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J-GLOBAL ID:200901082537097765   Update date: Nov. 29, 2019

KIJIMA MASAAKI

KIJIMA MASAAKI
Affiliation and department:
Papers (119):
  • Funahashi, H. and Kijima, M. A solution to the time-scale fractional puzzle in the implied volatility. Fractal and Fractional. 2017. 1. 1
  • Funahashi, H. and Kijima, M. A unified approach for the pricing of options relating to averages. Review of Derivatives Research. 2017. 20. 3. 203-229
  • Funahashi, H. and Kijima, M. Does the Hurst index matter for option prices under fractional volatility?. Annals of Finance. 2017. 13. 1. 55-74
  • Funahashi, H. and Kijima, M. An analytical approximation for pricing VWAP options. Quantitative Finance. 2017. 17. 7. 1119-1133
  • Funahashi, H. and Kijima, M. Analytical pricing of single barrier options under local volatility models. Quantitative Finance. 2016. 16. 6. 867-886
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Books (3):
  • Markov Processes for Stochastic Modeling
    Chapman & Hall, London 1997
  • Stochastic Processes with Applications to Finance
    Chapman & Hall, London 2002
  • Stochastic Processes with Applications to Finance, 2nd Edition,
    Chapman & Hall, London. 2013
Work history (6):
  • 1986/04/01 - 1989/03/31 Tokyo Institute of Technology Assistant Professor
  • 1989/04/01 - 1997/03/31 University of Tsukuba Associate Professor
  • 1997/04/01 - 2001/03/31 Tokyo Metropolitan University Professor
  • 2001/04/01 - 2006/03/31 Kyoto University Professor
  • 2006/04/01 - 2018/03/31 Tokyo Metropolitan University Professor
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