Masaaki Fujii

University of Tokyo - Faculty of Economics

7-3-1 Hongo, Bunkyo-ku

Tokyo 113-0033

Japan

SCHOLARLY PAPERS

23

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15,092

CITATIONS
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Top 6,429

in Total Papers Citations

77

Scholarly Papers (23)

1.

A Note on Construction of Multiple Swap Curves with and without Collateral

CARF Working Paper Series No. CARF-F-154
Number of pages: 20 Posted: 30 Jul 2009 Last Revised: 29 Jan 2010
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 5,824 (839)
Citation 18

Abstract:

Libor, swap, tenor, yield curve, collateral, overnight index swap, cross currency, basis spread

2.

A Market Model of Interest Rates with Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies

Number of pages: 25 Posted: 08 Dec 2009
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 1,951 (4,585)
Citation 16

Abstract:

Market Model, HJM model, Libor, tenor, swap, curve, OIS, cross currency, basis spread, interest rate model, derivatives, multi-currency

3.

Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management

Number of pages: 20 Posted: 12 May 2010
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 1,405 (6,787)
Citation 4

Abstract:

swap, collateral, derivatives, Libor, currency, OIS, EONIA, Fed-Fund, CCS, basis, risk management, CSA, CVA, term structure

4.

On the Term Structure of Interest Rates with Basis Spreads, Collateral and Multiple Currencies

Number of pages: 75 Posted: 21 Feb 2010 Last Revised: 23 Mar 2010
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 1,404 (8,494)
Citation 5

Abstract:

Libor, Swap, Tenor, Yield Curve, Collateral, Overnight Index Swap, Cross Currency, Basis Spread, Market Model, HJM

5.

A Survey on Modeling and Analysis of Basis Spreads

Number of pages: 10 Posted: 08 Dec 2009
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 1,138 (12,355)
Citation 1

Abstract:

Libor, swap, tenor, swap spread, curve, overnight index swap, cross currency, basis spread

6.

Modeling of Interest Rate Term Structures Under Collateralization and its Implications

Number of pages: 19 Posted: 25 Sep 2010
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 666 (25,141)
Citation 4

Abstract:

swap, collateral, Libor, OIS, EONIA, Fed-Fund, cross currency, basis, HJM, CSA, CVA

7.

Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA

Number of pages: 34 Posted: 28 Dec 2010 Last Revised: 19 Dec 2011
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 494 (41,521)
Citation 7

Abstract:

CSA, CVA, Swap, Collateral, Derivatives, one-way CSA, Currency, OIS, CCS, Basis, Risk Management

8.

Collateralized CDS and Default Dependence - Implications for the Central Clearing

Number of pages: 16 Posted: 12 Apr 2011
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 170 (132,932)

Abstract:

CVA, CSA, CCP, swap, collateral, derivatives, OIS, EONIA, Fed-Fund, bais, risk management

9.

Clean Valuation Framework for the USD Silo - An Implication for the Forthcoming Standard Credit Support Annex (SCSA)

Number of pages: 15 Posted: 10 Dec 2011
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 111 (198,132)
Citation 1

Abstract:

CSA, SCSA, OIS, Collateralization, basis spreads, HJM

10.

Perturbative Expansion Technique for Non-Linear FBSDEs With Interacting Particle Method

Number of pages: 21 Posted: 13 Apr 2012 Last Revised: 01 Dec 2014
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 84 (240,787)
Citation 4

Abstract:

BSDE, FBSDE, interacting particle method, branching diffusion, Malliavin derivative, asymptotic expansion

11.

Analytical Approximation for Non-Linear FBSDEs with Perturbation Scheme

Number of pages: 35 Posted: 02 Jun 2011 Last Revised: 23 Jan 2012
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 79 (253,434)
Citation 6

Abstract:

BSDE, FBSDE, Four Step Scheme, Asymptotic Expansion, Malliavin Derivative, Non-linear PDE, CVA

12.

An FBSDE Approach to American Option Pricing with an Interacting Particle Method

Number of pages: 18 Posted: 26 Nov 2012
Masaaki Fujii, Seisho Sato and Akihiko Takahashi
University of Tokyo - Faculty of Economics, Graduate School of Economics, The University of Tokyo and University of Tokyo - Faculty of Economics
Downloads 47 (301,054)
Citation 2

Abstract:

BSDE, FBSDE, asymptotic expansion, perturbation, particle method

13.

Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility

Number of pages: 21 Posted: 05 Feb 2012 Last Revised: 06 Feb 2012
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 47 (319,621)
Citation 5

Abstract:

FBSDE, optimal portfolio, incomplete market, quadratic growth, perturbative expnasion, asymptotic expansion

14.

A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option Pricing

Number of pages: 38 Posted: 03 May 2014 Last Revised: 22 Dec 2014
Masaaki Fujii
University of Tokyo - Faculty of Economics
Downloads 36 (343,103)

Abstract:

stochastic control, asymptotic expansion, BSDE, Heston, SABR

15.

Making Mean-Variance Hedging Implementable in a Partially Observable Market

Number of pages: 33 Posted: 16 Jun 2013 Last Revised: 24 Nov 2013
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 36 (359,258)
Citation 1

Abstract:

Mean-variance hedging, BSDE, Bayesian analysis, Kalman-Bucy filter

16.

Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows

Number of pages: 37 Posted: 12 Jan 2014 Last Revised: 26 Jul 2014
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 31 (362,677)
Citation 1

Abstract:

Mean-variance hedging, BSDE, Filtering, Queueing, Jackson’s network, Poisson random measure

17.

Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering

Number of pages: 24 Posted: 12 Sep 2012 Last Revised: 26 Mar 2013
Masaaki Fujii
University of Tokyo - Faculty of Economics
Downloads 25 (404,949)
Citation 2

Abstract:

asymptotic expansion, fourier transformation, filtering, zakai equation, measure-valued system

18.

Optimal Position Management for a Market Maker with Stochastic Price Impacts

Number of pages: 41 Posted: 24 Mar 2015 Last Revised: 05 Sep 2015
Masaaki Fujii
University of Tokyo - Faculty of Economics
Downloads 20 (369,689)

Abstract:

stochastic control, liquidity, stochastic HJB, BSDE, inventory

19.

A General Framework for the Benchmark Pricing in a Fully Collateralized Market

Number of pages: 26 Posted: 25 Aug 2015 Last Revised: 07 Sep 2015
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 14 (325,311)

Abstract:

20.

Anticipated Backward SDEs with Jumps and Quadratic-Exponential Growth Drivers

Number of pages: 25 Posted: 08 May 2017 Last Revised: 24 May 2017
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 0 (459,888)

Abstract:

Predictive Mean-Field Type, Time-Advanced, Quadratic Growth, Future Path Dependent Driver, ABSDE

21.

Solving Backward Stochastic Differential Equations by Connecting the Short-Term Expansions

Number of pages: 38 Posted: 16 Jun 2016 Last Revised: 06 Nov 2016
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 0 (400,536)

Abstract:

asymptotic expansion, discretization, quadratic-growth BSDEs, Lipschitz BSDEs, numerical scheme, BMO-martingales

22.

Quadratic-Exponential Growth BSDEs with Jumps and Their Malliavin's Differentiability

Number of pages: 46 Posted: 20 Dec 2015 Last Revised: 05 Sep 2017
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 0 (334,171)

Abstract:

jump, Levy, Malliavin, quadratic growth, BSDE

23.

Asymptotic Expansion for Forward-Backward SDEs with Jumps

Number of pages: 38 Posted: 13 Oct 2015 Last Revised: 19 Dec 2015
Masaaki Fujii and Akihiko Takahashi
University of Tokyo - Faculty of Economics and University of Tokyo - Faculty of Economics
Downloads 0 (369,689)

Abstract:

SDE, jumps, random measure, asymptotic expansion, Levy process