Masaaki Kijima

Hiroshima University — Japan

Economics, Econometrics and Finance · Social Sciences

33h-index5.1kcitations194works0.02yr avg
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Research Topics

Stochastic processes and financial applications(65), Advanced Queuing Theory Analysis(35), Financial Risk and Volatility Modeling(24), Statistical Distribution Estimation and Applications(23), Credit Risk and Financial Regulations(23)

Publications194 total

Discussion of “Virtual age, is it real?”
Applied Stochastic Models in Business and Industry·2020· 1 cited
Market Price of Trading Liquidity Risk and Market Depth
RePEc: Research Papers in Economics·2019Open Access
A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility
Fractal and Fractional·2017· 16 citedOpen Access
A unified approach for the pricing of options relating to averages
Review of Derivatives Research·2017· 4 cited
A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility with Rough Market Price of Volatility Risk
SSRN Electronic Journal·2017Open Access
Does the Hurst Index Matter for Option Prices Under Fractional Volatility
2016
Does the Hurst index matter for option prices under fractional volatility?
Annals of Finance·2016· 19 cited
An analytical approximation for pricing VWAP options
Quantitative Finance·2016· 2 cited
A Discrete-Time Model for the Securities Market
2016
Change of Measures and the Pricing of Insurance Products
2016
From Discrete to Continuous
2016
Useful Distributions in Finance
2016
Derivative Securities
2016· 15 cited
A Discrete-Time Model for Defaultable Securities
2016
Markov Chains
2016
Monte Carlo Simulation
2016· 2 cited
The Binomial Model
2016
A Continuous-Time Model for the Securities Market
2016
Basic Stochastic Processes in Continuous Time
2016
Term-Structure Models and Interest-Rate Derivatives
2016
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Frequent Co-authors

Koji Inui(4), Yukio Muromachi(4), Katsumasa Nishide(3), Toshio Nakagawa(3), Masamitsu Ohnishi(3), Atsuyuki Ohyama(2), Ushio Sumita(2), Katsuya Komoribayashi(2), Tony Siu Tung Wong(2), Hidenori Morimura(1), Yasusuke Suzuki(1), Kéiichi Tanaka(1), Laurence A. Baxter(1), Michael Tortorella(1), Robert Lund(1), Gopalan Nair(1), P. K. Pollett(1), Erik A. van Doorn(1), Akira Maèda(1), Teruyoshi Suzuki(1)