Graduate School of Business Administration

Yuji Shinozaki

Papers

1.	Rise of NBFIs and the global structural change in the transmission of market shocks (Peer-reviewed) Yoshihiko Hogen, Yoshiyasu Kasai, Yuji Shinozaki Journal of Financial Stability Vol.79,pp.101419 2025.8
2.	Numerical methods for backward stochastic differential equations: A survey (Peer-reviewed) Jared Chessari, Reiichiro Kawai, Yuji Shinozaki, Toshihiro Yamada Probability Surveys Vol.20,No.none 2023.1
3.	Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Peer-reviewed) Yuji Shinozaki Quantitative Finance Vol.21,No.7,pp.1147-1161 2021.2
4.	Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Peer-reviewed) Syoiti Ninomiya, Yuji Shinozaki Applied Mathematical Finance Vol.26,No.3,pp.257-292 2019.5
5.	Construction of a Third-Order K-Scheme and Its Application to Financial Models (Peer-reviewed) Yuji Shinozaki SIAM Journal on Financial Mathematics Vol.8,No.1,pp.901-932 2017.1
6.	ボラティリティ研究の新潮流 -ラフ・ボラティリティ - 篠崎裕司, 平木一浩 日本銀行金融研究所 ディスカッション・ペーパー・シリーズ 2024.1
7.	深層学習によるファイナンスの新展開-ディープ・ヘッジングとディープ・キャリブレーション- 篠崎裕司 2023.6
8.	On implementation of high-order recombination and its application to weak approximations Ninomiya Syoiti, Yuji Shinozaki Proceedings of 29th Nippon Finance Association Conference 2021.6
9.	Higher order K-scheme and application to derivative pricing (Peer-reviewed) Yuji Shinozaki Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications Vol.2016,pp.137-143 2016

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Misc.

1.	A high-order recombination algorithm for weak approximation of stochastic differential equations Syoiti Ninomiya, Yuji Shinozaki 2025.4
2.	確率微分方程式の弱近似のための再結合測度法のアルゴリズム 二宮祥一, 篠崎裕司 日本応用数理学会年会講演予稿集(CD-ROM) Vol.2024 2024

Research Projects