YAMAZAKI Akira 山嵜輝

… Alternative Names

山嵜輝ヤマザキアキラ

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Researcher Number	60633592
Other IDs
Affiliation (Current)	2022: 法政大学, 経営学部, 教授
Affiliation (based on the past Project Information) *help	2021: 法政大学, 経営学部, 教授 2015 – 2019: 法政大学, 経営学部, 教授 2012 – 2014: 法政大学, 経営学部, 准教授
Review Section/Research Field	Principal Investigator Money/ Finance / Public finance/Monetary economics / Basic Section 07060:Money and finance-related
Keywords	Principal Investigator レヴィ過程 / 資産価格理論 / デリバティブ / 確率ボラティリティ / ジャンプ / ファイナンス / 確率解析 / 資産価格 / プライシング・カーネル / リスク回避度 … More / 主観確率分布 / 確率的時間変更 / 時間変更型レヴィ過程 / 時間変更レヴィ過程 / 最適配当政策 / 最適配当 / オプション / 資産価格パズル / 心理的バイアス / 株式リスク・プレミアム / 倒産リスク / 制御変量法 / 投資行動 / マクロ・ファイナンス / アセット・プライシング / 静的複製 / 主観的リスク・プレミアム / 主観的リターン分布 / プライシング・カーネル方程式 / 予想リスク・プレミアム Less

投資家の主観的リターン分布の推定に関する研究Principal Investigator
- Principal Investigator
  
  山嵜輝
- Project Period (FY)
  2021 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Hosei University
New developments in macro-finance theoryPrincipal Investigator
- Principal Investigator
  
  Yamazaki Akira
- Project Period (FY)
  2017 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  Hosei University
A Study of Levy Processes in FinancePrincipal Investigator
- Principal Investigator
  
  YAMAZAKI Akira
- Project Period (FY)
  2014 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  Hosei University
On a derivative pricing theory with jumps and stochastic volatilitiesPrincipal Investigator
- Principal Investigator
  
  YAMAZAKI Akira
- Project Period (FY)
  2012 – 2013
- Research Category
  
  Grant-in-Aid for Research Activity Start-up
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Hosei University

All 2020 2019 2018 2017 2016 2015 2014 2013 2012 Other

All Journal Article Presentation

[Journal Article] Probability weighting and default risk: A possible explanation for distressed stock puzzles2020
- Author(s)
  Yamazaki Akira
- Journal Title
  
  Quantitative Finance
  
  Volume: 20 Pages: 745-767
- DOI
  10.1080/14697688.2019.1698057
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17K03815
[Journal Article] A general control variate method for Levy models in finance2020
- Author(s)
  Shiraya Kenichiro、Uenishi Hiroki、Yamazaki Akira
- Journal Title
  
  European Journal of Operational Research
  
  Volume: 284 Pages: 1190-1200
- DOI
  10.1016/j.ejor.2020.01.043
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17K03815
[Journal Article] ブラック・ショールズ・モデルの拡張と確率的時間変更2019
- Author(s)
  山嵜　輝
- Journal Title
  
  経営志林
  
  Volume: 56 Pages: 33-47
- NAID
  40021967535
- Data Source
  KAKENHI-PROJECT-17K03815
[Journal Article] Equilibrium Equity Price with Optimal Dividend Policy2017
- Author(s)
  Akira Yamazaki
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: 20
- DOI
  10.1142/s0219024917500121
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380402
[Journal Article] A dynamic equilibrium model for U-shaped pricing kernels2017
- Author(s)
  Yamazaki Akira
- Journal Title
  
  Quantitative Finance
  
  Volume: 未定
- DOI
  10.1080/14697688.2017.1388535
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17K03815
[Journal Article] Generalized Barndorff-Nielsen and Shephard Model and Discretely Monitored Option Pricing2016
- Author(s)
  Akira Yamazaki
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: 未定
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380402
[Journal Article] Asset Pricing with Non-Geometric Type of Dividends2015
- Author(s)
  Akira Yamazaki
- Journal Title
  
  Annals of Financial Economics
  
  Volume: 10
- DOI
  10.1142/s2010495215500165
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380402
[Journal Article] Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Levy Processes2015
- Author(s)
  Yuji Umezawa and Akira Yamazaki
- Journal Title
  
  Applied Mathematical Finance
  
  Volume: 22 Pages: 133-161
- DOI
  10.1080/1350486x.2014.960529
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380402
[Journal Article] Pricing Average Options under Time-Changed Levy Processes2014
- Author(s)
  A. Yamazaki
- Journal Title
  
  Review of Derivatives Research
  
  Volume: Vol.17, No.1 Pages: 79-111
- DOI
  10.1007/s11147-013-9091-7
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24830087
[Journal Article] On Valuation with Stochastic Proportional Hazard Models in Finance2013
- Author(s)
  Akira Yamazaki
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: -
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24830087
[Journal Article] On Valuation with Stochastic Proportional Hazard Models in Finance2013
- Author(s)
  A. Yamazaki
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: Vol.16, No.3 Pages: 1-34
- DOI
  10.1142/s0219024913500179
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24830087
[Presentation] Probability Weighting and Default Risk: A Solution for Asset Pricing Puzzles2018
- Author(s)
  山嵜　輝
- Organizer
  一橋大学　金融研究会
- Invited
- Data Source
  KAKENHI-PROJECT-17K03815
[Presentation] A dynamic equilibrium model for U-shaped pricing kernels2017
- Author(s)
  山嵜　輝
- Organizer
  慶應義塾大学　計量経済セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-17K03815
[Presentation] Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Levy Processes2012
- Author(s)
  山嵜輝
- Organizer
  科研費シンポジウム「情報化ネットワーク社会に向けた高度な専門的数理技術ライブラリの研究と開発:セッション1ファイナンスとその応用」
- Place of Presentation
  東京工業大学(大岡山)
- Year and Date
  2012-11-28
- Data Source
  KAKENHI-PROJECT-24830087
[Presentation] Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Levy Processes2012
- Author(s)
  山嵜　輝
- Organizer
  科研費シンポジウム・ファイナンスとその応用
- Place of Presentation
  東京工業大学（東京都）
- Data Source
  KAKENHI-PROJECT-24830087
[Presentation] Lucas Trees with Exponential Utility
- Author(s)
  山嵜　輝
- Organizer
  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2014
- Place of Presentation
  大阪大学（大阪府大阪市北区）
- Year and Date
  2014-12-04 – 2014-12-05
- Invited
- Data Source
  KAKENHI-PROJECT-26380402

1. YOSHIKAWA Daisuke

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

YAMAZAKI Akira 山嵜 輝

山嵜 輝 ヤマザキ アキラ

Research Projects

Research Products

Co-Researchers

投資家の主観的リターン分布の推定に関する研究Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

New developments in macro-finance theoryPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

A Study of Levy Processes in FinancePrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

On a derivative pricing theory with jumps and stochastic volatilitiesPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] Probability weighting and default risk: A possible explanation for distressed stock puzzles2020

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A general control variate method for Levy models in finance2020

Author(s)

Journal Title

DOI

Data Source

[Journal Article] ブラック・ショールズ・モデルの拡張と確率的時間変更2019

Author(s)

Journal Title

NAID

Data Source

[Journal Article] Equilibrium Equity Price with Optimal Dividend Policy2017

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A dynamic equilibrium model for U-shaped pricing kernels2017

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Generalized Barndorff-Nielsen and Shephard Model and Discretely Monitored Option Pricing2016

Author(s)

Journal Title

Data Source

[Journal Article] Asset Pricing with Non-Geometric Type of Dividends2015

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Levy Processes2015

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Pricing Average Options under Time-Changed Levy Processes2014

Author(s)

Journal Title

DOI

Data Source

[Journal Article] On Valuation with Stochastic Proportional Hazard Models in Finance2013

Author(s)

Journal Title

Data Source

[Journal Article] On Valuation with Stochastic Proportional Hazard Models in Finance2013

Author(s)

Journal Title

YAMAZAKI Akira 山嵜輝

山嵜輝ヤマザキアキラ