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、エージェントが対称的な相互作用をしている系の多人数極限にあたる平均場ゲーム理論について、確率論的なアプローチからMcKean-Vlasov型の前進・後退確率微分方程式を用いて研究を行っている。

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

  • “Equilibrium price formation with a major player and its mean field limit”,  (2022),  ESAIM: Control, Optimization and Calculus of Variations, Vol. 28, No. 21, 36 pages. (with Akihiko Takahashi)
  • “Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium”, (2022),  SIAM Journal on Financial Mathematics, Vol.13, No. 2, pp. 459-490. (with Akihiko Takahashi)
  • “A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition”, (2022), SIAM Journal on Control and Optimization, Vol. 60, No. 1, pp. 259-279. (with Akihiko Takahashi)
  • “Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations”, (2022),  Minimax Theory and its Applications, Vol. 7, pp. 1-55.
  • “Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs”, (2019), Asia-Pacific Financial Markets, Vol. 26, No. 3, pp. 391-408.
  • “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

  • “Equilibrium Pricing of Securities in the Co-presence of Cooperative and Non-cooperative Populations”,  (2022), CARF-F-545.
  • “A Finite Agent Equilibrium in an Inclompete Market and its Strong Convergence to the Mean-Field Limit”, (2020), CARF-F-495, (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

  • 2021年度 JAFEE論文賞 理論部門
  • 2017年度 JAFEE論文賞 理論部門