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論文Academic Papers

掲載論文・掲載予定論文

  • "A Dynamic Equilibrium Model for U-Shaped Pricing Kernels," Quantitative Finance, forthcoming, Download
  • "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』, Vol.25, No.2, 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

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