Researcher List Yuji Shinozaki Yuji Shinozaki (篠崎 裕司) Please select the form format to download from below 「Education and research environment」format 「No. 4, the Ministry of Education document style ①Outline for Vitae」format 「No. 4, the Ministry of Education document style ②Education and research environment」format 「List of Teachers」format Profile Information AffiliationAssociate Professor, Department of Mathematical Engineering, Faculty of Engineering, Musashino UniversityDegreePh.D(Sep, 2018, Tokyo Institute of Technology)Researcher number40912803J-GLOBAL ID202401016158264870researchmap Member IDR000065281External linkhttps://sites.google.com/site/sinozakiyuji/homepage-of-shinozaki-yuji?authuser=0 Research Interests 7 Mathematical Finance Stochastic Differential Equations Higher-order Discretization Method quasi-Monte Carlo Method Malliavin Calculus Rough path theory Deep learning Research Areas 3 Natural sciences / Applied mathematics and statistics / Informatics / Computational science / Humanities & social sciences / Money and finance / Major Research History 5 Apr, 2024 - Present Department of Mathematical Engineering (Associate Professor), Faculty of Engineering, Musashino University Nov, 2020 - Mar, 2024 Financial System research division/Economic and Financial studies division, Bank of Japan Dec, 2018 - Oct, 2020 Quant, SMBC Nikko Securities Inc Apr, 2013 - Oct, 2018 (Associate), Corporate Risk Management Division / Global Market Planning Division, MUFG bank More Education 3 Oct, 2014 - Sep, 2018 Graduate School of Innovation Management, Tokyo Institute of Technology Apr, 2010 - Mar, 2013 Graduate School of Innovation Management, Tokyo Institute of Technology Apr, 2006 - Mar, 2010 Department of Mathematics, School of Science, Nagoya University Major Papers 9 Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme Yuji Shinozaki Quantitative Finance, 21(7) 1147-1161, Feb 4, 2021 Peer-reviewed Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing Syoiti Ninomiya, Yuji Shinozaki Applied Mathematical Finance, 26(3) 257-292, May 4, 2019 Peer-reviewedCorresponding author Construction of a Third-Order K-Scheme and Its Application to Financial Models Yuji Shinozaki SIAM Journal on Financial Mathematics, 8(1) 901-932, Jan, 2017 Peer-reviewed More Teaching Experience 6 Apr, 2024 - Present アルゴリズム (武蔵野大学) Apr, 2019 - Present 数学特別講義Q/数学最先端特別講義W (東京工業大学) Oct, 2024 - Mar, 2025 多変量解析 (武蔵野大学) Apr, 2024 - Mar, 2025 卒業研究 (武蔵野大学) Apr, 2024 - Mar, 2025 数理工学研究(学部3年生セミナー) (武蔵野大学) More
Yuji Shinozaki (篠崎 裕司) Please select the form format to download from below 「Education and research environment」format 「No. 4, the Ministry of Education document style ①Outline for Vitae」format 「No. 4, the Ministry of Education document style ②Education and research environment」format 「List of Teachers」format Profile Information AffiliationAssociate Professor, Department of Mathematical Engineering, Faculty of Engineering, Musashino UniversityDegreePh.D(Sep, 2018, Tokyo Institute of Technology)Researcher number40912803J-GLOBAL ID202401016158264870researchmap Member IDR000065281External linkhttps://sites.google.com/site/sinozakiyuji/homepage-of-shinozaki-yuji?authuser=0 Research Interests 7 Mathematical Finance Stochastic Differential Equations Higher-order Discretization Method quasi-Monte Carlo Method Malliavin Calculus Rough path theory Deep learning Research Areas 3 Natural sciences / Applied mathematics and statistics / Informatics / Computational science / Humanities & social sciences / Money and finance / Major Research History 5 Apr, 2024 - Present Department of Mathematical Engineering (Associate Professor), Faculty of Engineering, Musashino University Nov, 2020 - Mar, 2024 Financial System research division/Economic and Financial studies division, Bank of Japan Dec, 2018 - Oct, 2020 Quant, SMBC Nikko Securities Inc Apr, 2013 - Oct, 2018 (Associate), Corporate Risk Management Division / Global Market Planning Division, MUFG bank More Education 3 Oct, 2014 - Sep, 2018 Graduate School of Innovation Management, Tokyo Institute of Technology Apr, 2010 - Mar, 2013 Graduate School of Innovation Management, Tokyo Institute of Technology Apr, 2006 - Mar, 2010 Department of Mathematics, School of Science, Nagoya University Major Papers 9 Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme Yuji Shinozaki Quantitative Finance, 21(7) 1147-1161, Feb 4, 2021 Peer-reviewed Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing Syoiti Ninomiya, Yuji Shinozaki Applied Mathematical Finance, 26(3) 257-292, May 4, 2019 Peer-reviewedCorresponding author Construction of a Third-Order K-Scheme and Its Application to Financial Models Yuji Shinozaki SIAM Journal on Financial Mathematics, 8(1) 901-932, Jan, 2017 Peer-reviewed More Teaching Experience 6 Apr, 2024 - Present アルゴリズム (武蔵野大学) Apr, 2019 - Present 数学特別講義Q/数学最先端特別講義W (東京工業大学) Oct, 2024 - Mar, 2025 多変量解析 (武蔵野大学) Apr, 2024 - Mar, 2025 卒業研究 (武蔵野大学) Apr, 2024 - Mar, 2025 数理工学研究(学部3年生セミナー) (武蔵野大学) More