← All authors Masaaki Kijima Hiroshima University (from arXiv:1912.04565, 2019) · OpenAlex
69 papers in scope · 68 published · 1 on the econ.EM arXiv · 3,854 citations · h-index 25 (over the papers listed here)
Papers (1 of 69)
Discussion of “Virtual age, is it real?”
published 2020 · Applied Stochastic Models in Business and Industry · 1 citations
working paper 2019 · arXiv
A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility
published 2017 · Fractal and Fractional · 16 citations
with Hideharu Funahashi
A unified approach for the pricing of options relating to averages
published 2017 · Review of Derivatives Research · 4 citations
with Hideharu Funahashi
Does the Hurst index matter for option prices under fractional volatility?
published 2016 · Annals of Finance · 19 citations
with Hideharu Funahashi
An analytical approximation for pricing VWAP options
published 2016 · Quantitative Finance · 2 citations · first circulated 2015
with Hideharu Funahashi
Analytical pricing of single barrier options under local volatility models
published 2015 · Quantitative Finance · 5 citations
with Hideharu Funahashi
A chaos expansion approach for the pricing of contingent claims
published 2015 · The Journal of Computational Finance · 3 citations
with Hideharu Funahashi
The Black–Scholes Formula and Its Applications in Finance
published 2014 · Wiley StatsRef: Statistics Reference Online · first circulated 2005
with Yukio Muromachi
Methods of Risks Estimation and Analysis of Business Processes
published 2014 · Wiley StatsRef: Statistics Reference Online
with Kéiichi Tanaka
Risk evaluation of mortgage-loan portfolios in a low interest rate environment
published 2014 · The Journal of Risk
with Youichi Suzuki, Yasuhiro Tamba
CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS
published 2014 · International Journal of Theoretical and Applied Finance · 1 citations
with Chi Chung Siu
An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
published 2013 · Applied Mathematical Finance · 9 citations · first circulated 2012
with Hideharu Funahashi
Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty
published 2012 · Decisions in Economics and Finance · 4 citations
with Yuan Tian
EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility
published 2011 · Journal of Economic Dynamics and Control · 28 citations
with Katsumasa Nishide, Atsuyuki Ohyama
Pricing of CDOs based on the multivariate Wang transform
published 2010 · Journal of Economic Dynamics and Control · 4 citations
with Shin-ichi Motomiya, Yoichi Suzuki
Economic models for the environmental Kuznets curve: A survey
published 2010 · Journal of Economic Dynamics and Control · 408 citations
with Katsumasa Nishide, Atsuyuki Ohyama
Equilibrium pricing of contingent claims in tradable permit markets
published 2009 · Journal of Futures Markets · 40 citations
with Akira Maèda, Katsumasa Nishide
A multi-quality model of interest rates
published 2009 · Quantitative Finance · 107 citations
with Kéiichi Tanaka, Tony Siu Tung Wong
A latent process model for the pricing of corporate securities
published 2008 · Mathematical Methods of Operations Research · 4 citations
with Teruyoshi Suzuki, Kéiichi Tanaka
Value-at-risk in a market subject to regime switching
published 2007 · Quantitative Finance · 19 citations
with Ryohei Kawata
An extension of the Wang transform derived from Bühlmann’s economic premium principle for insurance risk
published 2007 · Insurance Mathematics and Economics · 23 citations
with Yukio Muromachi
A positive interest rate model with sticky barrier
published 2007 · Quantitative Finance · 12 citations
with Yuri Kabanov, Sofiane Rinaz
Pricing of path-dependent American options by Monte Carlo simulation
published 2007 · Journal of Economic Dynamics and Control · 10 citations · first circulated 2004
with Hajime Fujiwara
THE PRICING OF OPTIONS WITH STOCHASTIC BOUNDARIES IN A GAUSSIAN ECONOMY
published 2007 · Journal of the Operations Research Society of Japan · 2 citations
with Teruyoshi Suzuki
Pricing of Ratchet equity-indexed annuities under stochastic interest rates
published 2006 · Insurance Mathematics and Economics · 67 citations
with Tony Siu Tung Wong
A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
published 2006 · Astin Bulletin · 35 citations
A Markov model for valuing asset prices in a dynamic bargaining market
published 2005 · Quantitative Finance · 6 citations
with Yoshihiko Uchida
VaR is subject to a significant positive bias
published 2005 · Statistics & Probability Letters · 20 citations
with Koji Inui, Atsushi Kitano
WITHDRAWN: VaR is subject to a significant positive bias☆
published 2004 · Statistics & Probability Letters · 4 citations
with Koji Inui, Atsushi Kitano
On the significance of expected shortfall as a coherent risk measure
published 2004 · Journal of Banking & Finance · 109 citations
with Koji Inui
On the term structure of lending interest rates when a fraction of collateral is recovered upon default
published 2004 · Japan Journal of Industrial and Applied Mathematics · 5 citations
with Yusuke Miyake
A portfolio optimization model for corporate bonds subject to credit risk
published 2004 · The Journal of Risk · 10 citations
with Nagisa Akutsu, Katsuya Komoribayashi
MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
published 2002 · Mathematical Finance · 22 citations
A multivariate Markov model for simulating correlated defaults
published 2002 · The Journal of Risk · 25 citations
with Katsuya Komoribayashi, Eisuke Suzuki
A jump-diffusion model for pricing corporate debt securities in a complex capital structure
published 2001 · Quantitative Finance · 33 citations
with Teruyoshi Suzuki
An economic premium principle in a multiperiod economy
published 2001 · Insurance Mathematics and Economics · 27 citations
with Hideki Iwaki, Yuji Morimoto
Pricing Equity Swaps in a Stochastic Interest Rate Economy
published 2001 · The Journal of Derivatives · 36 citations
with Yukio Muromachi
Evaluation of credit risk of a portfolio with stochastic interest rate and default processes
published 2000 · The Journal of Risk · 33 citations
with Yukio Muromachi
Credit Events and the Valuation of Credit Derivatives of Basket Type
published 2000 · Review of Derivatives Research · 43 citations
with Yukio Muromachi
Valuation of a Credit Swap of the Basket Type
published 2000 · Review of Derivatives Research · 34 citations
Competitive Price Equilibrium with Consumer Reservation Utility
published 2000
with Kei-ichiro Nakagawa, Takashi Namatame
Learning to Design Synergetic Computers with an Extended Symmetric Diffusion Network
published 1999 · Neural Computation · 1 citations
with Koji Okuhara, Shunji Osaki
A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models
published 1998 · Journal of Financial and Quantitative Analysis · 168 citations
with Koji Inui
Hazard rate and reversed hazard rate monotonicities in continuous-time Markov chains
published 1998 · Journal of Applied Probability · 20 citations
A Markov Chain Model for Valuing Credit Risk Derivatives
published 1998 · The Journal of Derivatives · 128 citations
with Katsuya Komoribayashi
Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
published 1998 · Mathematical Finance · 41 citations
Markov Processes for Stochastic Modeling
published 1998 · Journal of the American Statistical Association · 488 citations · first circulated 1997
with Robert Lund
THE GENERALIZED HARMONIC MEAN AND A PORTFOLIO PROBLEM WITH DEPENDENT ASSETS
published 1997 · Theory and Decision · 17 citations
PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS 1
published 1996 · Mathematical Finance · 65 citations
with Masamitsu Ohnishi
Weighted sums of orthogonal polynomials with positive zeros
published 1995 · Journal of Computational and Applied Mathematics · 9 citations
with Erik A. van Doorn
American put options with a finite set of exercisable time epochs
published 1995 · Mathematical and Computer Modelling · 9 citations
with Hideki Iwaki, T. Yoshida
Bounds for the quasi-stationary distribution of some specialized Markov chains
published 1995 · Mathematical and Computer Modelling · 3 citations
Approximate valuation of average options
published 1993 · Annals of Operations Research · 1 citations
with Hideki Iwaki, Toshihiro Yoshida
Quasi-limiting distributions of Markov chains that are skip-free to the left in continuous time
published 1993 · Journal of Applied Probability · 25 citations
A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
published 1993 · Journal of the Operations Research Society of Japan · 20 citations
with Toshihiro Yoshida
Evaluation of the decay parameter for some specialized birth-death processes
published 1992 · Journal of Applied Probability · 34 citations
Single Machine Scheduling Problem When the Machine Capacity Varies Stochastically
published 1992 · Operations Research · 14 citations
with Tetsuji Hirayama
On the existence of quasi-stationary distributions in denumerable R -transient Markov chains
published 1992 · Journal of Applied Probability · 24 citations
Replacement policies of a shock model with imperfect preventive maintenance
published 1992 · European Journal of Operational Research · 50 citations
with Toshio Nakagawa
Some results for quasi-stationary distributions of birth-death processes
published 1991 · Journal of Applied Probability · 28 citations
with E. Seneta
Stochastic Minimization of the Makespan in Flow Shops with Identical Machines and Buffers of Arbitrary Size
published 1990 · Operations Research · 12 citations
with Naoki Makimoto, Hiroshi Shirakawa
On interchangeability for exponential single-server queues in tandem
published 1990 · Journal of Applied Probability · 4 citations
with Naoki Makimoto
Further results for dynamic scheduling of multiclass G/G/ 1 queues
published 1989 · Journal of Applied Probability · 29 citations
with Tetsuji Hirayama, Shōichi Nishimura
Some results for repairable systems with general repair
published 1989 · Journal of Applied Probability · 836 citations
Periodical replacement problem without assuming minimal repair
published 1988 · European Journal of Operational Research · 373 citations
with Hidenori Morimura, Yasusuke Suzuki
On passage and conditional passage times for Markov chains in continuous time
published 1988 · Journal of Applied Probability · 8 citations
Spectral structure of the first-passage-time densities for classes of Markov chains
published 1987 · Journal of Applied Probability · 13 citations
A useful generalization of renewal theory: counting processes governed by non-negative Markovian increments
published 1986 · Journal of Applied Probability · 204 citations
with Ushio Sumita
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