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TSUZUKI Yukihiro|Shinshu University Researcher List

TSUZUKI Yukihiro

Academic Assembly School of Humanities and Social Sciences Institute of Social Sciences

Faculty of Economics and Law Department of Economics 

Associate Professor 

Researcher Information

Degree

  • 博士(経済学), 東京大学

Field Of Study

  • Money and finance, Mathematical finance

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
  • 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

Educational Background

  • 2012 - 2015, 東京大学
  • 2000 - 2002, 東京大学
  • 1996 - 2000, 京都大学
Research activity information

Paper

  • Boundary conditions at infinity for Black-Scholes equations
    Yukihiro Tsuzuki
    2024
  • Pitman's Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers
    Yukihiro Tsuzuki
    2023
  • Some perpetual integral functionals of the three-dimensional Bessel process
    Yukihiro Tsuzuki
    Stochastics and Dynamics, 23, 2350008 1-2350008 31, 2023電子ジャーナル
  • FVA 論争について
    都築 幸宏
    信州大学経法論集, (6), 123-141, 26 Mar. 2019リポジトリ
  • Rebalancing Static Super-Replications
    Takahashi, A. and Tsuzuki, Y.
    Journal of Financial Engineering, 4(1), 1750003-1-1750003-23, 2017
  • A New Improvement Scheme for Approximation Methods of Probability Density Functions
    Takahashi, A. and Tsuzuki, Y.
    Journal of Computational Finance, 19(4), 73-94, 2016
  • Pricing bounds on quanto option
    Tsuzuki, Y.
    The Journal of Derivatives, 23(2), 53—61, 2015
  • No-arbitrage bounds on two one-touch options
    Tsuzuki, Y.
    International Journal of Theoretical and Applied Finance, 18(3), 1550021-1-1550021-22, 2015
  • Pricing bounds on barrier options
    Tsuzuki, Y.
    Journal of Futures Markets, 34(12), 1170—1184, 2014
  • On optimal super-hedging and sub-hedging strategies
    Tsuzuki, Y.
    International Journal of Theoretical and Applied Finance, 16(6), 1350038-1-1350038-17, 2013
  • Hedging European Derivatives With The Polynomial Variance Swap Under Uncertain Volatility Environments
    Takahashi, A., Tsuzuki, Y. and Yamazaki, A.
    International Journal of Theoretical and Applied Finance, 14(04), 485-505, 2011

Lectures, oral presentations, etc.

  • バブルモデルにおけるオプション価格の数値的解法
    都築幸宏
    第60回(2023年度冬季)ジャフィー大会, 17 Feb. 2024
  • Explicit Laplace Transforms of Perpetual Integral Functionals of the Three-dimensional Bessel Process
    都築幸宏
    日本応用数理学会第19回研究部会連合発表会, 09 Mar. 2023

Research Themes

  • 算術平均オプション価格の計算精度向上に関する研究
    科学研究費補助金, 2023年度 基盤研究(C)
    01 Apr. 2023 - 31 Mar. 2028
  • super-replication of derivatives