木島 正明MASAAKI KIJIMA

Last Updated :2020/02/03

所属・職名
情報科学部情報科学部教授
メールアドレス
mkijimahiroshima-u.ac.jp

基本情報

学位

  • 修士(理学)(東京工業大学)
  • 外国の博士号(米国ロチェスター大学)(ロチェスター大学)
  • 理学博士(東京工業大学)(東京工業大学)

研究活動

学術論文(★は代表的な論文)

  1. A solution to the time-scale fractional puzzle in the implied volatility, Fractal and Fractional, 1巻, 1号, 2017
  2. A unified approach for the pricing of options relating to averages, Review of Derivatives Research, 20巻, 3号, pp. 203-229, 2017
  3. Does the Hurst index matter for option prices under fractional volatility?, Annals of Finance, 13巻, 1号, pp. 55-74, 2017
  4. An analytical approximation for pricing VWAP options, Quantitative Finance, 17巻, 7号, pp. 1119-1133, 2017
  5. Analytical pricing of single barrier options under local volatility models, Quantitative Finance, 16巻, 6号, pp. 867-886, 2016
  6. A chaos expansion approach for the pricing of contingent claims, Journal of Computational Finance, 18巻, 3号, pp. 27-58, 2015
  7. Risk evaluation of mortgage-loan portfolios under low interest-rate environment, Journal of Risk, 16巻, 5号, pp. 3-37, 2014
  8. An extension of the chaos expansion approximation for the pricing of exotic basket options, Applied Mathematical Finance, 21巻, 2号, pp. 109-139, 2014
  9. Credit-equity modeling under a latent Levy firm process, International Journal of Theoretical and Applied Finance, 17巻, 3号, 2014
  10. Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty, Decisions in Economics and Finance, 36巻, 2号, pp. 169-197, 2013
  11. EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility, Journal of Economic Dynamics and Control, 35巻, 6号, pp. 746-763, 2011
  12. Pricing of CDOs based on the multivariate Wang transform, Journal of Economic Dynamics and Control, 34巻, 1号, pp. 2245-2258, 2010
  13. ★, Economic models for the environmental Kuznets curve: A survey, Journal of Economic Dynamics and Control, 34巻, 7号, pp. 1187-1201, 2010
  14. Equilibrium pricing of contingent claims in tradable permit markets, Journal of Futures Markets, 30巻, 6号, pp. 559-589, 2010
  15. A latent process model for the pricing of corporate securities, Mathematical Methods of Operations Research, 69巻, 3号, pp. 439-455, 2009
  16. ★, A multi-quality model of interest rates, Quantitative Finance, 9巻, 2号, pp. 133-145, 2009
  17. An extension of the Wang transform derived from Buhlmann's economic premium principle for insurance risk, Insurance: Mathematics and Economics, 42巻, 3号, pp. 887-896, 2008
  18. Value-at-Risk in a market subject to regime switching, Quantitative Finance, 7巻, 6号, pp. 609-619, 2007
  19. Pricing of ratchet equity-indexed annuities under stochastic interest rates, Insurance: Mathematics and Economics, 41巻, 3号, pp. 317-338, 2007
  20. Pricing of path-dependent American options by Monte Carlo simulation, Journal of Economic Dynamics and Control, 31巻, 11号, pp. 3478-3502, 2007
  21. A positive interest rate model with sticky barrier, Quantitative Finance, 7巻, 3号, pp. 269-284, 2007
  22. The pricing of options with stochastic boundaries in a Gaussian economy, Journal of the Operations Research Society of Japan, 50巻, 2号, pp. 137-150, 2007
  23. 年金リスクを内包した企業の最適資本構成モデル, リスクと保険, 3巻, pp. 43-65, 2007
  24. A multivariate extension of equilibrium pricing transforms: The multivariate Esscher and Wang transforms for pricing financial and insurance risks, ASTIN Bulletin, 36巻, 1号, pp. 269-283, 2006
  25. A Markov model for valuing asset prices in a dynamic bargaining market, Quantitative Finance, 5巻, 3号, pp. 277-288, 2005
  26. VaR is subject to a significant positive bias, Statistics and Probability Letters, 72巻, 4号, pp. 299-311, 2005
  27. ★, On the significance of expected shortfall as a coherent risk measure, Journal of Banking and Finance, 29巻, pp. 853-864, 2005
  28. 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巻, 1号, pp. 35-56, 2004
  29. A portfolio optmization model for corporate bonds subject to credit risk, Journal of Risk, 6巻, 2号, pp. 31-48, 2004
  30. Monotonicity and convexity of option prices revisited, Mathematical Finance, 8巻, 3号, pp. 229-247, 2002
  31. A multivariate Markov model for simulating correlated defaults, Journal of Risk, 4巻, 4号, pp. 1-32, 2002
  32. A jump-diffusion model for pricing corporate debt securities in a complex capital structure, Quantitative Finance, 1巻, 6号, pp. 611-620, 2001
  33. An economic premium principle in a multiperiod economy, Insurance: Mathematics and Economics, 28巻, 3号, pp. 325-339, 2001
  34. Pricing of equity swaps in a stochastic interest rate economy, Journal of Derivatives, 8巻, 4号, pp. 19-35, 2001
  35. Evaluation of credit risk of a portfolio with stochastic interest rate and default processes, Journal of Risk, 3巻, 1号, pp. 5-36, 2000
  36. Valuation of a credit swap of the basket type, Review of Derivatives Research, 4巻, 1号, pp. 79-95, 2000
  37. ★, Credit events and the valuation of credit derivatives of basket type, Review of Derivatives Research, 4巻, 1号, pp. 53-77, 2000
  38. Competitive price equilibrium when consumers have a category reservation utility, Computational and Mathematical Organization Theory, 6巻, 1号, pp. 7-27, 1999
  39. Stochastic orders and their applications in financial optimization, Mathematical Methods of Operations Research, 50巻, pp. 351-372, 1999
  40. Learning to design synergetic computers with an extended symmetric diffusion network, Neural Computation, 11巻, pp. 1475-1491, 1999
  41. A (T,S) inventory/production system with limited production capacity and uncertain demands, Operations Research Letters, 25巻, 2号, pp. 67-79, 1999
  42. 臨床判断におけるマルコフ決定過程モデル--閉塞性動脈硬化症を例に, 医療情報学, 19巻, 1号, pp. 37-46, 1999
  43. Hazard rate and reversed hazard rate monotonicities in continuous-time Markov chains, Journal of Applied Probability, 35巻, 3号, pp. 545-556, 1998
  44. ★, A Markovian framework in multi-factor Heath-Jarrow-Morton models, Journal of Financial and Quantitative Analysis, 33巻, 3号, pp. 423-440, 1998
  45. ★, A Markov chain model for valuing credit risk derivatives, Journal of Derivatives, 6巻, 1号, pp. 97-108, 1998
  46. Monotonicities in a Markov chain model for valuing corporate bonds subject to credit risk, Mathematical Finance, 8巻, 3号, pp. 229-247, 1998
  47. 定期預金のプリペイメント・リスク評価モデル, 応用数理学会論文誌, 8巻, 1号, pp. 45-66, 1998
  48. Limiting conditional distributions for birth-death processes, Advances in Applied Probability, 29巻, 1号, pp. 185-204, 1997
  49. The generalized harmonic mean and a portfolio problem with dependent assets, Theory and Decision, 43巻, 1号, pp. 71-87, 1997
  50. A numerical procedure for the general one-factor interest rate model, Journal of Financial Engineering, 5巻, 4号, pp. 317-337, 1996
  51. Portfolio selection problems via the bivariate characterization of stochastic dominance relations, Mathematical Finance, 6巻, 3号, pp. 237-277, 1996
  52. A point process model for the reliability of a maintained system subject to general repair, Stochastic Models, 12巻, 1号, pp. 37-65, 1996
  53. American put options with a finite set of exercisable time epochs, Mathematical and Computer Modelling, 22巻, 10号, pp. 89-97, 1995
  54. Bounds for the quasi-stationary distributions of some specialized Markov chains, Mathematical and Computer Modelling, 22巻, 10号, pp. 141-147, 1995
  55. Weighted sums of orthogonal polynomials with positive zeros, Journal of Computational and Applied Mathematics, 65巻, pp. 195-206, 1995
  56. On separation for birth-death processes, Probability in the Engineering and Informational Sciences, 8巻, 1号, pp. 51-68, 1994
  57. Efficient numerical procedures for the Hull-White extended Vasicek model, Journal of Financial Engineering, 3巻, 3号, pp. 275-292, 1994
  58. Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities, Annals of Operations Research, 45巻, pp. 147-163, 1993
  59. Approximate valuation of average options, Annals of Operations Research, 45巻, pp. 131-145, 1993
  60. A simple option pricing model with Markovian volatilities, Journal of the Operations Research Society of Japan, 36巻, 3号, pp. 149-166, 1993
  61. Quasi-limiting distributions of Markov chains that are skip-free to the left in continuous-time, Journal of Applied Proba145bility, 30巻, 3号, pp. 509-517, 1993
  62. Quasi-stationary distributions of single server phase-type queues, Mathematics of Operations Research, 19巻, 2号, pp. 423-437, 1993
  63. Evaluation of the decay parameter for some specialized birth-death processes, Journal of Applied Probability, 29巻, 4号, pp. 781-791, 1992
  64. Computation of the quasi-stationary distributions in M(n)/GI/1/K and GI/M(n)/1/K queues, Queueing Systems, 11巻, 3号, pp. 255-272
  65. Further monotonicity properties of renewal processes, Advances in Applied Probability, 25巻, 3号, pp. 575-588, 1992
  66. 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巻, 2号, pp. 269-288, 1992
  67. Single machine scheduling problem when the machine capacity varies stochastically, Operations Research, 40巻, 2号, pp. 376-383, 1992
  68. On the transient solution to a class of Markovian queues, Computers and Mathematics with Applications, 24巻, 1号, pp. 17-24, 1992
  69. On the existence of quasi-stationary distributions in denumerable R-transient Markov chains, Journal of Applied Probability, 29巻, 1号, pp. 21-36, 1992
  70. A note on external uniformization for finite Markov chains in continuous-time, Probability in the Engineering and Informational Sciences, 6巻, 1号, pp. 127-131, 1992
  71. Replacement policies of a shock model with imperfect preventive maintenance, European Journal of Operational Research, 57巻, 1号, pp. 100-110, 1992
  72. Theory and algorithms of the Laguerre transform, part II: Algorithms, Journal of the Operations Research Society of Japan, 34巻, 4号, pp. 449-477, 1991
  73. Decompositions of the M/M/1 transition functions, Queueing Systems, 9巻, 4号, pp. 323-336, 1991
  74. Some results for quasi-stationary distributions of birth-death processes, Journal of Applied Probability, 28巻, 3号, pp. 503-511, 1991
  75. A cumulative damage shock model with imperfect preventive maintenance, Naval Research Logistics, 38巻, 2号, pp. 145-156, 1991
  76. Stochastic minimization of the makespan in flow shops with identical machines and buffers of arbitrary size, Operations Research, 38巻, 5号, pp. 924-928, 1990
  77. On interchangeability for exponential single-server queues in tandem, Journal of Applied Probability, 27巻, 2号, pp. 459-464, 1990
  78. On the unimodality of transition probabilities in Markov chains, Australian Journal of Statistics, 32巻, 1号, pp. 1-10, 1990
  79. On the largest negative eigenvalue of the infinitesimal generator associated with M/M/n/n queues, Operations Research Letters, 9巻, 1号, pp. 59-64, 1990
  80. Uniform monotonicity of Markov processes and its related properties, Journal of the Operations Research Society of Japan, 32巻, 4号, pp. 475-490, 1989
  81. Replacement policies for cumulative damage model with minimal repair at failure, IEEE Transactions on Reliability, 38巻, 5号, pp. 581-584, 1989
  82. Further results for dynamic scheduling of multiclass G/G/1 queues, Journal of Applied Probability, 26巻, 3号, pp. 595-603, 1989
  83. The Laguerre transform of product of functions, Journal of the Operations Research Society of Japan, 32巻, 3号, pp. 279-285, 1989
  84. On transition probabilities of skip-free Markov chains, Australian Journal of Statistics, 31巻, 2号, pp. 309-314, 1989
  85. Evaluation of regular splitting queues, Stochastic Models, 5巻, 2号, pp. 219-234, 1989
  86. An extremal property of FIFO discipline in G/IFR/1 queues, Advances in Applied Probability, 21巻, 2号, pp. 481-484, 1989
  87. ★, Some results for repairable systems with general repair, Journal of Applied Probability, 26巻, 1号, pp. 89-102, 1989
  88. On the relaxation time for single server queues, Journal of the Operations Research Society of Japan, 32巻, 1号, pp. 103-111, 1989
  89. 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巻, 1号, pp. 93-102, 1989
  90. Theory and algorithms of the Laguerre transform, part I : Theory, Journal of the Operations Research Society of Japan, 31巻, 4号, pp. 467-494, 1988
  91. ★, Periodical replacement problem without assuming minimal repair, European Journal of Operational Research, 37巻, 2号, pp. 194-203, 1988
  92. On passage and conditional passage times for Markov chains in continuous time, Journal of Applied Probability, 25巻, 2号, pp. 279-290, 1988
  93. Distribution properties of discrete characteristics in M/G/1 and GI/M/1 queues, Journal of the Operations Research Society of Japan, 31巻, 2号, pp. 172-189, 1988
  94. Further properties of extremal sequences in queues, Stochastic Models, 4巻, 1号, pp. 117-132, 1988
  95. Spectral structure of the first-passage-time densities for classes of Markov chains, Journal of Applied Probability, 24巻, 3号, pp. 631-643, 1987
  96. Some results for uniformizable semi-Markov processes, Australian Journal of Statistics, 29巻, 2号, pp. 193-207, 1987
  97. Numerical exploration of a bivariate Lindley process via the bivariate Laguerre transform, Annals of Operations Research, 8巻, pp. 321-349, 1987
  98. Evaluation of minimum and maximum of a correlated pair of random variables via the bivariate Laguerre transform, Stochastic Models, 2巻, 1号, pp. 123-149, 1986
  99. ★, A useful generalization of renewal theory : Counting processes governed by nonnegative Markovian increments, Journal of Applied Probability, 23巻, 1号, pp. 71-88, 1986
  100. The bivariate Laguerre transform and its applications -- Numerical exploration of bivariate processes, Advances in Applied Probability, 17巻, 4号, pp. 683-708, 1985
  101. Replacement policies in the case that failure distributions depend on the number of failures, Journal of the Operations Research Society of Japan, 26巻, 4号, pp. 347-356, 1983
  102. On the risk evaluation method based on the market model, Nonlinear Economic Dynamics and Quantitative Finance, pp. 253-273, 2014
  103. Fractional Brownian motions in financial models and their Monte Carlo simulation, Theory and Applications of Monte Carlo Simulations, pp. 53-85, 2013
  104. On the first passage time under regime-switching with jumps, Inspired by Finance: The Musiela Festschrift, pp. 387-410, 2013
  105. Estimation of the local volatility of discount bonds using market quotes for coupon-bond options, Recent Advances in Financial Engineering, pp. 49-69, 2009
  106. 銀行勘定金利リスク管理のための内部モデル(AA-Kijima Model)について, 証券アナリストジャーナル, 45巻, 4号, pp. 79-92, 2007
  107. A Consumption--Investment Problem with Production Possibilities, From Stochastic Calculus to Mathematical Finance, pp. 315-332, 2005
  108. Real options in an oligopoly market, Kyoto Economic Review, 74巻, 1号, pp. 47-64, 2005
  109. Quasi-stationary distributions of Markov chains arising from queueing processes: A survey, Applied Probability and Stochastic Processes, pp. 277-311, 1999
  110. On the greedy algorithm for stochastic optimization problems, Stochastic Modelling in Innovative Manufacturing, pp. 19-29, 1997
  111. Further comparative statics results for choice under risk, Proceedings of The Second Australia-Japan Workshop on Stochastic Models in Engineering, Technology and Management, pp. 321-326, 1996
  112. Computation of quasi-stationary distributions in Markovian queues,, Proceedings of 16th International Conference on Computers and Industrial Engineering, pp. 849-852, 1994
  113. Numerical calculation of ruin probabilities for skip-free Markov chains, SIAM Review, 35巻, 4号, pp. 621-624, 1993
  114. Analysis of a time-shared central server system with heterogeneous distributed stations, Proceedings of 13th IFIP Conference on System Modeling and Optimization, pp. 744-756, 1988
  115. Approximate analysis of a capacitated transfer line with unreliable machines and random processing times, Proceedings of China-Japan Reliability Symposium, pp. 178-187, 1987
  116. 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巻, pp. 77-108, 1986
  117. The Black--Scholes formula and its applications in finance, Methods and Applications of Statistics in Business, Finance, and Management Science, pp. 660-686, 2010
  118. Alternatives to Black--Scholes formulation in finance, Methods and Applications of Statistics in Business, Finance, and Management Science, pp. 1-23, 2010
  119. Yield spread options under the DLG model, Modelling Interest Rates: Last Advances for Derivative Pricing, 2009
  120. Probabilistic models and methods, Encyclopedia of Life Support Systems, UNESCO, 2004
  121. A Gaussian term structure model of credit spreads and valuation of credit spread options, Kyoto University Economic Review, 70巻, pp. 13-30, 2001
  122. Stochastic processes in reliability, Stochastic Processes: Theory and Methods, 19巻, pp. 471-510, 2001
  123. Option pricing for a birth-death stock price model, Journal of the Faculty of Economics, 85巻, pp. 59-72, 1998

著書等出版物

  1. 2013年, 2013年, 単行本(学術書), 単著, English, 343
  2. 2002年, 2002年, 単行本(学術書), 単著, English, 288
  3. 1997年, 1997年, 単行本(学術書), 単著, English, 341
  4. 2012年, ファイナンス理論入門 -- 金融工学へのプロローグ, 朝倉書店, 2012年, 教科書, 共著, 日本語, 木島正明, 鈴木輝好, 後藤允
  5. 2009年, 金融工学ハンドブック, 朝倉書店, 2009年, 事典・辞書, 監修, 日本語
  6. 2008年, リアルオプションと投資戦略, 朝倉書店, 2008年, 単行本(学術書), 共著, 日本語, 木島正明, 中岡英隆, 芝田隆志
  7. 2007年, 資産の価格付けと測度変換, 朝倉書店, 2007年, 単行本(学術書), 共著, 日本語, 木島正明, 田中敬一
  8. 2005年, 戦略的アセットアロケーション, 東洋経済新報社, 2005年, 単行本(学術書), 共訳, 日本語
  9. 2004年, 金融工学事典, 朝倉書店, 2004年, 事典・辞書, 編著, 日本語, 今野浩, 刈屋武昭, 木島正明
  10. 2003年, マーケティング・データ解析 -- Excel/Accessによる, 朝倉書店, 2003年, 単行本(学術書), 共著, 日本語, 木島正明, 中川慶一郎, 生田目崇
  11. 2003年, Excel & VBAで学ぶファイナンスの数理, 金融財政事情研究会, 2003年, 教科書, 共著, 日本語, 木島正明, 青沼君明
  12. 2002年, [日経文庫] 金融工学, 日本経済新聞社, 2002年, 単行本(一般書), 単著, 日本語, 木島正明
  13. マーケティングの数理モデル, 朝倉書店, 2001年, 単行本(学術書), 共著, 日本語, 岡太彬訓, 木島正明, 守口剛
  14. 2001年, 数理ファイナンス入門 ー 離散時間モデル ー, 共立出版, 2001年, 単行本(学術書), 共訳, 日本語, 木島正明
  15. 2000年, 金融マーケティング, 朝倉書店, 2000年, 単行本(学術書), 編著, 日本語 日本語, 朝野熙彦, 木島正明
  16. 1999年, 経済と金融工学の基礎数学, 朝倉書店, 1999年, 教科書, 共著, 日本語, 木島正明, 岩城秀樹
  17. 1999年, 期間構造モデルと金利デリバティブ, 朝倉書店, 1999年, 単行本(学術書), 単著, 日本語, 木島正明
  18. 信用リスク評価の数理モデル, 朝倉書店, 1999年, 単行本(学術書), 共著, 日本語, 木島正明, 小守林克哉
  19. 1998年, 金融リスクの計量化(上), バリュー・アット・リスク, 金融財政事情研究会, 1998年, 単行本(学術書), 編著, 木島正明
  20. 1998年, 金融リスクの計量化(下), クレジット・リスク, 金融財政事情研究会, 1998年, 単行本(学術書), 編著, 日本語, 木島正明
  21. 1997年, マーケティング・ハンドブック, 朝倉書店, 1997年, 事典・辞書, 共訳, 日本語, 森村英典, 岡太彬訓, 木島正明, 守口剛
  22. 1996年, ファイナンス工学入門, 第III部 : 数値計算法, 日科技連, 1996年, 単行本(学術書), 共著, 日本語, 木島正明, 長山いづみ, 近江義行
  23. Excelで学ぶファイナンス, 金融数学・確率統計, 金融財政事情研究会, 1995年, 教科書, 単著, 木島正明
  24. 1994年, ファイナンス工学入門, 第II部 : 派生証券の価格付け理論, 日科技連, 1994年, 単行本(学術書), 単著, 日本語, 木島正明
  25. 1994年, ファイナンス工学入門, 第I部 : ランダムウォークとブラウン運動, 日科技連, 1994年, 単行本(学術書), 単著, 日本語, 木島正明
  26. 1991年, ファイナンスのための確率過程, 日科技連, 1991年, 単行本(学術書), 共著, 日本語, 森村英典, 木島正明

受賞

  1. 1990年, 第18回日本オペレーションズ・リサーチ学会文献賞, 日本オペレーションズ・リサーチ学会
  2. 1999年, 日本応用数理学会論文賞, 日本応用数理学会

外部資金

競争的資金等の採択状況

  1. 基盤研究(A)(一般), 本邦金融機関の資産・負債の特性と長期的な変動を考慮した金融リスク管理に関する研究, 2014年, 2018年
  2. 基盤研究(A)(一般), 代替投資を含むポートフォリオの金融リスク管理に関する研究, 2009年, 2014年
  3. 基盤研究(B), 大規模ポートフォリオにおける集中リスクの管理手法の開発, 2006年, 2008年
  4. 基盤研究(B)(一般), マルチカーブ環境における金利デリバティブの価格付け理論の再構築とその応用, 2016年, 2019年
  5. 基盤研究(B)(一般), 企業のクレジットリスクを考慮した投資行動と資金調達の相互作用に関する研究, 2014年, 2016年
  6. 基盤研究(A)(一般), 取引費用が存在する金融市場の均衡分析, 2013年, 2017年
  7. 基盤研究(B)(一般), 金融システム破綻の経済損失とそのリスクに関する統一的定量化モデルの開発, 2011年, 2013年