Tsuzuki Yukihiro 都築幸宏

… Alternative Names

TSUZUKI Yukihiro 都築幸宏

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Researcher Number	00801599
Other IDs
Affiliation (Current)	2025: 信州大学, 学術研究院社会科学系, 准教授
Affiliation (based on the past Project Information) *help	2017 – 2023: 信州大学, 学術研究院社会科学系, 准教授
Review Section/Research Field	Principal Investigator Basic Section 07060:Money and finance-related / Money/ Finance
Keywords	Principal Investigator 無裁定 / 数理ファイナンス / 資金調達コスト / 金融派生商品 / デリバティブ / 金融工学 / ベッセル過程 / ブラウン運動 / 算術平均オプション / バブルモデル … More / Black-Scholes方程式 / 偏微分方程式 / オプション価格 / 金融市場モデル / インサイダーモデル / 優複製 / オプション / ラプラス変換 / Dufresne's perpetuity / フィルトレーション拡大 / 3次元ベッセル過程 / option pricing / funding / executive stock option / perpetuity / Black-Scholes equations / financial bubble / Option pricing / Funding Value Adjustment / 資金調達 / FVA Less

Research Projects
(3 results)
Research Products
(7 results)

算術平均オプション価格の計算精度向上に関する研究Principal Investigator
- Principal Investigator
  
  都築幸宏
- Project Period (FY)
  2023 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Shinshu University
A study of no arbitrage conditions in financial markets and its applicationPrincipal Investigator
- Principal Investigator
  
  Tsuzuki Yukihiro
- Project Period (FY)
  2019 – 2022
- Research Category
  
  Grant-in-Aid for Early-Career Scientists
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Shinshu University
Research on derivative prices with funding costsPrincipal Investigator
- Principal Investigator
  
  TSUZUKI Yukihiro
- Project Period (FY)
  2017 – 2018
- Research Category
  
  Grant-in-Aid for Research Activity Start-up
- Research Field
  
  Money/ Finance
- Research Institution
  Shinshu University

All 2024 2023 2019 2018

All Journal Article Presentation

[Journal Article] Some perpetual integral functionals of the three-dimensional Bessel process2023
- Author(s)
  Yukihiro Tsuzuki
- Journal Title
  
  Stochastics and Dynamics
  
  Volume: 23 Issue: 02 Pages: 23500081-31
- DOI
  10.1142/s0219493723500089
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K13737
[Journal Article] 資金調達コストを考慮したデリバティブ価格-ベンチマーク・アプローチの応用-2019
- Author(s)
  都築幸宏
- Journal Title
  
  第50回JAFEE冬季大会予稿集
  
  Volume: なし Pages: 121-131
- Data Source
  KAKENHI-PROJECT-17H06723
[Journal Article] FVA論争について2019
- Author(s)
  都築幸宏
- Journal Title
  
  信州大学経法論集
  
  Volume: 6 Pages: 123-141
- NAID
  120007099882
- Data Source
  KAKENHI-PROJECT-17H06723
[Presentation] バブルモデルにおけるオプション価格の数値的解法2024
- Author(s)
  都築幸宏
- Organizer
  第60回（2023年度冬季）ジャフィー大会
- Data Source
  KAKENHI-PROJECT-23K01466
[Presentation] Explicit Laplace Transforms of Perpetual Integral Functionals of the Three-dimensional Bessel Process2023
- Author(s)
  都築幸宏
- Organizer
  日本応用数理学会第19回研究部会連合発表会
- Data Source
  KAKENHI-PROJECT-19K13737
[Presentation] 資金調達コストを考慮したデリバティブ価格-ベンチマーク・アプローチの応用-2019
- Author(s)
  都築幸宏
- Organizer
  第50回JAFEE冬季大会
- Data Source
  KAKENHI-PROJECT-17H06723
[Presentation] 資金調達コストを考慮したデリバティブ価格-The Benchmark Approach-2018
- Author(s)
  都築幸宏
- Organizer
  2018年度中之島ワークショップ金融工学・数理計量ファイナンスの諸問題 2018
- Data Source
  KAKENHI-PROJECT-17H06723

Tsuzuki Yukihiro 都築 幸宏

TSUZUKI Yukihiro 都築 幸宏

Research Projects

Research Products

算術平均オプション価格の計算精度向上に関する研究Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

A study of no arbitrage conditions in financial markets and its applicationPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Research on derivative prices with funding costsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] Some perpetual integral functionals of the three-dimensional Bessel process2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] 資金調達コストを考慮したデリバティブ価格-ベンチマーク・アプローチの応用-2019

Author(s)

Journal Title

Data Source

[Journal Article] FVA論争について2019

Author(s)

Journal Title

NAID

Data Source

[Presentation] バブルモデルにおけるオプション価格の数値的解法2024

Author(s)

Organizer

Data Source

[Presentation] Explicit Laplace Transforms of Perpetual Integral Functionals of the Three-dimensional Bessel Process2023

Author(s)

Organizer

Data Source

[Presentation] 資金調達コストを考慮したデリバティブ価格-ベンチマーク・アプローチの応用-2019

Author(s)

Organizer

Data Source

[Presentation] 資金調達コストを考慮したデリバティブ価格-The Benchmark Approach-2018

Author(s)

Organizer

Data Source

Tsuzuki Yukihiro 都築幸宏

TSUZUKI Yukihiro 都築幸宏