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Takashi Kato

Publications and source records attributed to Takashi Kato.

25 records · Page 2Linked to original sources
arXiv2014

Order Estimates for the Exact Lugannani-Rice Expansion

The Lugannani-Rice formula is a saddlepoint approximation method for estimating the tail probability distribution function, which was originally studied for the sum of independent identically distributed random variables. Because of its tractability, the formula is now widely used in practical financial engineering as an approximation formula for the distribution of a (single) random variable. In this paper, the Lugannani-Rice approximation formula is derived for a general, parametrized sequence of random variables and the order estimates of the approximation are given.

q-fin.CP↗
arXiv2013

A Semi-group Expansion for Pricing Barrier Options

This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential equations (PDEs) arising in barrier option pricing. As an application, we propose a concrete approximation formula under a stochastic volatility model and demonstrate its validity by some numerical experiments.

q-fin.CP↗
arXiv2013

Stock Price Fluctuations in an Agent-Based Model with Market Liquidity

We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discrete-time framework is determined by temporary equilibria via agents' excess demand functions, and the diffusion approximation approach is applied to characterize the continuous-time limit (as transaction intervals shorten) as a solution of the corresponding stochastic differential equation (SDE). In this paper we further make the assumption that some of the agents are bound by either short sale constraints or budget constraints. Then we show that the continuous-time process of the stock price can be derived from a certain SDE with oblique reflection. Moreover we find that the short sale (respectively, budget) constraint causes overpricing (respectively, underpricing).

math.PR↗
arXiv2012

Investigation on synthesis and physical properties of metal doped picene solids

We report electronic structure and physical properties of metal doped picene as well as selective synthesis of the phase exhibiting 18 K superconducting transition. First, Raman scattering is used to characterize the number of electrons transferred from the dopants to picene molecules. The charge transfer leads to a softening of Raman scattering peaks, which enables us to determine the number of transferred electrons. From this we have identified that three electrons are transferred to each picene molecule in the superconducting doped-picene solids. Second, we report the pressure dependence of Tc in 7 and 18 K phases of K3picene. The 7 K phase shows a negative pressure-dependence, while the 18 K phase exhibits a positive pressure-dependence which cannot be understood with a simple phonon mechanism of BCS superconductivity. Third, we report a new synthesis method for superconducting K3picene by a solution process with monomethylamine, CH3NH2. This method enables one to prepare selectively the K3picene sample exhibiting 18 K superconducting transition. The discovery of suitable way for preparing K3picene with Tc = 18 K may facilitate clarification of the mechanism of superconductivity.

cond-mat.supr-con↗
arXiv2009

Summary of the J-PARC UCN Taskforce

Discussions in the taskforce meetings in the period of Jan.-Mar. 2009 on the technical possibility of the ultracold neutron (UCN) source at the Japan Proton Accelerator Research Complex (J-PARC) is summarized.

physics.ins-det↗
arXiv2006

Vertex Corrections on the Anomalous Hall Effect in Spin-polarized Two-dimensional Electron Gases with Rashba Spin-orbit Interaction

We study the effect of disorder on the intrinsic anomalous Hall (AH) conductivity in a spin-polarized two-dimensional electron gas with a Rashba-type spin-orbit interaction. We find that AH conductivity vanishes unless the lifetime is spin-dependent, similar to the spin Hall (SH) conductivity in the non-magnetic system. In addition, we find that the SH conductivity does not vanish in the presence of magnetic scatterers. We show that the SH conductivity can be controlled by changing the amount of the magnetic impurities.

cond-mat.mes-hall↗