本文へスキップ

論文Academic Papers

掲載論文・掲載予定論文

  • 「取引コストを伴う最適消費・投資問題の進展について」, 『イノベーション・マネジメント』, No.18, pp.141-159, 2021(吉川大介氏との共著)
  • "A general control variate method for Lévy models in finance," European Journal of Operational Research, Vo.284, No.3, pp.1190-1200, 2020, (with Kenichiro Shiraya and Hiroki Uenishi)
  • "Probability weighting and default risk: A possible explanation for distressed stock puzzles," Quantitative Finance, Vol.20, No.5, pp.745-767, 2020, Download (preprint version)
  • 「ブラック・ショールズ・モデルの拡張と確率的時間変更」, 『経営志林』, 第56巻, 第2号, pp.33-47, 2019
  • "A dynamic equilibrium model for U-shaped pricing kernels," Quantitative Finance, Vol.18, No.5, pp.851-875, 2018, Download (preprint version)
  • "Equilibrium equity price with optimal dividend policy," International Journal of Theoretical and Applied Finance, Vol.20, No.2, 2017, DOI:10.1142/S0219024917500121, Download (preprint version)
  • "Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing," International Journal of Theoretical and Applied Finance, Vol.19, No.4, 2016, DOI:10.1142/S0219024916500242, Download (preprint version)
  • "Asset pricing with non-geometric type of dividends," Annals of Financial Economics, Vol.10, No.2, 2015, DOI:10.1142/S2010495215500165, Download (preprint version)
  • "Pricing path-dependent options with discrete monitoring under time-changed Lévy processes," Applied Mathematical Finance, Vol.22, No.2, pp.133-161, 2015, (with Yuji Umezawa), Download (preprint version)
  • "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Vol.17, No.1, pp.79-111, 2014, Download (preprint version)
  • "On valuation with stochastic proportional hazard models in finance," International Journal of Theoretical and Applied Finance, Vol.16, No.3, 2013, DOI:10.1142/S0219024913500179, Download (preprint version)
  • "Exponential Lévy models extended by a jump to default," Applied Mathematical Finance, Vol.20, No.3, pp.211-228, 2013, Download (preprint version)
  • "Analytical approximation of pricing average options under the Heston model," Recent Advances in Financial Engineering 2011, pp.203-220, 2012, Download (preprint version)
  • "Pricing swaptions under the LIBOR market model of interest rates with local-stochastic volatility models," Wilmott, September, 2012, pp.48-63 (with Kenichiro Shiraya and Akihiko Takahashi), Download (preprint version)
  • "An extension of CreditGrades model approach with Lévy processes," Quantitative Finance, Vol.11, No.12, pp.1825-1836, 2011 (with Takaaki Ozeki, Yuji Umezawa, and Daisuke Yoshikawa)
  • "Hedging European derivatives with the polynomial variance swap under uncertain volatility environments", International Journal of Theoretical and Applied Finance, Vol.14, No.4, pp.485-505, 2011 (with Akihiko Takahashi and Yukihiro Tsuzuki), Download (preprint version)
  • "Static hedging of defaultable contingent claims: A simple hedging scheme across equity and credit markets," International Journal of Theoretical and Applied Finance, Vol.14, No.2, pp.239-264, 2011 (with Shuichi Ohsaki), Download (preprint version)
  • "A note on the Black-Scholes implied volatility with default risk," Wilmott Journal, Vol.2, No.3, pp.155-170, 2010 (with Shuichi Ohsaki, Takaaki Ozeki, and Yuji Umezawa), Download (preprint version)
  • "Valuation of residential mortgage-backed securities with proportional hazard model: Cumulant expansion approach to pricing RMBS," Journal of Fixed Income, Vol.18, No.4, pp.62-77, 2009 (with Takaaki Ozeki, Yuji Umezawa, and Daisuke Yoshikawa)
  • "A new scheme for static hedging of European derivatives under stochastic volatility models," Journal of Futures Markets, Vol.29, No.5, pp.397-413, 2009 (with Akihiko Takahashi),Download (preprint version)
  • "Efficient static replication of European options under exponential Lévy models," Journal of Futures Markets, Vol.29, No.1, pp.1-15, 2009 (with Akihiko Takahashi), Download (preprint version)
  • 「住宅ローン債権担保証券のプライシング手法について:期限前償還リスクを持つ金融商品の価格の算出」, 『金融研究』, 第25巻, 第2号, pp.57-113, 2005, Download
  • "Symmetry of simple games and permission of voters," Applied Mathematics and Computation, Vol.114, pp.315-327, 2000 (with Takehiro Inohara and Bunpei Nakano)
  • "Compatibility of coalitions in committees with permission of voters by using desirability relation and hopefulness relation," Applied Mathematics and Computation, Vol.113, pp.219-234, 2000 (with Takehiro Inohara and Bunpei Nakano)
  • "New interpretation of the core of simple games in terms of voters' permission," Applied Mathematics and Computation, Vol.108, pp.226-127, 2000 (with Takehiro Inohara and Bunpei Nakano)
  • 「投票者の許容範囲とシンプル・ゲームのコアの関係について」, Journal of the Operations Research Society of Japan, Vol.42, No.3, pp.286-300, 1999 (猪原健弘, 中野文平との共著)

博士論文

  • Essays on Modeling, Valuation, and Hedging in Modern Financial Markets, 博士論文, 東京大学大学院経済学研究科, 2012, Download

バナースペース

法政大学 経営学部 山嵜 輝 研究室

〒102-8160
東京都 千代田区 富士見 2-17-1
法政大学 市ヶ谷キャンパス