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Masaaki Kijima · Study
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Author
Masaaki Kijima
29 works
· latest 2016
· 4 institutions
cluster: provisional
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23
i10
28
Citations
1,793
Works here
29
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Most cited in this library
Economic models for the environmental Kuznets curve: A survey
2010 · 414 citations
A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models
1998 · 164 citations
A Markov Chain Model for Valuing Credit Risk Derivatives
1998 · 125 citations
On the significance of expected shortfall as a coherent risk measure
2004 · 110 citations
A multi-quality model of interest rates
2009 · 105 citations
Works
29 shown
Does the Hurst index matter for option prices under fractional volatility?
Annals of Finance
·
2016
·
2 authors
22
citations
Stochastic Processes with Applications to Finance
Chapman & Hall/CRC eBooks
·
2016
·
1 author
·
book
·
Open access
66
citations
A chaos expansion approach for the pricing of contingent claims
The Journal of Computational Finance
·
2015
·
2 authors
22
citations
Entrepreneurial Finance Problems with Quasi-hyperbolic Discounting (Mathematical Economics)
Institutional Repositories DataBase (IRDB)
·
2012
·
2 authors
0
citations
Economic models for the environmental Kuznets curve: A survey
Journal of Economic Dynamics and Control
·
2010
·
3 authors
·
Open access
414
citations
Equilibrium pricing of contingent claims in tradable permit markets
Journal of Futures Markets
·
2009
·
3 authors
38
citations
A multi-quality model of interest rates
Quantitative Finance
·
2009
·
2 authors
105
citations
Pricing of Ratchet equity-indexed annuities under stochastic interest rates
Insurance Mathematics and Economics
·
2006
·
1 author
60
citations
A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
Astin Bulletin
·
2006
·
1 author
·
Open access
39
citations
On the significance of expected shortfall as a coherent risk measure
Journal of Banking & Finance
·
2004
·
2 authors
110
citations
MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
Mathematical Finance
·
2002
·
1 author
22
citations
Stochastic Processes with Applications to Finance
Chapman & Hall/CRC eBooks
·
2002
·
1 author
·
book
71
citations
A multivariate Markov model for simulating correlated defaults
The Journal of Risk
·
2002
·
3 authors
25
citations
A jump-diffusion model for pricing corporate debt securities in a complex capital structure
Quantitative Finance
·
2001
·
2 authors
33
citations
Pricing Equity Swaps in a Stochastic Interest Rate Economy
The Journal of Derivatives
·
2001
·
2 authors
34
citations
Evaluation of credit risk of a portfolio with stochastic interest rate and default processes
The Journal of Risk
·
2000
·
2 authors
33
citations
Credit Events and the Valuation of Credit Derivatives of Basket Type
Review of Derivatives Research
·
2000
·
2 authors
43
citations
Valuation of a Credit Swap of the Basket Type
Review of Derivatives Research
·
2000
·
1 author
34
citations
Stochastic orders and their applications in financial optimization
Mathematical Methods of Operations Research
·
1999
·
2 authors
59
citations
A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models
Journal of Financial and Quantitative Analysis
·
1998
·
2 authors
·
Open access
164
citations
A Markov Chain Model for Valuing Credit Risk Derivatives
The Journal of Derivatives
·
1998
·
2 authors
125
citations
Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
Mathematical Finance
·
1998
·
1 author
38
citations
PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS1
Mathematical Finance
·
1996
·
2 authors
57
citations
Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
Annals of Operations Research
·
1993
·
2 authors
65
citations
Quasi-Stationary Distributions of Single-Server Phase-Type Queues
Mathematics of Operations Research
·
1993
·
1 author
26
citations
Computation of the quasi-stationary distributions inM(n)/GI/1/K andGI/M(n)/1/K queues
Queueing Systems
·
1992
·
2 authors
14
citations
A unified approach to gi/m(n)/l/k and m(n)/g/1/k queues via finite quasi-birth-death processes
Stochastic Models
·
1992
·
2 authors
24
citations
Decompositions of theM/M/1 transition function
Queueing Systems
·
1991
·
3 authors
23
citations
Further results for dynamic scheduling of multiclassG/G/1 queues
Journal of Applied Probability
·
1989
·
3 authors
27
citations