English
藤井 優成  FUJII, Masaaki
研究業績
研究業績(1)(2010年以降の研究業績)
<著書・編著>
 (Book and Monograph)
“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)
“Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability,” (2017), Forthcoming in Stochastic Processes and their Applications (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,” (2015), Forthcoming in Quantitative Finance
“Perturbative Expansion Technique for Non-Linear FBSDEs with Interacting Particle Method,” (2015), Forthcoming in Asia-Pacific Financial Markets (with Akihiko Takahashi)
“An FBSDE Approach to American Option Pricing with an Interacting Particle Method,” (2014), Forthcoming in Asia-Pacific Financial Markets (with Akihiko Takahashi and Seisho Sato)
“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)

 (Working Papers / Discussion Papers)
Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers, (2017), CARF-F-409 (with Akihiko Takahashi)
Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions, (2016), CARF-F-387 (with Akihiko Takahashi)
Asymptotic Expansion for Forward-Backward SDEs with Jumps, 2015, CARF-F-372 (with Akihiko Takahashi)
“Optimal Position Management for a Market Maker with Stochastic Price Impacts,” 2015, CARF-F-360

研究業績(2)
(2000-2009年の研究業績)
<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)