Masaaki Kijima

Kyoto University - Graduate School of Economics

Japan

SCHOLARLY PAPERS

12

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12

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (12)

1.

Monotonicity and Convexity of Option Prices Revisited

Mathematical Finance, Vol. 12, pp. 411-425, 2002
Number of pages: 15 Posted: 07 Feb 2003
Masaaki Kijima
Kyoto University - Graduate School of Economics
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A Chaos Expansion Approach for the Pricing of Contingent Claims

Journal of Computational Finance,Volume 18, Issue 3, 1-31
Posted: 01 Dec 2013 Last Revised: 03 Aug 2015
Hideharu Funahashi and Masaaki Kijima
Mizuho Securities Co. Ltd and Kyoto University - Graduate School of Economics

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Wiener-Ito chaos expansion, Hermite polynomial, successive substitution, diffusion

3.

Risk Evaluation of Mortgage-Loan Portfolios in a Low Interest Rate Environment

Journal of Risk, Vol. 16, No. 5, 2015
Number of pages: 36 Posted: 08 Jun 2016
Masaaki Kijima, Youichi Suzuki and Yasuhiro Tamba
Kyoto University - Graduate School of Economics, Credit Pricing Corporation and Credit Pricing Corporation
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mortgage-loan portfolios, risk evaluation model, no-arbitrage framework

4.

An Analytical Approximation for Pricing VWAP Options

Quantitative Finance, Forthcoming
Posted: 09 Apr 2015 Last Revised: 21 Mar 2019
Hideharu Funahashi and Masaaki Kijima
Mizuho Securities Co. Ltd and Kyoto University - Graduate School of Economics

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Average option; VWAP option; Local volatility model; Mean-reverting process

5.

An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options

Applied Mathematical Finance, Volume 21, Issue 2, 2014
Posted: 01 Dec 2013 Last Revised: 11 Apr 2014
Hideharu Funahashi and Masaaki Kijima
Mizuho Securities Co. Ltd and Kyoto University - Graduate School of Economics

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Wiener-Ito chaos expansion, local volatility, average option, basket option, spread option, Asian basket option

6.

Economic Models for the Environmental Kuznets Curve: A Survey

Journal of Economic Dynamics and Control, Vol. 34, No. 7, pp. 1187-1201, 2010
Posted: 08 May 2010 Last Revised: 15 Dec 2013
Masaaki Kijima, Katsumasa Nishide and Atsuyuki Ohyama
Kyoto University - Graduate School of Economics, Graduate School of Economics, Hitotsubashi University and affiliation not provided to SSRN

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Environmental Kuznets curve, Pollution, Turning point,0 Inverted-U-shape, N-shape, Λ-shape, Economic growth, Real option

7.

EKC-Type Transitions and Environmental Policy under Pollutant Uncertainty and Cost Irreversibility

Journal of Economic Dynamics and Control, Vol.35, No.5, pp.746-763, May 2011
Posted: 01 Oct 2009 Last Revised: 10 Jan 2012
Masaaki Kijima, Katsumasa Nishide and Atsuyuki Ohyama
Kyoto University - Graduate School of Economics, Graduate School of Economics, Hitotsubashi University and affiliation not provided to SSRN

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Environmental Kuznets curve, real option, alternating renewal process

8.

Recent Advances in Financial Engineering

Recent Advances in Financial Engineering: Proceedings of the 2008 Daiwa International Workshop on Financial Engineering, Otemachi Sankei Plaza, Tokyo, Japan, August 4 – 5, 2008
Posted: 08 Sep 2009
Masaaki Kijima and Masahiko Egami
Kyoto University - Graduate School of Economics and Kyoto University

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financial engineering, mathematical finance, real options, credit risk, option pricing, transaction cost, market microstructure

9.

Equilibrium Pricing of Contingent Claims in Tradable Permit Markets

Journal of Futures Markets, Vol.30, No.6, 559-589, June 2010
Posted: 21 Feb 2009 Last Revised: 13 Apr 2010
Masaaki Kijima, Akira Maeda and Katsumasa Nishide
Kyoto University - Graduate School of Economics, Kyoto University and Graduate School of Economics, Hitotsubashi University

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Tradable permits, emission trading, state price density, Esscher transform

10.

Efficient Numerical Procedures for the Hull-White Extended Vasicek Model

THE JOURNAL OF FINANCIAL ENGINEERING, Volume 3, No 3/4, September/December 1994
Posted: 26 Oct 1999
Masaaki Kijima and Izumi Nagayama
Kyoto University - Graduate School of Economics and University of Tokyo

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11.

A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models

Journal of Financial and Quantitative Analysis, September 1998
Posted: 26 Jul 1998
Koji Inui and Masaaki Kijima
NLI Research Institute - Financial Research Department and Kyoto University - Graduate School of Economics

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12.

A Numerical Procedure for the General One-Factor Interest Rate Model

J. OF FINANCIAL ENGINEERING, Vol. 5 No. 4, December 1996
Posted: 13 Mar 1997
Masaaki Kijima and Izumi Nagayama
Kyoto University - Graduate School of Economics and University of Tokyo

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