KIJIMA MASAAKI

キジママサアキ | KIJIMA MASAAKI

Affiliation and department：
Research theme for competitive and other funds (7)：

2016 - 2019 マルチカーブ環境における金利デリバティブの価格付け理論の再構築とその応用
2014 - 2018 Research on the financial risk management by taking account of remarkable properties of assets and liabilities in financial institutions and long-term behaviors of financial environment in Japan
2013 - 2017 取引費用が存在する金融市場の均衡分析
2014 - 2016 企業のクレジットリスクを考慮した投資行動と資金調達の相互作用に関する研究
2009 - 2014 代替投資を含むポートフォリオの金融リスク管理に関する研究

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Papers (123)：

Hideharu Funahashi, Masaaki Kijima. A unified approach for the pricing of options relating to averages. REVIEW OF DERIVATIVES RESEARCH. 2017. 20. 3. 203-229
Hideharu Funahashi, Masaaki Kijima. Does the Hurst index matter for option prices under fractional volatility?. ANNALS OF FINANCE. 2017. 13. 1. 55-74
Hideharu Funahashi, Masaaki Kijima. An analytical approximation for pricing VWAP options. QUANTITATIVE FINANCE. 2017. 17. 7. 1119-1133
Funahashi, H, Kijima, M. A solution to the time-scale fractional puzzle in the implied volatility. Fractal and Fractional. 2017. 1. 1
Hideharu Funahashi, Masaaki Kijima. Analytical pricing of single barrier options under local volatility models. QUANTITATIVE FINANCE. 2016. 16. 6. 867-886

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Books (23)：

Stochastic Processes with Applications to Finance, 2nd Edition,
Chapman & Hall, London. 2013
ファイナンス理論入門 -- 金融工学へのプロローグ
朝倉書店 2012
金融工学ハンドブック
朝倉書店 2009
リアルオプションと投資戦略
朝倉書店 2008
資産の価格付けと測度変換
朝倉書店 2007

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Work history (8)：

2018/04/01 - Hiroshima University School of Informatics and Data Science Professor
2006/04/01 - 2018/03/31 Tokyo Metropolitan University Graduate School of Social Sciences Professor
2006/04/01 - 2018/03/31 Tokyo Metropolitan University Graduate School of Social Sciences Professor
2001/04/01 - 2006/03/31 Kyoto University Graduate School of Economics Professor
1997/04/01 - 2001/03/31 Tokyo Metropolitan University Faculty of Economics Professor

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Awards (2)：

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