KIJIMA MASAAKI

J-GLOBAL         Last updated: Dec 8, 2018 at 05:59
 
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Name
KIJIMA MASAAKI
E-mail
mkijimahiroshima-u.ac.jp
Affiliation
Hiroshima University
Research funding number
00186222

Academic & Professional Experience

 
Apr 2018
   
 
Professor, School of Informatics and Data Science, Hiroshima University
 
Apr 2006
 - 
Mar 2018
Professor, Graduate School of Social Sciences, Tokyo Metropolitan University
 
Apr 2001
 - 
Mar 2006
Professor, Graduate School of Economics, Kyoto University
 
Apr 1997
 - 
Mar 2001
Professor, Faculty of Economics, Tokyo Metropolitan University
 
Apr 1989
 - 
Mar 1997
Associate Professor, Graduate School of Systems Management, University of Tsukuba
 

Published Papers

 
A solution to the time-scale fractional puzzle in the implied volatility
Funahashi, H. and Kijima, M.
Fractal and Fractional   1(1)    2017   [Refereed]
A unified approach for the pricing of options relating to averages
Funahashi, H. and Kijima, M
Review of Derivatives Research   20(3) 203-229   2017   [Refereed]
Does the Hurst index matter for option prices under fractional volatility?
Funahashi, H. and Kijima, M.
Annals of Finance   13(1) 55-74   2017   [Refereed]
An analytical approximation for pricing VWAP options
Funahashi, H. and Kijima, M.
Quantitative Finance   17(7) 1119-1133   2017   [Refereed]
Analytical pricing of single barrier options under local volatility models
Funahashi, H. and Kijima, M.
Quantitative Finance   16(6) 867-886   2016   [Refereed]

Misc

 
The Black--Scholes formula and its applications in finance
Kijima, M. and Muromachi Y.
Methods and Applications of Statistics in Business, Finance, and Management Science   660-686   2010   [Invited]
Alternatives to Black--Scholes formulation in finance
Kijima, M. and Tanaka, K.
Methods and Applications of Statistics in Business, Finance, and Management Science   1-23   2010   [Invited]
Yield spread options under the DLG model
Kijima, M., Tanaka, K. and Wong, T.
Modelling Interest Rates: Last Advances for Derivative Pricing      2009   [Invited]
Probabilistic models and methods
Kijima, M.
Encyclopedia of Life Support Systems, UNESCO      2004   [Invited]
Stochastic processes in reliability
Kijima, M., Li, H. and Shaked, M.
Stochastic Processes: Theory and Methods   19 471-510   2001   [Invited]

Books etc

 
Stochastic Processes with Applications to Finance, 2nd Edition,
Masaaki Kijima
Chapman & Hall, London.   2013   
Stochastic Processes with Applications to Finance
Masaaki Kijima
Chapman & Hall, London   2002   
Markov Processes for Stochastic Modeling
Masaaki Kijima
Chapman & Hall, London   1997