Muroi Yoshifumi 室井芳史

… Alternative Names

室井芳史ムロイヨシフミ

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Researcher Number	90448051
Other IDs
Affiliation (Current)	2025: 東北大学, 経済学研究科, 教授
Affiliation (based on the past Project Information) *help	2020 – 2023: 東北大学, 経済学研究科, 教授 2016 – 2019: 東北大学, 経済学研究科, 准教授 2013 – 2015: 東北大学, 経済学研究科(研究院), 准教授
Review Section/Research Field	Principal Investigator Basic Section 07060:Money and finance-related / Money/ Finance
Keywords	Principal Investigator 数理ファイナンス / 数値計算 / 確率過程 / 金融工学 / オプション / 数値計算法 / オプション価格理論 / 応用数学 / 漸近理論 / レジーム・スィッチング・モデル … More / 確率モデル / 社債 / バミューダ型オプション / 高速フーリエ変換 / 局所ボラティリティモデル / 感応度 / マリアバン解析 / ランダムウォーク / 確率微分方程式 / グリークス / デリバティブ / 金融派生商品 Less

Research Projects
(4 results)
Research Products
(23 results)

レビ過程におけるツリー法を用いた新しいオプション価格評価法Principal Investigator
- Principal Investigator
  
  室井芳史
- Project Period (FY)
  2022 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Tohoku University
Asymptotic theoretic approach for pricing derivatives in the regime switching modelPrincipal Investigator
- Principal Investigator
  
  Muroi Yoshifumi
- Project Period (FY)
  2019 – 2021
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Tohoku University
Pricing Contingent Claims with asymoptotic Theory: New directionPrincipal Investigator
- Principal Investigator
  
  Muroi Yoshifumi
- Project Period (FY)
  2016 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  Tohoku University
A new computation methodology for option GreeksPrincipal Investigator
- Principal Investigator
  
  Muroi Yoshifumi
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Money/ Finance
- Research Institution
  Tohoku University

All 2023 2022 2021 2020 2019 2017 2016 2015 2013 Other

All Journal Article Presentation Book

[Book] 保険と金融の数理2017
- Author(s)
  室井芳史
- Total Pages
  208
- Publisher
  共立出版
- Data Source
  KAKENHI-PROJECT-16K03731
[Journal Article] Lattice Approach for Option Pricing under L?vy Processes2023
- Author(s)
  Muroi Yoshifumi、Suda Shintaro
- Journal Title
  
  The Journal of Derivatives
  
  Volume: 31 Issue: 1 Pages: 34-48
- DOI
  10.3905/jod.2023.1.185
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22K01571
[Journal Article] Binomial tree method for option pricing: Discrete cosine transform approach2022
- Author(s)
  Muroi Yoshifumi、Suda Shintaro
- Journal Title
  
  Mathematics and Computers in Simulation
  
  Volume: 198 Pages: 312-331
- DOI
  10.1016/j.matcom.2022.02.032
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K01730
[Journal Article] Binomial Tree Method for Option Pricing: Discrete Carr and Madan Formula Approach2021
- Author(s)
  Yoshifumi Muroi, Ryota Saeki, and Shitaro Suda
- Journal Title
  
  International Journal of Financial Engineering
  
  Volume: -
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K01730
[Journal Article] CCF approach for asymptotic option pricing under the CEV diffusion2019
- Author(s)
  Yoshifumi Muroi
- Journal Title
  
  International Journal of Computer Mathematics
  
  Volume: - Issue: 8 Pages: 1603-1620
- DOI
  10.1080/00207160.2019.1639675
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K01730
[Journal Article] Computation of Greeks Using Binomial Tree2017
- Author(s)
  Muroi Yoshifumi、Suda Shintaro
- Journal Title
  
  Journal of Mathematical Finance
  
  Volume: 07 Issue: 03 Pages: 597-623
- DOI
  10.4236/jmf.2017.73031
- NAID
  120005482240
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-16K03731
[Journal Article] Pricing of Options in the Singular Perturbed Stochastic Volatility Model2017
- Author(s)
  Tianmao Liu and Yoshifumi Muroi
- Journal Title
  
  Journal of Computational and Applied Mathematics
  
  Volume: 320 Pages: 138-144
- DOI
  10.1016/j.cam.2017.01.037
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-16K03731
[Journal Article] Computation of Greeks in Jump-Diffusion Models Using Discrete Malliavin Calculus2017
- Author(s)
  Yoshifumi Muroi and Shintaro Suda
- Journal Title
  
  Mathematics and Computers in Simulation
  
  Volume: - Pages: 69-93
- DOI
  10.1016/j.matcom.2017.03.002
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-16K03731
[Journal Article] Pricing of Guaranteed Annuity Options in a Stochastic Volatility and Interest Rate Environment2016
- Author(s)
  Keisuke Kizaki and Yoshifumi Muroi
- Journal Title
  
  Asia-Pacific Journal of Risk and Insurance
  
  Volume: 10 Issue: 2 Pages: 133-153
- DOI
  10.1515/apjri-2015-0013
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-16K03731
[Journal Article] Computation of Greeks using binomial trees in a jump-diffusion model2015
- Author(s)
  Shintaro Suda and Yoshifumi Muroi
- Journal Title
  
  Journal of Economic Dynamics and Control
  
  Volume: 51 Pages: 93-110
- DOI
  10.1016/j.jedc.2014.09.032
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25780200
[Journal Article] A simple relationship between Greeks for Asian options2015
- Author(s)
  Tianmiao Liu and Yoshifumi Muroi
- Journal Title
  
  International Journal of Financial Markets and Derivatives
  
  Volume: to be published
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-25780200
[Journal Article] Spectral Binomial Tree: New Algorithms for Pricing Barrier Options2013
- Author(s)
  Yohsifumi Muroi, Takashi Yamada
- Journal Title
  
  Journal of Computational and Applied Mathematics
  
  Volume: 249 Pages: 107-119
- DOI
  10.1016/j.cam.2012.10.036
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25780200
[Journal Article] Discrete Malliavin calculus and Computations of Greeks in the Binomial Tree2013
- Author(s)
  Yoshifumi Muroi, Shintaro Suda
- Journal Title
  
  European Journal of Operational Research
  
  Volume: 231 Issue: 2 Pages: 349-361
- DOI
  10.1016/j.ejor.2013.05.038
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25780200
[Presentation] 2項分岐木を用いたアメリカン・オプション価格計算の新手法：離散コサイン変換アプローチ2023
- Author(s)
  室井芳史
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-22K01571
[Presentation] 2項分岐木を用いたオプション価格計算の新手法：離散コサイン変換アプローチ2021
- Author(s)
  室井芳史
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-19K01730
[Presentation] Binomial tree method for option pricing: Discrete Carr and Madan formula approach2021
- Author(s)
  室井芳史
- Organizer
  韓国金融工学会(KAFE)
- Data Source
  KAKENHI-PROJECT-19K01730
[Presentation] 2項分岐木を用いたオプション価格と感応度計算の新手法：離散Carr and Madan公式アプローチ2021
- Author(s)
  室井芳史
- Organizer
  日本金融・証券計量・工学学会2020冬季大会
- Data Source
  KAKENHI-PROJECT-19K01730
[Presentation] 2項分岐木を用いたオプション価格と感応度計算の新手法：離散Carr and Madan公式アプローチ2020
- Author(s)
  室井芳史
- Organizer
  金融工学・数理計量ファイナンスの諸問題 2020
- Data Source
  KAKENHI-PROJECT-19K01730
[Presentation] CCF Approach for Asymptotic Option Pricing under CEV Diffusion2017
- Author(s)
  Yoshifumi Muroi
- Organizer
  The Quantitative Methods in Finance 2017 Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03731
[Presentation] 特異摂動法を用いた確率ボラティリティ・モデルにおけるオプションの価格付け2016
- Author(s)
  室井芳史
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  慶應義塾大学 (東京都港区)
- Year and Date
  2016-01-24
- Data Source
  KAKENHI-PROJECT-25780200
[Presentation] Options in the Singular Perturbed Stochastic Volatility Model2016
- Author(s)
  Yoshifumi Muroi
- Organizer
  The Quantitative Methods in Finance 2016 Conference
- Place of Presentation
  Hilton Hotel, Sydney
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03731
[Presentation] Computation of Greeks using Binomial Trees in a Jump-Diffusion Model2013
- Author(s)
  室井芳史
- Organizer
  QMF
- Place of Presentation
  Hilton Sydney Hotel, Sydney, Australia
- Data Source
  KAKENHI-PROJECT-25780200
[Presentation] Computation of Greeks in the Jump-Diffusion Model using Discrete Malliavin Calculus
- Author(s)
  Yoshifumi Muroi
- Organizer
  The Quantitative Methods in Finance
- Place of Presentation
  Sydney Hilton, Australia
- Year and Date
  2014-12-17 – 2014-12-20
- Data Source
  KAKENHI-PROJECT-25780200

Muroi Yoshifumi 室井 芳史

室井 芳史 ムロイ ヨシフミ

Research Projects

Research Products

レビ過程におけるツリー法を用いた新しいオプション価格評価法Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Asymptotic theoretic approach for pricing derivatives in the regime switching modelPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Pricing Contingent Claims with asymoptotic Theory: New directionPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

A new computation methodology for option GreeksPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Book] 保険と金融の数理2017

Author(s)

Total Pages

Publisher

Data Source

[Journal Article] Lattice Approach for Option Pricing under L?vy Processes2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Binomial tree method for option pricing: Discrete cosine transform approach2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Binomial Tree Method for Option Pricing: Discrete Carr and Madan Formula Approach2021

Author(s)

Journal Title

Data Source

[Journal Article] CCF approach for asymptotic option pricing under the CEV diffusion2019

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Computation of Greeks Using Binomial Tree2017

Author(s)

Journal Title

DOI

NAID

Data Source

[Journal Article] Pricing of Options in the Singular Perturbed Stochastic Volatility Model2017

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Computation of Greeks in Jump-Diffusion Models Using Discrete Malliavin Calculus2017

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Pricing of Guaranteed Annuity Options in a Stochastic Volatility and Interest Rate Environment2016

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Computation of Greeks using binomial trees in a jump-diffusion model2015

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A simple relationship between Greeks for Asian options2015

Author(s)

Muroi Yoshifumi 室井芳史

室井芳史ムロイヨシフミ

[Presentation] 2項分岐木を用いたオプション価格計算の新手法：離散コサイン変換アプローチ2021