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TSUZUKI Yukihiro

Academic OrganizationAcademic Assembly School of Humanities and Social Sciences Institute of Social SciencesTEL
Education and Research OrganizationFaculty of Economics and Law Department of EconomicsFAX
PositionAssociate ProfessorMail Address
Address3-1-1, Asahi, Matsumoto City 390-8621Web site

Profile

Research Field
Mathematical finance
Current Subject
super-replication of derivatives
Keywords:super-replication
Academic Background
Graduate School
2015
2002

College
2000
Research Career
Research Career
2017-
2016-2017

Other Career
2013-2016
2006-2013
2002-2006

Research

Books, Articles, etc.
Articles
FVA 論争について
信州大学経法論集,(6):123-141 2019(Mar. 26)
Author:都築 幸宏


Rebalancing Static Super-Replications
Journal of Financial Engineering,4(1):(1750003-1)-(1750003-23) 2017
Author:Takahashi, A. and Tsuzuki, Y.


A New Improvement Scheme for Approximation Methods of Probability Density Functions
Journal of Computational Finance,19(4):73-94 2016
Author:Takahashi, A. and Tsuzuki, Y.


No-arbitrage bounds on two one-touch options
International Journal of Theoretical and Applied Finance,18(3):(1550021-1)-(1550021-22) 2015
Author:Tsuzuki, Y.


Pricing bounds on quanto option
The Journal of Derivatives,23(2):53—61 2015
Author:Tsuzuki, Y.


Pricing bounds on barrier options
Journal of Futures Markets,34(12):1170—1184 2014
Author:Tsuzuki, Y.


On optimal super-hedging and sub-hedging strategies
International Journal of Theoretical and Applied Finance,16(6):(1350038-1)-(1350038-17) 2013
Author:Tsuzuki, Y.


Hedging European Derivatives With The Polynomial Variance Swap Under Uncertain Volatility Environments
International Journal of Theoretical and Applied Finance,14(04):485-505 2011
Author:Takahashi, A., Tsuzuki, Y. and Yamazaki, A.