MASAAKI Kijima 木島正明

… Alternative Names

KIJIMA Masaaki 木島正明

木島正明キジママサアキ

KIJIMA M. 木島正明

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Researcher Number	00186222
Other IDs
Affiliation (based on the past Project Information) *help	2017 – 2021: 広島大学, 情報科学部, 教授 2016 – 2017: 首都大学東京, 社会科学研究科, 教授 2012 – 2016: 首都大学東京, 社会(科)学研究科, 教授 2013: 首都大学東京, 社会科学研究科, 教授 2011: 首都大学東京, 社会科学研究科, 教授 … More 2011: 首都大学東京, 社会科学研究科・経営学専攻, 教授 2010: 首都大学東京, 社会科学研究科経営学専攻, 教授 2009: Tokyo Metropolitan University, 社会科学研究科・経営学專攻, 教授 2008: Tokyo Metropolitan University, 大学院・社会科学研究科, 教授 2007 – 2008: Tokyo Metropolitan University, 社会科学研究科・経営学専攻, 教授 2006: 首都大学東京, 都市教養学部経営学系, 教授 1999 – 2000: 東京都立大学, 経済学部, 教授 1997: 東京都立大学, 経済学部, 教授 1996: 筑波大学, 社会工学系, 助教授 1990 – 1993: 筑波大学, 社会工学系, 助教授 Less
Review Section/Research Field	Principal Investigator Social systems engineering/Safety system / Informatics / Social systems engineering/Safety system Except Principal Investigator Money/ Finance / 社会システム工学 / Social systems engineering/Safety system / Public finance/Monetary economics / Fundamental law / Social systems engineering/Safety system
Keywords	Principal Investigator ファイナンス / 金融リスク管理 / リアルオプション / 金融工学 / Laguerre transform / Stochastic Process / Transient behavior / Queue / 出生死滅過程 / 状態推移確率 … More / ラゲ-ル変換法 / 確率過程 / 過渡解 / 待ち行列 / 資産負債特性 / 本邦金融機関 / 住宅ローン担保証券 / デリバティブ評価 / マルチカーブ / 確率モデル / リスク管理 / 確率論 / システム工学 / 市場分析 / ポートフォリオ効果 / 代替投資 / 情報の非対称性 / 保険 / 企業金融 / 数理ファイナンス … More Except Principal Investigator ファイナンス / リアルオプション / オプション理論 / 最適資本構成 / 企業金融 / 非対称情報 / 資金制約 / クレジットリスク / 金融工学 / 数理ファイナンス / リスク管理 / オペレーションズ・リサーチ / アベイラビリティ / モデル分析 / 確率システム / 評価手法 / 次世代信頼性技術 / 大規模コンピュータシステム / 投資タイミング戦略 / 負債の再交渉 / 連鎖倒産 / マルチカーブ / 担保付取引 / デリバティブの価格付け / availability / operations research / model analysis / stochastic system / assessment method / maintenance / next-generation reliability / large-scale computer system / 性能評価 / 保全スケジュール / ソフトウェア / ハードウェア / 実用化 / 次世代信頼性評価技術 / システム保全 / no-arbitrage condition / portfolio / contingent claims / market risk / default of firms / credit risk / valuation of risk / mathematical finance / 格付け推移 / 派生証券の価格理論 / 無裁定条件 / ポートフォリオ / 派生証券 / マーケットリスク / 企業倒産 / 信用リスク / リスク評価 / simulation model / Markov chain / mathematical engineering / quantitative / prediction / system revolution / the state law examination / Sosial system / シミュレーション・モデル / マルコフ連鎖 / 数理工学 / 定量的評価 / 合格者像の予測 / 制度改革 / 司法試験 / 社会システム / 情報の非対称性 / 経済学 / 金融論 / 経済理論 / 曖昧さ / 流動性 / 均衡 / 取引費用 / 金融市場 / ミクロ経済学 / マーケットマイクロス / ファイナンス理論 / 金融リスク管理 / システム保全性 Less

Optimal financing and investment strategies under incomplete financial market
- Principal Investigator
  
  Shibata Takashi
- Project Period (FY)
  2017 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Money/ Finance
- Research Institution
  Tokyo Metropolitan University
Reformulation of pricing
- Principal Investigator
  
  MUROMACHI YUKIO
- Project Period (FY)
  2016 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Tokyo Metropolitan University
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 JapanPrincipal Investigator
- Principal Investigator
  
  Kijima Masaaki
- Project Period (FY)
  2014 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Hiroshima University
  Tokyo Metropolitan University
Interaction between financing and investment decisions under credit risk
- Principal Investigator
  
  Shibata Takashi
- Project Period (FY)
  2014 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Money/ Finance
- Research Institution
  Tokyo Metropolitan University
Equilibrium analysis of financial markets with transaction costs
- Principal Investigator
  
  Hara Chiaki
- Project Period (FY)
  2013 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Money/ Finance
- Research Institution
  Kyoto University
An unified evaluation model for the financial systemic risk under financial crisis
- Principal Investigator
  
  SUZUKI Teruyoshi
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Hokkaido University
Research on the financial risk management of a portfolio including alternative investmentsPrincipal Investigator
- Principal Investigator
  
  KIJIMA Masaaki
- Project Period (FY)
  2009 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Tokyo Metropolitan University
Development of risk management system for large-scale portfolioPrincipal Investigator
- Principal Investigator
  
  MASAAKI Kijima
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Tokyo Metropolitan University
A Study on Practical Application of Next-Generation Reliability Assessment Technologies for Large-Scale Computer Systems
- Principal Investigator
  
  OSAKI Shunji
- Project Period (FY)
  1998 – 2000
- Research Category
  
  Grant-in-Aid for Scientific Research (B).
- Research Field
  
  社会システム工学
- Research Institution
  Hiroshima University
大規模コンピュータシステムに対する次世代信頼性技術に関する総合的研究
- Principal Investigator
  
  OSAKI Shunji
- Project Period (FY)
  1997
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  社会システム工学
- Research Institution
  Hiroshima University
A Study on Valuation Models and Management of Credit Risk
- Principal Investigator
  
  SUZUKI Hisatoshi, YOSHIDA Toshihiro
- Project Period (FY)
  1996 – 1997
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  University of Tsukuba
Construction of a System to Predict the Future Revolution in the State Law Examination
- Principal Investigator
  
  SUZUKI Hisatosi
- Project Period (FY)
  1992 – 1993
- Research Category
  
  Grant-in-Aid for Developmental Scientific Research (B)
- Research Field
  
  Fundamental law
- Research Institution
  University of Tsukuba
Development of system to compute the transient behavior of Markovian QueuesPrincipal Investigator
- Principal Investigator
  
  KIJIMA M.
- Project Period (FY)
  1990 – 1991
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  Informatics
- Research Institution
  University of Tsukuba

[Book] リーマンショック後のの金融工学2019
- Author(s)
  木島正明，藤原哉
- Total Pages
  191
- Publisher
  https://www.credit-pricing.com/2019/12/21/2082/
- Data Source
  KAKENHI-PROJECT-16H03123
[Book] リーマンショック後の金融工学2019
- Author(s)
  木島正明，藤原哉
- Total Pages
  191
- Publisher
  https://www.credit-pricing.com/2019/12/21/2082/
- Data Source
  KAKENHI-PROJECT-17H02547
[Book] Recent Advances in Financial Engineering 20142016
- Author(s)
  Kijima, M., Muromachi, Y., and Shibata, T.
- Total Pages
  226
- Publisher
  World Scientific Publishing, Co.
- Data Source
  KAKENHI-PROJECT-26242028
[Book] Recent Advances in Financial Engineering 20142016
- Author(s)
  Kijima, M., Muromachi, Y. and Shibata, T.
- Total Pages
  226
- Publisher
  World Scientific Publishing Co.
- Data Source
  KAKENHI-PROJECT-26285071
[Book] ファイナンス理論入門2012
- Author(s)
  木島正明, 鈴木輝好, 後藤允
- Total Pages
  198
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-23310098
[Book] ファイナンス理論入門 -- 金融工学へのプロローグ2012
- Author(s)
  木島正明, 鈴木輝好, 後藤允
- Total Pages
  198
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-21241040
[Book] ファイナンス理論入門--金融工学へのプロローグ2012
- Author(s)
  木島正明, 鈴木輝好, 後藤允
- Total Pages
  198
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-21241040
[Book] Methods and Applications of Statistics in Business, Finance, and Management Science (53.The Black-Scholes Formula and Its Applications in Finance を執筆)2010
- Author(s)
  Kijima, M. and Muromachi, Y. (eds. N. Balakrishnan)
- Total Pages
  696
- Publisher
  JOHN WILEY & SONS
- Data Source
  KAKENHI-PROJECT-21241040
[Book] Methods and Applications of Statistics in Business, Finance, and Management Science (1.Alternatives to Black-Scholes Formulation in Financeを執筆)2010
- Author(s)
  Kijima, M., Tanaka, K.(eds.N.Balakrishnan)
- Total Pages
  696
- Publisher
  JOHN WILEY & SONS
- Data Source
  KAKENHI-PROJECT-21241040
[Book] Methods and Applications of Statistics in Business, Finance, and Management Science (1.Alternatives to Black-Scholes Formulation in Finance を執筆)2010
- Author(s)
  Kijima, M. and Tanaka, K. (eds. N. Balakrishnan)
- Total Pages
  696
- Publisher
  JOHN WILEY & SONS
- Data Source
  KAKENHI-PROJECT-21241040
[Book] Methods and Applications of Statistics in Business, Finance, and Management Science (53.The Black-Scholes Formula and Its Applications in Financeを執筆)2010
- Author(s)
  Kijima, M., Muromachi, Y.(eds.N.Balakrishnan)
- Total Pages
  696
- Publisher
  JOHN WILEY & SONS
- Data Source
  KAKENHI-PROJECT-21241040
[Book] 金融工学ハンドブック(翻訳)2009
- Author(s)
  木島正明監訳
- Total Pages
  1028
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-21241040
[Book] 金融工学ハンドブック(翻訳)2009
- Author(s)
  木島正明監訳
- Total Pages
  1028
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-21241040
[Book] 金融工学ハンドブック(翻訳)(分担:第1章金融資産価格付けの基礎)2009
- Author(s)
  芝田隆志, 室町幸雄訳(木島正明監訳)
- Total Pages
  1028
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-21241040
[Book] 金融工学ハンドブック(翻訳)(分担:第15章金融資産の価格変動に対する待ち行列理論を用いた分析)2009
- Author(s)
  山下英明, 西出勝正訳(木島正明監訳)
- Total Pages
  1028
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-21241040
[Book] 金融工学ハンドブック(翻訳)(分担:第10章ポートフォリオの信用リスク計測)2009
- Author(s)
  室町幸雄訳(木島正明監訳)
- Total Pages
  1028
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-21241040
[Book] リアルオプションと投資戦略2008
- Author(s)
  木島正明, 中岡英隆, 芝田隆志
- Total Pages
  176
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-18310104
[Book] 資産の価格付けと測度変換2007
- Author(s)
  木島正明, 田中敬一
- Total Pages
  204
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] Market price of trading liquidity risk and market depth2019
- Author(s)
  Kijima, Masaaki and Ting, Christopher
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: 22 (8) Issue: 08 Pages: 1-36
- DOI
  10.1142/s0219024919500456
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03123, KAKENHI-PROJECT-17H02547
[Journal Article] Perfect hedging under endogenous permanent market impacts2018
- Author(s)
  Fukasawa Masaaki、Stadje Mitja
- Journal Title
  
  Finance and Stochastics
  
  Volume: 22 Issue: 2 Pages: 417-442
- DOI
  10.1007/s00780-017-0352-4
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K05297, KAKENHI-PROJECT-25245046
[Journal Article] Equilibrium returns with transaction costs2018
- Author(s)
  Bouchard Bruno、Fukasawa Masaaki、Herdegen Martin、Muhle-Karbe Johannes
- Journal Title
  
  Finance and Stochastics
  
  Volume: 22 Issue: 3 Pages: 569-601
- DOI
  10.1007/s00780-018-0366-6
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K05297, KAKENHI-PROJECT-25245046
[Journal Article] The microstructural foundations of leverage effect and rough volatility2018
- Author(s)
  El Euch Omar、Fukasawa Masaaki、Rosenbaum Mathieu
- Journal Title
  
  Finance and Stochastics
  
  Volume: 22 Issue: 2 Pages: 241-280
- DOI
  10.1007/s00780-018-0360-z
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245046
[Journal Article] Local asymptotic normality property for fractional Gaussian noise under high-frequency observations2018
- Author(s)
  Brouste Alexandre、Fukasawa Masaaki
- Journal Title
  
  The Annals of Statistics
  
  Volume: 46 Issue: 5 Pages: 2045-2061
- DOI
  10.1214/17-aos1611
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245046
[Journal Article] Analytical pricing of single barrier options under local volatility models2017
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Quantitative Finance
  
  Volume: 16 Issue: 6 Pages: 867-886
- DOI
  10.1080/14697688.2015.1101483
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245046, KAKENHI-PROJECT-26242028, KAKENHI-PROJECT-16H03123, KAKENHI-PROJECT-26285071
[Journal Article] Short-time at-the-money skew and rough fractional volatility2017
- Author(s)
  Masaaki Fukasawa
- Journal Title
  
  Quantitative Finance
  
  Volume: 17 Issue: 2 Pages: 189-198
- DOI
  10.1080/14697688.2016.1197410
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245046, KAKENHI-PROJECT-24684006, KAKENHI-PROJECT-24300107
[Journal Article] A unified approach tor the pricing of options relating to averages2017
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Review of Derivatives Research
  
  Volume: 印刷中 Issue: 3 Pages: 203-229
- DOI
  10.1007/s11147-017-9128-4
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245046, KAKENHI-PROJECT-26285071, KAKENHI-PROJECT-26242028, KAKENHI-PROJECT-16H03123, KAKENHI-PROJECT-17H02547
[Journal Article] A solution to the time-scale fractional puzzle in the implied volatility2017
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Fractal and Fractional
  
  Volume: 1 Issue: 1 Pages: 1-17
- DOI
  10.3390/fractalfract1010014
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26242028, KAKENHI-PROJECT-16H03123, KAKENHI-PROJECT-17H02547
[Journal Article] An analytical approximation for pricing VWAP options2017
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Quantitative Finance
  
  Volume: 印刷中 Issue: 7 Pages: 1119-1133
- DOI
  10.1080/14697688.2016.1260758
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245046, KAKENHI-PROJECT-26285071, KAKENHI-PROJECT-26242028, KAKENHI-PROJECT-16H03123, KAKENHI-PROJECT-17H02547
[Journal Article] Does the Hurst index matter for option prices under fractional volatility?2017
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Annals of Finance
  
  Volume: 13 Issue: 1 Pages: 55-74
- DOI
  10.1007/s10436-016-0289-1
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245046, KAKENHI-PROJECT-26285071, KAKENHI-PROJECT-26242028, KAKENHI-PROJECT-16H03123, KAKENHI-PROJECT-17H02547
[Journal Article] Asymptotic replication with modified volatility under small transaction costs2016
- Author(s)
  Jiatu Cai and Masaaki Fukasawa
- Journal Title
  
  Finance and Stochastics
  
  Volume: 20 Issue: 2 Pages: 381-431
- DOI
  10.1007/s00780-016-0294-2
- Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-24684006, KAKENHI-PROJECT-25245046, KAKENHI-PROJECT-24300107
[Journal Article] A chaos expansion approach for the pricing of contingent claims2015
- Author(s)
  H. Funahashi and M. Kijima
- Journal Title
  
  Journal of Computational Finance
  
  Volume: 18 Pages: 27-58
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245046
[Journal Article] A chaos expansion approach for the pricing of contingent claims2015
- Author(s)
  Hideharu Funahashi and Masaaki Kijima
- Journal Title
  
  Journal of Computational Finance
  
  Volume: 18 Pages: 1-31
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245046
[Journal Article] A chaos expansion approach for the pricing of contingent claims2015
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Journal of Computational Finance
  
  Volume: 18 Pages: 1-31
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26242028
[Journal Article] Reformulation of the arbitrage-free pricing method under the multi-curve environment2015
- Author(s)
  Kijima, M. and Muromachi, Y.
- Journal Title
  
  首都大学東京大学院社会科学研究科経営学専攻 Research Paper Series
  
  Volume: 156 Pages: 1-28
- Data Source
  KAKENHI-PROJECT-26242028
[Journal Article] A chaos expansion approach for the pricing of contingent claims2015
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Journal of Computational Finance
  
  Volume: 18 Pages: 1-31
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26285071
[Journal Article] Risk Evaluation of Mortgage-Loan Portfolios under Low Interest-Rate Environment2014
- Author(s)
  Kijima, M., Suzuki, Y. and Tamba, Y.
- Journal Title
  
  Journal of Risk
  
  Volume: (forthcoming)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23310098
[Journal Article] On the risk evaluation method based on the market model2014
- Author(s)
  Kijima, M. and Muromachi, Y.
- Journal Title
  
  Nonlinear Economic Dynamics and Financial Modelling
  
  Volume: 1 Pages: 253-273
- DOI
  10.1007/978-3-319-07470-2_15
- ISBN
  9783319074696, 9783319074702
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-24510194, KAKENHI-PROJECT-26242028
[Journal Article] Credit-equity modeling under a latent Levy firm process2014
- Author(s)
  Kijima, M. and Siu, C.C.
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: 17 Issue: 03 Pages: 1-41
- DOI
  10.1142/s0219024914500216
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26242028, KAKENHI-PROJECT-26285071, KAKENHI-PROJECT-25245046
[Journal Article] Risk evaluation of mortgage-loan portfolios in a low interest rate environment2014
- Author(s)
  Masaaki Kijima, Youichi Suzuki, and Yasuhiro Tamba
- Journal Title
  
  Journal of Risk
  
  Volume: 16 Pages: 1-35
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245046
[Journal Article] On the Risk Evaluation Method Based on the Market Model2014
- Author(s)
  Kijima, M. and Muromachi, Y.
- Journal Title
  
  Advances in Nonlinear Economic Dynamics and Quantitative Finance, Springer Festschrift
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Volatility derivatives and model-free implied leverage2014
- Author(s)
  Masaaki Fukasawa
- Journal Title
  
  International journal of Theoretical and Applied Finance
  
  Volume: 17 Issue: 01 Pages: 1450002-1450002
- DOI
  10.1142/s0219024914500022
- NAID
  120006937137
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24684006, KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245046
[Journal Article] Risk Evaluation of Mortgage-Loan Portfolios under Low Interest-Rate Environment2014
- Author(s)
  Kijima, M. and Muromachi, Y.
- Journal Title
  
  Advances in Nonlinear Economic Dynamics and Quantitative Finance
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23310098
[Journal Article] Risk evaluation of mortgage-loan portfolios under low interest-rate environment2014
- Author(s)
  Kijima, M., Suzuki, Y., and Tamba, Y.
- Journal Title
  
  Journal of Risk
  
  Volume: 16 Pages: 3-37
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26285071
[Journal Article] Risk Evaluation of Mortgage-Loan Portfolios under Low Interest-Rate Environment2014
- Author(s)
  Kijima, M., Suzuki, Y. and Tamba, Y.
- Journal Title
  
  Journal of Risk
  
  Volume: (印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Risk Evaluation of Mortgage-Loan Portfolios under Low Interest-Rate Environment2014
- Author(s)
  M. Kijima, Y. Suzuki, and Y. Tamba
- Journal Title
  
  Journal of Risk
  
  Volume: 不明
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245046
[Journal Article] An extension of the chaos expansion approximation for the pricing of exotic basket options2014
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Applied Mathematical Finance
  
  Volume: 21(2) Pages: 109-139
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] An extension of the chaos expansion approximation for the pricing of exotic basket options2014
- Author(s)
  H. Funahashi and M. Kijima
- Journal Title
  
  Applied Mathematical Finance
  
  Volume: 不明
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245046
[Journal Article] An extension of the chaos expansion approximation for the pricing of exotic basket options2014
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Applied Mathematical Finance
  
  Volume: (forthcoming)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23310098
[Journal Article] On the Risk Evaluation Method Based on the Market Model2014
- Author(s)
  M. Kijima and Y. Muromachi
- Journal Title
  
  Advances in Nonlinear Economic Dynamics and Quantitative Finance, Springer Festschrift
  
  Volume: 不明
- Data Source
  KAKENHI-PROJECT-25245046
[Journal Article] Risk evaluation of mortgage-loan portfolios under low interest-rate environment2014
- Author(s)
  Kijima, M., Suzuki, Y. and Tamba, Y.
- Journal Title
  
  Journal of Risk
  
  Volume: 16 Pages: 3-37
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26242028
[Journal Article] Efficient discretization of stochastic integrals2014
- Author(s)
  Masaaki Fukasawa
- Journal Title
  
  Finance and Stochastics
  
  Volume: 18 Issue: 1 Pages: 175-208
- DOI
  10.1007/s00780-013-0215-6
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24300107, KAKENHI-PROJECT-24684006, KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245046
[Journal Article] An extension of the chaos expansion approximation for the pricing of exotic basket options2014
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Applied Mathematical Finance
  
  Volume: 21 Issue: 2 Pages: 109-139
- DOI
  10.1080/1350486x.2013.812855
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26242028, KAKENHI-PROJECT-26285071, KAKENHI-PROJECT-25245046
[Journal Article] A chaos expansion approach for the pricing of contingent claims2013
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Journal of Computational Finance
  
  Volume: -
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23310098
[Journal Article] Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty2013
- Author(s)
  Kijima, M. and Tian, Y.
- Journal Title
  
  Decisions in Economics and Finance
  
  Volume: -
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23310098
[Journal Article] A chaos expansion approach for the pricing of contingent claims2013
- Author(s)
  Funahashi, H. and Kijima, M.
- Journal Title
  
  Journal of Computational Finance
  
  Volume: (印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Convex risk measure for good deal bounds2013
- Author(s)
  T. Arai and M. Fukasawa
- Journal Title
  
  Mathematical Finance
  
  Volume: (to appear) Issue: 3 Pages: 464-484
- DOI
  10.1111/mafi.12020
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540149, KAKENHI-PROJECT-24684006, KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245046
[Journal Article] Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty2012
- Author(s)
  Kijima, M. and Tian, Y.
- Journal Title
  
  Decisions in Economics and Finance
  
  Volume: March Issue: 2 Pages: 1-29
- DOI
  10.1007/s10203-012-0129-3
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040, KAKENHI-PROJECT-23310098, KAKENHI-PROJECT-24730283
[Journal Article] EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility2011
- Author(s)
  Kijima, Nishide, Ohyama
- Journal Title
  
  Journal of Economic Dynamics and Control
  
  Volume: 35 Pages: 746-763
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23310098
[Journal Article] EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility2011
- Author(s)
  Kijima, M., Nishide, K. and Ohyama, A.
- Journal Title
  
  Journal of Economic Dynamics and Control
  
  Volume: 35 Issue: 5 Pages: 746-763
- DOI
  10.1016/j.jedc.2011.01.005
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040, KAKENHI-PROJECT-23530362
[Journal Article] Equilibrium pricing of contingent claims in tradable permit markets2010
- Author(s)
  Kijima, M., Maeda, A., Nishide, K.
- Journal Title
  
  Journal of Futures Markets 30
  
  Pages: 559-589
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Black-Scholes Formula and Applications in Finance2010
- Author(s)
  Kijima, M., Muromachi, Y.
- Journal Title
  
  Methods and Applications of Statistics in Business, Finance, and Management Science (forthcoming)(未定)
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Economic models for the environmental Kuznets curve : A survey2010
- Author(s)
  Kijima, M., Nishide, K. and Ohyama, A.
- Journal Title
  
  Journal of Economic Dynamics and Control
  
  Volume: 34(7) Pages: 1187-1201
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Pricing of CDOs based on the multivariate Wang transform2010
- Author(s)
  Kijima, M., Motomiya, S., Suzuki, Y.
- Journal Title
  
  Journal of Economic Dynamics and Control (forthcoming)(未定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Alternatives to Black-Scholes Formulation in Finance2010
- Author(s)
  Kijima, M., Tanaka, K.
- Journal Title
  
  Methods and Applications of Statistics in Business, Finance, and Management Science (forthcoming)(未定)
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Equilibrium pricing of contingent claims in tradable permit markets2010
- Author(s)
  Kijima, M., Maeda, A., Nishide, K.
- Journal Title
  
  Journal of Futures Markets
  
  Volume: 30(6) Pages: 559-589
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Pricing of CDOs based on the multivariate Wang transform2010
- Author(s)
  Kijima, M., Motomiya, S. and Suzuki, Y.
- Journal Title
  
  Journal of Economic Dynamics and Control
  
  Volume: 34(11) Pages: 2245-2258
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Economic models for the environmental Kuznets curve : A survey2010
- Author(s)
  Kijima, M., Nishide, K., Ohyama, A.
- Journal Title
  
  Journal of Economic Dynamics and Control (forthcoming)(未定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] A Multi-Quality Model of Interest Rates2009
- Author(s)
  Kijima, M., Tanaka, K., Wong, T.
- Journal Title
  
  Quantitative Finance 9
  
  Pages: 133-145
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] A latent process model for the pricing of corporate securities2009
- Author(s)
  Kijima, M., Suzuki, T., Tanaka, K.
- Journal Title
  
  Mathematical Methods of Operations Research 69
  
  Pages: 439-455
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Yield Spread Options under the DLG model2009
- Author(s)
  Kijima, K, Tanaka, K., Wong, T.
- Journal Title
  
  Modelling Interest Rates
  
  Pages: 43-71
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] Y ield Spread Options under the DLG model, in Modelling Interest Rates (eds. F. Mer curio)2009
- Author(s)
  Kijima, M., Tanaka, K. and Wong, T.
- Journal Title
  
  RISK books
- Data Source
  KAKENHI-PROJECT-21241040
[Journal Article] extension of the Wang transform derived from Buhlmann's economic premium principle for insurance risk2008
- Author(s)
  Kijima, M., and Muromachi, Y.
- Journal Title
  
  Insurance : Mathematics and Economics 42
  
  Pages: 887-896
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] A Multi-Quality Model of Interest Rates2008
- Author(s)
  Kijima, M., Tanaka, K., and Wong, T.
- Journal Title
  
  首都大学東京大学院社会科学研究科経営学専攻 Research Paper Series 47
  
  Pages: 1-27
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] Pricing of ratchet equity-indexed annuities under stochastic interest rates2007
- Author(s)
  Kijima, M. and Wong, T.
- Journal Title
  
  Insurance: Mathematics and Economics 41
  
  Pages: 317-338
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] The pricing of options with stochastic boundaries in a Gaussian economy2007
- Author(s)
  Kijima, M. and Suzuki, T.
- Journal Title
  
  Journal of the Operations Research Society of Japan 50
  
  Pages: 137-150
- NAID
  110006317303
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] Pricing of path-dependent American options by Monte Carlo simulation2007
- Author(s)
  Fujiwara, H., M. Kijima
- Journal Title
  
  Journal of Economic Dynamics and Control (forthcoming)
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] Pricing of ratchet equity-indexed annuities under stochastic interest rates2007
- Author(s)
  Kijima, M., T. Wong
- Journal Title
  
  Insurance : Mathematics and Economics (forthcoming)
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] A positive interest rate model with sticky barrier2007
- Author(s)
  Kabanov, Y., M.Kijima, S.Rinaz
- Journal Title
  
  Quantitative Finance (forthcoming)
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] A positive interest rate model with sticky barrier2007
- Author(s)
  Kabanov, Y., Kijima, M. and Rinaz, S.
- Journal Title
  
  Quantitative Finance 7
  
  Pages: 269-284
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] The pricing of options with stochastic boundaries in a Gaussian economy2007
- Author(s)
  Kijima, M., and Suzuki, T.
- Journal Title
  
  Journal of the Operations Research Society of Japan 50
  
  Pages: 137-150
- NAID
  110006317303
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] Pricing of ratchet equity-indexed annuities under stochastic interest rates2007
- Author(s)
  Kijima, M., and Wong, T.
- Journal Title
  
  Insurance : Mathematics and Economics 41
  
  Pages: 317-338
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] 年金リスクを内包した企業の最適資本構成モデル2007
- Author(s)
  川上高志, 木島正明, 湯前祥二
- Journal Title
  
  リスクと保険 3
  
  Pages: 43-65
- NAID
  40015793729
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] Pricing of path-dependent American options by Monte Carlo simulation2007
- Author(s)
  Fujiwara, H. and Kijima, M.
- Journal Title
  
  Journal of Economic Dynamics and Control 31
  
  Pages: 3478-3502
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] Value-at-Risk in a market subject to regime switching2007
- Author(s)
  Kawata, R., M.Kijima
- Journal Title
  
  Quantitative Finance (forthcoming)
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] Apositive interest rate model with sticky barrier2007
- Author(s)
  Kabanov, Y., Kijima, M., and Rinaz, S.
- Journal Title
  
  Quantitative Finance 7
  
  Pages: 269-284
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] 銀行勘定金利リスク管理のための内部モデル(AA-Kijima Model)について2007
- Author(s)
  伊藤優, 木島正明
- Journal Title
  
  証券アナリストジャーナル 45
  
  Pages: 79-92
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] Value-at-Risk in a market subject to regime switching2007
- Author(s)
  Kawata, R. and Kijima, M.
- Journal Title
  
  Quantitative Finance 7
  
  Pages: 609-619
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] A multivariate extension of equilibrium pricing transforms : The multivariate Esscher and Wang transforms for pricing financial and insurance risks2006
- Author(s)
  Kijima, M.
- Journal Title
  
  ASTIN Bulletin 36
  
  Pages: 269-283
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] Latent Process Model for the Pricing of Corporate Securities
- Author(s)
  Kijima, M., Suzuki, T., and Tanaka, K., A.
- Journal Title
  
  Mathematical Methods of Operations Research (forthcoming)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Journal Article] A Latent Process Model for the Pricing of Corporate Securities
- Author(s)
  Kijima, M., Suzuki, T., Tanaka, K.
- Journal Title
  
  Mathematical Methods of Operations Research forthcoming(掲載確定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310104
[Presentation] A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility2018
- Author(s)
  Kijima, M.
- Organizer
  Advanced Methods in Mathematical Finance
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Regulatory Policy to Mitigate Potential Risks Arising from Contingent Convertibles2018
- Author(s)
  Kijima, M.
- Organizer
  EURO 2018
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] A model of price impact function2017
- Author(s)
  Masaaki Kijima
- Organizer
  Quantitative Methods in Finance
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03123
[Presentation] A model of price impact function2017
- Author(s)
  Kijima, M.
- Organizer
  Quantitative Methods in Finance 2017
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H02547
[Presentation] A model of price impact function2017
- Author(s)
  Masaaki Kijima
- Organizer
  Quantitative Methods in Finance
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Does the Hurst index matter for option prices under fractional volatility?2016
- Author(s)
  木島正明
- Organizer
  The 4th Asian Quantitative Finance Conference
- Place of Presentation
  大阪大学中之島センター（大阪府・大阪市）
- Year and Date
  2016-02-22
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245046
[Presentation] On the Ross Recovery under the Hull--White Model2016
- Author(s)
  Kijima, M.
- Organizer
  STS 2016
- Place of Presentation
  Seoul, South Korea
- Year and Date
  2016-04-01
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03123
[Presentation] On the Ross Recovery under the Hull--White Model2016
- Author(s)
  Kijima, M.
- Organizer
  STS2016 Conference
- Place of Presentation
  Seoul, South Korea
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] On the Ross Recovery under the Hull--White Model2016
- Author(s)
  Kijima, M.
- Organizer
  STS2016 Conference
- Place of Presentation
  Seoul, South Korea
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26285071
[Presentation] On the Ross Recovery under the Hull--White Model2016
- Author(s)
  Masaaki Kijima
- Organizer
  STS 2016
- Place of Presentation
  ソウル（韓国）
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245046
[Presentation] An Analytical Approximation for Pricing VWAP Options2015
- Author(s)
  Kijima, M.
- Organizer
  AMMF2015 Workshop
- Place of Presentation
  Angers, France
- Year and Date
  2015-09-04
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Analytical pricing of barrier options under local volatility models2015
- Author(s)
  木島正明
- Organizer
  CEF2015
- Place of Presentation
  台北（台湾）
- Year and Date
  2015-06-20
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245046
[Presentation] Analytical Pricing of Barrier Options under Local Volatility Models2015
- Author(s)
  Kijima, M
- Organizer
  21th International Conference on Computing in Economics
- Place of Presentation
  Taipei, Taiwan
- Year and Date
  2015-06-20
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26285071
[Presentation] An Analytical Approximation for Pricing VWAP Options2015
- Author(s)
  Kijima, M.
- Organizer
  Advanced Methods in Mathematical Finance Conference
- Place of Presentation
  Angers, France
- Year and Date
  2015-09-01
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26285071
[Presentation] An analytical approximation for pricing VWAP options2015
- Author(s)
  木島正明
- Organizer
  AMMF2015 Workshop
- Place of Presentation
  アンジェ（フランス）
- Year and Date
  2015-09-04
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245046
[Presentation] Analytical Pricing of Barrier Options under Local Volatility Models2015
- Author(s)
  Kijima, M.
- Organizer
  CEF2015
- Place of Presentation
  Taipei, Taiwan
- Year and Date
  2015-06-20
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] A unified approach for the pricing of generalized Asian option2014
- Author(s)
  Kijima, M.
- Organizer
  Stochastic Calculus, Martingales and Financial Modeling
- Place of Presentation
  Saint Petersburg, Russia
- Year and Date
  2014-06-30
- Data Source
  KAKENHI-PROJECT-26285071
[Presentation] A unified approach for the pricing of generalized Asian option2014
- Author(s)
  Kijima, M.
- Organizer
  Fourth IMS-FPS workshop 2014
- Place of Presentation
  Sydney, Australia
- Year and Date
  2014-07-05
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Analytical pricing of barrier options and its applications2014
- Author(s)
  Kijima, M.
- Organizer
  Quantitative Methods in Finance 2014
- Place of Presentation
  Sydney, Australia
- Year and Date
  2014-12-20
- Invited
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] Analytical pricing of barrier options and its applications2014
- Author(s)
  Kijima, M.
- Organizer
  Quantitative Methods in Finance 2014
- Place of Presentation
  Sydney, Australia
- Year and Date
  2014-12-20
- Invited
- Data Source
  KAKENHI-PROJECT-26285071
[Presentation] “Analytical Pricing of Barrier Options under Local Volatility Models2014
- Author(s)
  Masaaki Kijima
- Organizer
  Quantitative Methods in Finance Conference
- Place of Presentation
  シドニー（オーストラリア）
- Year and Date
  2014-12-18
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245046
[Presentation] On the risk evaluation method based on the market model2014
- Author(s)
  Kijima, M.
- Organizer
  Dynamic Models in Economics and Finance
- Place of Presentation
  Urbino, Italy
- Year and Date
  2014-09-18
- Data Source
  KAKENHI-PROJECT-26285071
[Presentation] “A Unified Approach for the Pricing of Generalized Asian Options2014
- Author(s)
  Masaaki Kijima
- Organizer
  Fourth IMS-FPS workshop 2014
- Place of Presentation
  シドニー（オーストラリア）
- Year and Date
  2014-07-05
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245046
[Presentation] On the risk evaluation method based on the market model2014
- Author(s)
  Kijima, M.
- Organizer
  Dynamic Models in Economics and Finance
- Place of Presentation
  Urbino, Italy
- Year and Date
  2014-09-18
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] A unified approach for the pricing of generalized Asian option2014
- Author(s)
  Kijima, M.
- Organizer
  Fourth IMS-FPP (Institute of Mathematical Statistics - Finance, Probability and Statistics) Workshop 2014
- Place of Presentation
  Sydney, Australia
- Year and Date
  2014-07-05
- Data Source
  KAKENHI-PROJECT-26285071
[Presentation] A unified approach for the pricing of generalized Asian option2014
- Author(s)
  Kijima, M.
- Organizer
  Stochastic Calculus, Martingales and Financial Modeling
- Place of Presentation
  Saint Petersburg, Russia
- Year and Date
  2014-06-30
- Data Source
  KAKENHI-PROJECT-26242028
[Presentation] A Chaos Expansion Approach for the Pricing of Contingent Claims2012
- Author(s)
  Funahashi, H. and Kijima, M.
- Organizer
  Winter Workshop on Finance 2012
- Place of Presentation
  北海道大学, 北海道
- Year and Date
  2012-02-13
- Invited
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Equilibrium Price and Allocation in the Presence of Transaction Costs2012
- Author(s)
  Kijima, M., Tamura, A.
- Organizer
  The Sixth Bachelier Colloquium
- Place of Presentation
  Metabief, France(招待講演)
- Year and Date
  2012-01-18
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Equilibrium Price and Allocation in the Presence of Transaction Costs2012
- Author(s)
  Kijima, M. and Tamura, A.
- Organizer
  The Sixth Bachelier Colloquium
- Place of Presentation
  Metabief, France
- Year and Date
  2012-01-18
- Invited
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Equilibrium Price and Allocation in the Presence of Transaction Costs2012
- Author(s)
  Kijima, M.
- Organizer
  The Sixth Bachelier Colloquium
- Place of Presentation
  Azreva Metabief (France)(招待講演)
- Year and Date
  2012-01-18
- Data Source
  KAKENHI-PROJECT-23310098
[Presentation] A Chaos Expansion Approach for the Pricing of Contingent Claims2012
- Author(s)
  Kijima, M.
- Organizer
  WWF 2012
- Place of Presentation
  北海道大学(札幌)(招待講演)
- Year and Date
  2012-02-12
- Data Source
  KAKENHI-PROJECT-23310098
[Presentation] A Chaos Expansion Approach for the Pricing of Contingent Claims2012
- Author(s)
  Funahashi, H., Kijima, M.
- Organizer
  Winter Workshop on Finance 2012
- Place of Presentation
  北海道大学,北海道(招待講演)
- Year and Date
  2012-02-13
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Equilibrium pricing of contingent claims in tradable permit markets2010
- Author(s)
  Kijima, M.
- Organizer
  The Third Bachelier Colloquium
- Place of Presentation
  Metabief, France
- Year and Date
  2010-01-25
- Invited
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Equilibrium pricing of contingent claims in tradable permit markets (招待講演)2010
- Author(s)
  Kijima, M.
- Organizer
  The Third Bachelier Colloquium
- Place of Presentation
  Metabief, France
- Year and Date
  2010-01-25
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] On the Environmental Kuznets Curve : A Real Options Approach (招待講演)2009
- Author(s)
  Kijima, M.
- Organizer
  15th International Conference on Computing in Economics and Finance
- Place of Presentation
  Sydney, Australia
- Year and Date
  2009-07-17
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] On the Environmental Kuznets Curve : A Real Options Approach2009
- Author(s)
  Kijima, M.
- Organizer
  15th International Conference on Computing in Economics and Finance
- Place of Presentation
  Sydney, Australia
- Year and Date
  2009-07-17
- Invited
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] Pricing of CDO's Based on the Multivariate Wang Transform2009
- Author(s)
  Kijima, M.
- Organizer
  39th ASTIN Colloquium
- Place of Presentation
  Helsinki, Finland
- Year and Date
  2009-06-02
- Data Source
  KAKENHI-PROJECT-21241040
[Presentation] On the Pricing of Contingent Claims in the Pollution Permit Markets2008
- Author(s)
  Masaaki Kijima, M., Maeda, A., and Nishide, K.
- Organizer
  日本オペレーションズリサーチ学会2008年春季研究発表会
- Place of Presentation
  京都コンピュータ学院
- Year and Date
  2008-03-26
- Data Source
  KAKENHI-PROJECT-18310104
[Presentation] The multivariate Wang transform and its application to the pricing of CDO's2008
- Author(s)
  Kijima, M.
- Organizer
  The Third Bachelier Colloquium
- Place of Presentation
  Metabief, France
- Year and Date
  2008-01-07
- Data Source
  KAKENHI-PROJECT-18310104
[Presentation] On the Pricing of Contingent Claims in the Pollution Permit Markets2008
- Author(s)
  Kijima, M, Maeda, A., and Nishide, K.
- Organizer
  Daiwa Young Researchers' International Workshop on Finance
- Place of Presentation
  京都大学
- Year and Date
  2008-03-05
- Data Source
  KAKENHI-PROJECT-18310104
[Presentation] The optimal capital structure and endogenous bankruptcy for a fixed term debt issued at par2007
- Author(s)
  Kijima, M.
- Organizer
  Recent Advances in Mathematical Finance: Conference in Honor of Stan Pliska
- Place of Presentation
  Chicago, USA
- Year and Date
  2007-12-06
- Data Source
  KAKENHI-PROJECT-18310104
[Presentation] A multi-quality model of interest rates2007
- Author(s)
  Kijima, M.
- Organizer
  Quantitative Methods in Finance
- Place of Presentation
  Sydney, Australia
- Year and Date
  2007-12-15
- Data Source
  KAKENHI-PROJECT-18310104
[Presentation] A multi-quality model of interest rates2007
- Author(s)
  Kijima, M.
- Organizer
  Quantitative Methods in Finance Conference 2007
- Place of Presentation
  Sydney, Australia
- Data Source
  KAKENHI-PROJECT-18310104

1. SHIBATA Takashi (70372597)

# of Collaborated Projects: 5 results

# of Collaborated Products: 4 results
2. MUROMACHI Yukio (70514719)

# of Collaborated Projects: 4 results

# of Collaborated Products: 10 results
3. NISHIDE Katsumasa (40410683)

# of Collaborated Projects: 4 results

# of Collaborated Products: 3 results
4. SUZUKI Hisatosi (10108219)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
5. YOSHIDA Toshihiro (60251013)

# of Collaborated Projects: 2 results

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6. OSAKI Shunji (10034399)

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7. YAMADA Shigeru (50166708)

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8. KAIO Naoto (80148741)

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9. DOHI Tadashi (00243600)

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10. TANAKA Keiichi (00381442)

# of Collaborated Projects: 2 results

# of Collaborated Products: 11 results
11. HARA Chiaki (90314468)

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12. YAMASHITA Hideaki (30200687)

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# of Collaborated Products: 1 results
13. SUZUKI Teruyoshi (90360891)

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# of Collaborated Products: 3 results
14. 内田善彦 (10403023)

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15. 西原理 (20456940)

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16. NAKAOKA Hidetaka (20516025)

# of Collaborated Projects: 1 results

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17. WATANABE Takahiro (70220895)

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18. NOGUCHI Masayoshi (70237832)

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19. IIBOSHI Hirokuni (90381441)

# of Collaborated Projects: 1 results

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20. OGATA Hiroaki (30454086)

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21. ISHII Toshimasa (30324487)

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22. GOTO Makoto (30434286)

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23. SANDOH Hiroaki (40167440)

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24. 田園 (10609895)

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25. 深澤正彰 (70506451)

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26. 内山朋規 (50772125)

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27. 田中泰明 (90217068)

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28. TAMBA yasuhiro

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29. 新井拓児

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MASAAKI Kijima 木島 正明

KIJIMA Masaaki 木島 正明

木島 正明 キジマ マサアキ

KIJIMA M. 木島 正明

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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 JapanPrincipal Investigator

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Research on the financial risk management of a portfolio including alternative investmentsPrincipal Investigator

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Development of risk management system for large-scale portfolioPrincipal Investigator

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Development of system to compute the transient behavior of Markovian QueuesPrincipal Investigator

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[Book] リーマンショック後のの金融工学2019

Author(s)

Total Pages

Publisher

MASAAKI Kijima 木島正明

KIJIMA Masaaki 木島正明

木島正明キジママサアキ

KIJIMA M. 木島正明

[Book] 金融工学ハンドブック(翻訳)2009