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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


Assigned Class
Graduate School of Humanities and Social Sciences
Research Field
Mathematical finance
Current Subject
super-replication of derivatives
Academic Background
Graduate School
東京大学 , 2015
東京大学 , 2002

京都大学 , 2000

博士(経済学) , 東京大学
Research Career
Research Career
2017- , 信州大学経法学部准教授
2016-2017 , 東京大学経済学研究科特任講師

Other Career
2013-2016 , 株式会社新生銀行
2006-2013 , みずほ第一フィナンシャルテクノロジー株式会社
2002-2006 , 株式会社アルモニコス


Books, Articles, etc.
Some perpetual integral functionals of the three-dimensional Bessel process
Stochastics and Dynamics,23:2350008 1-2350008 31 2023
Author:Yukihiro Tsuzuki

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.

Explicit Laplace Transforms of Perpetual Integral Functionals of the Three-dimensional Bessel Process
日本応用数理学会第19回研究部会連合発表会 2023(Mar. 09)

Research Grants
Grants‐in‐aid for Scientific Research(Research Representative)
2023 - 2028 , 算術平均オプション価格の計算精度向上に関する研究 , 2023年度 基盤研究(C)