## Basic Information

### Academic Degrees

- Tokyo Institute of Technology
- University of Rochester
- Tokyo Institute of Technology

## Research Activities

### Academic Papers

- A solution to the time-scale fractional puzzle in the implied volatility, Fractal and Fractional, 1(1), 2017
- A unified approach for the pricing of options relating to averages, Review of Derivatives Research, 20(3), 203-229, 2017
- Does the Hurst index matter for option prices under fractional volatility?, Annals of Finance, 13(1), 55-74, 2017
- An analytical approximation for pricing VWAP options, Quantitative Finance, 17(7), 1119-1133, 2017
- Analytical pricing of single barrier options under local volatility models, Quantitative Finance, 16(6), 867-886, 2016
- A chaos expansion approach for the pricing of contingent claims, Journal of Computational Finance, 18(3), 27-58, 2015
- Risk evaluation of mortgage-loan portfolios under low interest-rate environment, Journal of Risk, 16(5), 3-37, 2014
- An extension of the chaos expansion approximation for the pricing of exotic basket options, Applied Mathematical Finance, 21(2), 109-139, 2014
- Credit-equity modeling under a latent Levy firm process, International Journal of Theoretical and Applied Finance, 17(3), 2014
- Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty, Decisions in Economics and Finance, 36(2), 169-197, 2013
- EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility, Journal of Economic Dynamics and Control, 35(6), 746-763, 2011
- Pricing of CDOs based on the multivariate Wang transform, Journal of Economic Dynamics and Control, 34(1), 2245-2258, 2010
- Economic models for the environmental Kuznets curve: A survey, Journal of Economic Dynamics and Control, 34(7), 1187-1201, 2010
- Equilibrium pricing of contingent claims in tradable permit markets, Journal of Futures Markets, 30(6), 559-589, 2010
- A latent process model for the pricing of corporate securities, Mathematical Methods of Operations Research, 69(3), 439-455, 2009
- A multi-quality model of interest rates, Quantitative Finance, 9(2), 133-145, 2009
- An extension of the Wang transform derived from Buhlmann's economic premium principle for insurance risk, Insurance: Mathematics and Economics, 42(3), 887-896, 2008
- Value-at-Risk in a market subject to regime switching, Quantitative Finance, 7(6), 609-619, 2007
- Pricing of ratchet equity-indexed annuities under stochastic interest rates, Insurance: Mathematics and Economics, 41(3), 317-338, 2007
- Pricing of path-dependent American options by Monte Carlo simulation, Journal of Economic Dynamics and Control, 31(11), 3478-3502, 2007
- A positive interest rate model with sticky barrier, Quantitative Finance, 7(3), 269-284, 2007
- The pricing of options with stochastic boundaries in a Gaussian economy, Journal of the Operations Research Society of Japan, 50(2), 137-150, 2007
- A multivariate extension of equilibrium pricing transforms: The multivariate Esscher and Wang transforms for pricing financial and insurance risks, ASTIN Bulletin, 36(1), 269-283, 2006
- A Markov model for valuing asset prices in a dynamic bargaining market, Quantitative Finance, 5(3), 277-288, 2005
- VaR is subject to a significant positive bias, Statistics and Probability Letters, 72(4), 299-311, 2005
- On the significance of expected shortfall as a coherent risk measure, Journal of Banking and Finance, 29, 853-864, 2005
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default, Japan Journal of Industrial and Applied Mathematics, 21(1), 35-56, 2004
- A portfolio optmization model for corporate bonds subject to credit risk, Journal of Risk, 6(2), 31-48, 2004
- Monotonicity and convexity of option prices revisited, Mathematical Finance, 8(3), 229-247, 2002
- A multivariate Markov model for simulating correlated defaults, Journal of Risk, 4(4), 1-32, 2002
- A jump-diffusion model for pricing corporate debt securities in a complex capital structure, Quantitative Finance, 1(6), 611-620, 2001
- An economic premium principle in a multiperiod economy, Insurance: Mathematics and Economics, 28(3), 325-339, 2001
- Pricing of equity swaps in a stochastic interest rate economy, Journal of Derivatives, 8(4), 19-35, 2001
- Evaluation of credit risk of a portfolio with stochastic interest rate and default processes, Journal of Risk, 3(1), 5-36, 2000
- Valuation of a credit swap of the basket type, Review of Derivatives Research, 4(1), 79-95, 2000
- Credit events and the valuation of credit derivatives of basket type, Review of Derivatives Research, 4(1), 53-77, 2000
- Competitive price equilibrium when consumers have a category reservation utility, Computational and Mathematical Organization Theory, 6(1), 7-27, 1999
- Stochastic orders and their applications in financial optimization, Mathematical Methods of Operations Research, 50, 351-372, 1999
- Learning to design synergetic computers with an extended symmetric diffusion network, Neural Computation, 11, 1475-1491, 1999
- A (T,S) inventory/production system with limited production capacity and uncertain demands, Operations Research Letters, 25(2), 67-79, 1999
- Hazard rate and reversed hazard rate monotonicities in continuous-time Markov chains, Journal of Applied Probability, 35(3), 545-556, 1998
- A Markovian framework in multi-factor Heath-Jarrow-Morton models, Journal of Financial and Quantitative Analysis, 33(3), 423-440, 1998
- A Markov chain model for valuing credit risk derivatives, Journal of Derivatives, 6(1), 97-108, 1998
- Monotonicities in a Markov chain model for valuing corporate bonds subject to credit risk, Mathematical Finance, 8(3), 229-247, 1998
- Limiting conditional distributions for birth-death processes, Advances in Applied Probability, 29(1), 185-204, 1997
- The generalized harmonic mean and a portfolio problem with dependent assets, Theory and Decision, 43(1), 71-87, 1997
- A numerical procedure for the general one-factor interest rate model, Journal of Financial Engineering, 5(4), 317-337, 1996
- Portfolio selection problems via the bivariate characterization of stochastic dominance relations, Mathematical Finance, 6(3), 237-277, 1996
- A point process model for the reliability of a maintained system subject to general repair, Stochastic Models, 12(1), 37-65, 1996
- American put options with a finite set of exercisable time epochs, Mathematical and Computer Modelling, 22(10), 89-97, 1995
- Bounds for the quasi-stationary distributions of some specialized Markov chains, Mathematical and Computer Modelling, 22(10), 141-147, 1995
- Weighted sums of orthogonal polynomials with positive zeros, Journal of Computational and Applied Mathematics, 65, 195-206, 1995
- On separation for birth-death processes, Probability in the Engineering and Informational Sciences, 8(1), 51-68, 1994
- Efficient numerical procedures for the Hull-White extended Vasicek model, Journal of Financial Engineering, 3(3), 275-292, 1994
- Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities, Annals of Operations Research, 45, 147-163, 1993
- Approximate valuation of average options, Annals of Operations Research, 45, 131-145, 1993
- A simple option pricing model with Markovian volatilities, Journal of the Operations Research Society of Japan, 36(3), 149-166, 1993
- Quasi-limiting distributions of Markov chains that are skip-free to the left in continuous-time, Journal of Applied Proba145bility, 30(3), 509-517, 1993
- Quasi-stationary distributions of single server phase-type queues, Mathematics of Operations Research, 19(2), 423-437, 1993
- Evaluation of the decay parameter for some specialized birth-death processes, Journal of Applied Probability, 29(4), 781-791, 1992
- Computation of the quasi-stationary distributions in M(n)/GI/1/K and GI/M(n)/1/K queues, Queueing Systems, 11(3), 255-272
- Further monotonicity properties of renewal processes, Advances in Applied Probability, 25(3), 575-588, 1992
- A unified approach to GI/M(n)/1/K and M(n)/ G/1/K queues via finite quasi-birth-death processes, Stochastic Models, 8(2), 269-288, 1992
- Single machine scheduling problem when the machine capacity varies stochastically, Operations Research, 40(2), 376-383, 1992
- On the transient solution to a class of Markovian queues, Computers and Mathematics with Applications, 24(1), 17-24, 1992
- On the existence of quasi-stationary distributions in denumerable R-transient Markov chains, Journal of Applied Probability, 29(1), 21-36, 1992
- A note on external uniformization for finite Markov chains in continuous-time, Probability in the Engineering and Informational Sciences, 6(1), 127-131, 1992
- Replacement policies of a shock model with imperfect preventive maintenance, European Journal of Operational Research, 57(1), 100-110, 1992
- Theory and algorithms of the Laguerre transform, part II: Algorithms, Journal of the Operations Research Society of Japan, 34(4), 449-477, 1991
- Decompositions of the M/M/1 transition functions, Queueing Systems, 9(4), 323-336, 1991
- Some results for quasi-stationary distributions of birth-death processes, Journal of Applied Probability, 28(3), 503-511, 1991
- A cumulative damage shock model with imperfect preventive maintenance, Naval Research Logistics, 38(2), 145-156, 1991
- Stochastic minimization of the makespan in flow shops with identical machines and buffers of arbitrary size, Operations Research, 38(5), 924-928, 1990
- On interchangeability for exponential single-server queues in tandem, Journal of Applied Probability, 27(2), 459-464, 1990
- On the unimodality of transition probabilities in Markov chains, Australian Journal of Statistics, 32(1), 1-10, 1990
- On the largest negative eigenvalue of the infinitesimal generator associated with M/M/n/n queues, Operations Research Letters, 9(1), 59-64, 1990
- Uniform monotonicity of Markov processes and its related properties, Journal of the Operations Research Society of Japan, 32(4), 475-490, 1989
- Replacement policies for cumulative damage model with minimal repair at failure, IEEE Transactions on Reliability, 38(5), 581-584, 1989
- Further results for dynamic scheduling of multiclass G/G/1 queues, Journal of Applied Probability, 26(3), 595-603, 1989
- The Laguerre transform of product of functions, Journal of the Operations Research Society of Japan, 32(3), 279-285, 1989
- On transition probabilities of skip-free Markov chains, Australian Journal of Statistics, 31(2), 309-314, 1989
- Evaluation of regular splitting queues, Stochastic Models, 5(2), 219-234, 1989
- An extremal property of FIFO discipline in G/IFR/1 queues, Advances in Applied Probability, 21(2), 481-484, 1989
- Some results for repairable systems with general repair, Journal of Applied Probability, 26(1), 89-102, 1989
- On the relaxation time for single server queues, Journal of the Operations Research Society of Japan, 32(1), 103-111, 1989
- Upper bounds of a measure of dependence and the relaxation time for finite state Markov chains, Journal of the Operations Research Society of Japan, 32(1), 93-102, 1989
- Theory and algorithms of the Laguerre transform, part I : Theory, Journal of the Operations Research Society of Japan, 31(4), 467-494, 1988
- Periodical replacement problem without assuming minimal repair, European Journal of Operational Research, 37(2), 194-203, 1988
- On passage and conditional passage times for Markov chains in continuous time, Journal of Applied Probability, 25(2), 279-290, 1988
- Distribution properties of discrete characteristics in M/G/1 and GI/M/1 queues, Journal of the Operations Research Society of Japan, 31(2), 172-189, 1988
- Further properties of extremal sequences in queues, Stochastic Models, 4(1), 117-132, 1988
- Spectral structure of the first-passage-time densities for classes of Markov chains, Journal of Applied Probability, 24(3), 631-643, 1987
- Some results for uniformizable semi-Markov processes, Australian Journal of Statistics, 29(2), 193-207, 1987
- Numerical exploration of a bivariate Lindley process via the bivariate Laguerre transform, Annals of Operations Research, 8, 321-349, 1987
- Evaluation of minimum and maximum of a correlated pair of random variables via the bivariate Laguerre transform, Stochastic Models, 2(1), 123-149, 1986
- A useful generalization of renewal theory : Counting processes governed by nonnegative Markovian increments, Journal of Applied Probability, 23(1), 71-88, 1986
- The bivariate Laguerre transform and its applications -- Numerical exploration of bivariate processes, Advances in Applied Probability, 17(4), 683-708, 1985
- Replacement policies in the case that failure distributions depend on the number of failures, Journal of the Operations Research Society of Japan, 26(4), 347-356, 1983
- On the risk evaluation method based on the market model, Nonlinear Economic Dynamics and Quantitative Finance, 253-273, 2014
- Fractional Brownian motions in financial models and their Monte Carlo simulation, Theory and Applications of Monte Carlo Simulations, 53-85, 2013
- On the first passage time under regime-switching with jumps, Inspired by Finance: The Musiela Festschrift, 387-410, 2013
- Estimation of the local volatility of discount bonds using market quotes for coupon-bond options, Recent Advances in Financial Engineering, 49-69, 2009
- A Consumption--Investment Problem with Production Possibilities, From Stochastic Calculus to Mathematical Finance, 315-332, 2005
- Real options in an oligopoly market, Kyoto Economic Review, 74(1), 47-64, 2005
- Quasi-stationary distributions of Markov chains arising from queueing processes: A survey, Applied Probability and Stochastic Processes, 277-311, 1999
- On the greedy algorithm for stochastic optimization problems, Stochastic Modelling in Innovative Manufacturing, 19-29, 1997
- Further comparative statics results for choice under risk, Proceedings of The Second Australia-Japan Workshop on Stochastic Models in Engineering, Technology and Management, 321-326, 1996
- Computation of quasi-stationary distributions in Markovian queues,, Proceedings of 16th International Conference on Computers and Industrial Engineering, 849-852, 1994
- Numerical calculation of ruin probabilities for skip-free Markov chains, SIAM Review, 35(4), 621-624, 1993
- Analysis of a time-shared central server system with heterogeneous distributed stations, Proceedings of 13th IFIP Conference on System Modeling and Optimization, 744-756, 1988
- Approximate analysis of a capacitated transfer line with unreliable machines and random processing times, Proceedings of China-Japan Reliability Symposium, 178-187, 1987
- On optimal bulk size of single-server bulk-arrival queueing systems with set-up times -- Numerical exploration via the Laguerre transform, Selecta Statistica Canadiana, 7, 77-108, 1986
- The Black--Scholes formula and its applications in finance, Methods and Applications of Statistics in Business, Finance, and Management Science, 660-686, 2010
- Alternatives to Black--Scholes formulation in finance, Methods and Applications of Statistics in Business, Finance, and Management Science, 1-23, 2010
- Yield spread options under the DLG model, Modelling Interest Rates: Last Advances for Derivative Pricing, 2009
- Probabilistic models and methods, Encyclopedia of Life Support Systems, UNESCO, 2004
- A Gaussian term structure model of credit spreads and valuation of credit spread options, Kyoto University Economic Review, 70, 13-30, 2001
- Stochastic processes in reliability, Stochastic Processes: Theory and Methods, 19, 471-510, 2001
- Option pricing for a birth-death stock price model, Journal of the Faculty of Economics, 85, 59-72, 1998

### Publications such as books

- 2013, Stochastic Processes with Applications to Finance, 2nd Edition,, Chapman & Hall, London., 2013, English, Masaaki Kijima, 343
- 2002, Stochastic Processes with Applications to Finance, Chapman & Hall, London, 2002, English, Masaaki Kijima, 288
- 1997, Markov Processes for Stochastic Modeling, Chapman & Hall, London, 1997, English, Masaaki Kijima, 341