}$ interaction which is the simplest approximation of the model expected to describe the critical phenomena of the large-$N$ reduced model of odd-dimensional matrix field theory. We find three distinct phases: (i) an ordinary $c=1$ gravity phase, (ii) a branched polymer phase and (iii) an intermediate phase. Further we can also analyse the one with slightly generalized $ g^{(2)} (\frac{1}{N}\tr M(t)^{2})^{2} +g^{(3)} (\frac{1}{N}\tr M(t)^{2})^{3} + \cdots + g^{(n)} (\frac{1}{N}\tr M(t)^{2})^{n} $ interaction. As a result the multi-critical versions of the phase (ii) are found.

hep-th↗