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

  • 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
  • Boundary conditions at infinity for Black-Scholes equations
    Yukihiro Tsuzuki
  • Pitman's Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers
    Yukihiro Tsuzuki

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