SEARCH
Search Details
YAMAZAKI Akira
Faculty of Business Administration Department of Markets and Management
Professor
Researchmap URL
https://researchmap.jp/7000000688
Career
■ Career
- Apr. 2015 - Present
法政大学 経済学部 教授 - Apr. 2016 - Jul. 2018
東京大学 経済学部 非常勤講師 - Apr. 2012 - Mar. 2015
法政大学 経営学部 准教授 - Oct. 2005 - Mar. 2012
みずほ第一フィナンシャルテクノロジー - Apr. 1998 - Sep. 2005
東京三菱銀行（現 三菱東京UFJ銀行） - May 2004 - Apr. 2005
日本銀行 金融研究所
- Apr. 2009 - Mar. 2012, The University of Tokyo, Graduate School, Division of Economics, 金融システム
- Apr. 1996 - Mar. 1998, Tokyo Institute of Technology, Graduate School, Division of Integrated Science and Engineering, 知能システム科学
- Apr. 1992 - Mar. 1996, Tokyo University of Science, Faculty of Science, 数学
Research activity information
■ Paper
- A general control variate method for time-changed Lévy processes: An application to options pricing
Kenichiro Shiraya; Cong Wang; Akira Yamazaki
Journal of Computational Finance, 2023, [Reviewed] - Recovering Subjective Probability Distributions
Akira Yamazaki
Journal of Futures Markets, 2022, [Reviewed] - 取引コストを伴う最適消費・投資問題の進展について
山嵜 輝,吉川 大介
イノベーション・マネジメント, 2021 - A General Control Variate Method for Lévy Models in Finance
Kenichiro Shiraya; Hiroki Uenishi; Akira Yamazaki
European Journal of Operational Research, 2020, [Reviewed] - Probability Weighting and Default Risk: A Possible Explanation for Distressed Stock Puzzles
Akira Yamazaki
Quantitative Finance, 2020, [Reviewed] - ブラック・ショールズ・モデルの拡張と確率的時間変更
経営志林, 2019 - A Dynamic Equilibrium Model for U-Shaped Pricing Kernels
Quantitative Finance, 2018 - Equilibrium Equity Price with Optimal Dividend Policy
International Journal of Theoretical and Applied Finance, 2017, [Reviewed] - Generalized Barndorff-Nielsen and Shephard Model and Discretely Monitored Option Pricing
International Journal of Theoretical and Applied Finance, 2016, [Reviewed] - Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Levy Processes
Yuji Umezawa
Applied Mathematical Finance, 2015, [Reviewed] - Pricing Average Options under Time-Changed Levy Processes
Review of Derivatives Research, 2014, [Reviewed] - Exponential Levy Models Extended by a Jump to Default
Applied Mathematical Finance, 2013, [Reviewed] - On Valuation with Stochastic Proportional Hazard Models in Finance
International Journal of Theoretical and Applied Finance, 2013, [Reviewed] - Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
Kenichiro Shiraya; Akihiko Takahashi
Wilmott, 2012, [Reviewed] - Analytical Approximation of Pricing Average Options under the Heston Model
Recent Advances in Financial Engineering 2011, 2012, [Reviewed] - Essays on Modeling, Valuation, and Hedging in Modern Financial Markets
東京大学大学院 経済学研究科 博士論文, 2012 - An Extension of CreditGrades Model Approach with Levy Processes
Takaaki Ozeki; Yuji Umezawa and Daisuke Yoshikawa
Quantitative Finance, 2011, [Reviewed] - Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments
Akihiko Takahashi and Yukihiro Tsuzuki
International Journal of Theoretical and Applied Finance, 2011, [Reviewed] - Static Hedging of Defaultable Contingent Claims: A Simple Hedging Scheme across Equity and Credit Markets
Shuichi Ohsaki
International Journal of Theoretical and Applied Finance, 2011, [Reviewed] - A Note on the Black-Scholes Implied Volatility with Default Risk
Shuichi Ohsaki; Takaaki Ozeki and Yuji Umezawa
Wilmott Journal, 2010, [Reviewed] - Valuation of Residential Mortgage-Backed Securities with Proportional Hazard Model: Cumulant Expansion Approach to Pricing RMBS
Takaaki Ozeki; Yuji Umezawa and Daisuke Yoshikawa
Journal of Fixed Income, 2009, [Reviewed] - A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models
Akihiko Takahashi
Journal of Futures Markets, 2009, [Reviewed] - Efficient Static Replication of European Options under Exponential Levy Models
Akihiko Takahashi
Journal of Futures Markets, 2009, [Reviewed] - 住宅ローン債権担保証券のプライシング手法について：期限前償還リスクを持つ金融商品の価格の算出
金融研究, 2005 - Symmetry of Simple Games and Permission of Voters
Takehiro Inohara and Bunpei Nakano
Applied Mathematics and Computation, 2000, [Reviewed] - Compatibility of Coalitions in Committees with Permission of Voters by Using Desirability Relation and Hopefulness Relation
Takehiro Inohara and Bunpei Nakano
Applied Mathematics and Computation, 2000, [Reviewed] - New Interpretation of the Core of Simple Games in terms of Voters’ Permission
Takehiro Inohara and Bunpei Nakano
Applied Mathematics and Computation, 2000, [Reviewed] - 投票者の許容範囲とシンプル・ゲームのコアの関係について
猪原健弘; 中野文平
Journal of the Operations Research Society of Japan, 1999, [Reviewed]
- Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates
Akihiko Takahashi; Kohta Takehara
東京大学CARFワークングペーパーシリーズ, 2006
