研究者学術情報データベース

スズキリョウイチ
鈴木良一
SUZUKI RYOICHI

所属理工学部数理科学科

職名助教

論文
1.	2024/10/04	An Empirical Analysis of Spot and Forward Interest Rates in Seven European Countries via Principal Component Analysis and the Malliavin-Mancino Method │ Asia-Pacific Financial Markets │ (共著)
2.	2024/08/27	A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$-pure jump additive processes and its application to portfolio optimization │ Annals of Finance │ (共著)
3.	2024/01/23	Existence of density function for the running maximum of SDEs driven by nontruncated pure-jump Lévy processes │ Modern Stochastics: Theory and Applications │ 11 (3),303-321頁 (共著)
4.	2023/04	A modified Φ-Sobolev inequality for canonical Lévy processes and its applications │ Modern Stochastics: Theory and Applications │ 10 (2),145-173頁 (共著)
5.	2021/12	A Clark-Ocone type formula via Ito calculus and its application to finance │ Journal of Stochastic Analysis │ 2 (4),Article 5 (共著)
6.	2020/01	Correction to "Malliavin differentiability of indicator functions on canonical Lévy spaces" [Statist. Probab. Lett. 137 (2018) 183--190] │ Statistics and Probability Letters │ 156,108614 (単著)
7.	2018/06/01	Malliavin differentiability of indicator functions on canonical Lévy spaces │ Statistics and Probability Letters │ 137,183-190頁 (単著)
8.	2017/04	Local risk-minimization for Barndorff-Nielsen and Shephard models │ FINANCE AND STOCHASTICS │ 21 (2),551-592頁 (共著)
9.	2017	A Clark-Ocone type formula under change of measure for multidimensional Lévy processes, │ Communications on Stochastic Analysis │ 11 (1),21-42頁 (単著)
10.	2016/03/01	Numerical analysis on local risk-minimization for exponential lévy models │ International Journal of Theoretical and Applied Finance │ 19 (2),1650008 (共著)
11.	2015	Local risk-minimization for Lévy markets │ International Journal of Financial Engineering │ 2 (2),1550015 (共著)
12.	2013	A Clark-Ocone type formula under change of measure for Lévy Processes with $L^2$-Lévy measure │ Communications on Stochastic Analysis │ 7 (2),383-407頁 (単著)
13.	2012/06	SPECIAL VALUES OF SOME EXTENSIONS OF ZETA FUNCTION VIA BETA DISTRIBUTIONS │ INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS │ 15 (2),1250008 (共著)