藤井 優成

藤井 優成

教員名 / 職名

藤井 優成 FUJII, Masaaki / 准教授

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E-mail

mfujii@e.u-tokyo.ac.jp

略歴

平成11年3月 東京大学理学部物理学科卒業
平成16年3月 東京大学大学院理学系研究科物理学専攻博士課程修了 博士(理学)
平成16年4月 モルガン・スタンレー証券 債券統括本部
平成21年4月 東京大学大学院経済学研究科金融システム専攻 博士課程入学
平成23年3月 同 課程中退
平成23年4月 東京大学大学院経済学研究科附属金融教育研究センター特任講師
平成25年3月 東京大学大学院経済学研究科講師 博士(経済学)
平成30年8月 同 准教授
平成30年12月 平成30年度東京大学卓越研究員

現在の研究分野

金融における非線形問題

研究課題

興味の中心は、従来の金融工学的手法では取り扱いの困難な、様々な非線形問題の理解にある。近年は、これらに対する有望な道具として登場した、後退確率微分方程式及びその応用研究を行っている。

研究業績

著書・編著

  • “Interest Rate Modelling under Full Collateralization,” 2013, Chapter 6, Interest Rate Modelling after the Financial Crisis, Risk Books, London (with Akihiko Takahashi)

論文 - Published or Forthcoming Papers

  • “Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations”, (2020), Forthcoming in Minimax Theory and its Applications
  • “Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs” (2019), Forthcoming in Asia-Pacific Financial Markets (with Akihiko Takahashi and Masayuki Takahashi)
  • “Asymptotic expansion for forward-backward SDEs with jumps”, (2019), Stochastics, Vol. 91, No. 2, 175-214. (with Akihiko Takahashi)
  • “Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers”, (2019), Stochastics and Dynamics, Vol.19, No. 03, 1950020 (with Akihiko Takahashi)
  • “Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions”, (2019), Stochastic Processes and their Applications, Vol. 129, Issue 5, 1492-1532, (with Akihiko Takahashi)
  • “Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability,” (2018), Stochastic Processes and their Applications, Vol. 128, Issue 6, 2083-2130. (with Akihiko Takahashi)
  • “A general framework for the benchmark pricing in a fully collateralized market,” (2016), International Journal of Financial Engineering, Vol. 3, No.3, 1650019 (30)
  • “A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing,” (2016), Quantitative Finance, Vol. 16, Issue 3, 427-445.
  • “Perturbative Expansion Technique for Non-Linear FBSDEs with Interacting Particle Method,” (2015),Asia-Pacific Financial Markets, Vol. 22, Issue 3, 283-304. (with Akihiko Takahashi)
  • “An FBSDE Approach to American Option Pricing with an Interacting Particle Method,” (2015), Asia-Pacific Financial Markets, Vol. 22, Issue 3, 239-260. (with Seisho Sato and Akihiko Takahashi)
  • “Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows,” (2015), Quantitatie Finance, Vol. 15, Issue 3, 535-551 (with Akihiko Takahashi)
  • “Making Mean-Variance Hedging Implementable in a Partially Observable Market,” (2014), Quantitative Finance, Vol. 14, Issue 10, 1709-1721 (with Akihiko Takahashi)
  • “Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering,” 2014, Annals of the Institute of Statistical Mathematics 66:93-120
  • “Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA,” 2013, Quantitative Finance, Vol. 13, Issue 5, 749-768 (with Akihiko Takahashi)
  • “Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility,” 2012, Quart. J. of Fin. 02, 1250015 (24) (with Akihiko Takahashi)
  • “Analytical Approximation for Non-Linear FBSDEs with Perturbation Scheme,” 2012, International Journal of Theoretical and Applied Finance, Vol. 15, Issue 05, 1250034 (24) (with Akihiko Takahashi)
  • “Collateralized CDS and Default Dependence,” 2012, The Journal of Credit Risk, Vol. 8, Number 3, 97-113 (with Akihiko Takahashi)
  • “Clean Valuation Framework for the USD Silo--An Implication for the Forthcoming Standard Credit Support Annex (SCSA),” 2011, Forthcoming in a chapter of Risk Book titled as “Interest Rate Modeling After The Financial Crisis” (with Akihiko Takahashi)
  • “Choice of Collateral Currency,” Risk Magazine, January 2011, 120-125 (with Akihiko Takahashi)
  • “A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies,” (2011), Wilmott Magazine Vol. 2011, Issue 54, 61-73 (with Yasufumi Shimada and Akihiko Takahashi)
  • “Modeling of Interest Rate Term Structures under Collateralization and its Implications,” (2011), Recent Advances in Financial Engineering 2010: Proceedings of the KIERTMU International Workshop on Financial Engineering 2010, 83(22) (with Akihiko Takahashi)
  • “A Note on Construction of Multiple Swap Curves with and without Collateral,” FSA Research Review, Vol. 6, 139-157, March 2010 (with Yasufumi Shimada and Akihiko Takahashi)

論文 - Working Papers / Discussion Papers

  • “A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit”, (2020), CARF-F-495, (with Akihiko Takahashi)
  • “A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition”, (2020), CARF-F-473, (with Akihiko Takahashi)
  • “Optimal Position Management for a Market Maker with Stochastic Price Impacts,” 2015, CARF-F-360

論文 - Published Papers in Physics

  • “Upper bound on gluino mass from thermal leptogenesis,” Phys.Lett.B579:6-12, 2004 (with Masahiro Ibe and Tsutomu Yanagida)
  • “Thermal leptogenesis and gauge mediation,” Phys.Rev.D69:015006, 2004 (with Masahiro Ibe and Tsutomu Yanagida)
  • “Neutralino dark matter from MSSM flat directions in light of WMAP results,” Phsy.Rev.D69:035006, 2004 (with Masahiro Ibe)
  • “Natural gravitino dark matter and thermal leptogenesis in gauge mediated super-symmetry breaking models,” Phys.Lett.B549:273-283, 2002 (with Tsutomu Yanagida)
  • “Baryogenesis and gravitino dark matter in gauge mediated super-symmetry breaking models,” Phys.Rev.D66:123515, 2002 (with Tsutomu Yanagida)
  • “A solution to the coincidence puzzle of Omega(B) and Omega(DM),” Phys.Lett.B542:80-88, 2002 (with Tsutomu Yanagida)
  • “Nonthermal dark matter via Affleck-Dine Baryogenesis and its detection possibility,” Phys.Rev.D66:083501, 2002 (with Koichi Hamaguchi)
  • “Predictions on the neutrinoless double beta decay from the leptogenesis via the LHu flat direction,” Phys.Lett.B538:107-114, 2002 (with Koichi Hamaguchi and Tsutomu Yanagida)
  • “Leptogenesis with almost degenerate majorana neutrinos,” Phys.Rev.D65:115012, 2002, (with Koichi Hamaguchi and Tsutomu Yanagida)
  • “Investigation of noscale super-symmetry breaking models with a gauged U(1)(B-L) symmetry,” Phys.Rev.D66:035002, 2002 (with Koshiro Suzuki)
  • “Proton decay in the semisimple unification,” Phys.Lett.B527:106-114, 2002 (with Taizan Watari)
  • “Higgsino and wino dark matter from Q-ball decay,” Phys.Lett.B525:143-149, 2002 (with Koichi Hamaguchi)
  • “Leptogenesis via LHu flat direction with a gauged U(1)(B-L),” Phys.Rev.D65:043511, 2002 (with Koichi Hamaguchi and Tsutomu Yanagida)
  • “Affleck-Dine baryogenesis/leptogenesis with a gauged U(1)(B-L),” Phys.Rev.D64:123526, 2001 (with Koichi Hamaguchi and Tsutomu Yanagida)
  • “Reheating temperature independence of cosmological baryon asymmetry in Affleck-Dine leptogenesis,” Phys.Rev.D63:123513, 2001 (with Koichi Hamaguchi and Tsutomu Yanagida)
  • “Affleck-Dine leptogenesis with an ultralight neutrino,” Phys.Rev.D62:123514, 2000 (with Takehiko Asaka, Koichi Hamaguchi and Tsutomu Yanagida)

学会活動・受賞等

受賞等

  • 2017年度 JAFEE論文賞 理論部門