M. Handa, M.E. Mancino and R. Suzuki, A Taylor-type formula for pure jump additive processes and its application to risk minimization, Decisions in Economics and Finance, (2025).
N.-L. Liu and R. Suzuki, Application of the Malliavin-Mancino method to an empirical study of the dynamics of spot and forward interest rates in seven European markets, Asia-Pacific Financial Markets, (2025).
N.-L. Liu and R. Suzuki, 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, (2024).
M. Handa, N. Sakuma and R. Suzuki, A Girsanov transformed Clark-Ocone-Haussmann type formula for $L^1$-pure jump additive processes and its application to portfolio optimization, Annals of Finance, 20 (2024), no. 3, 329–352.
T. Nakagawa and R. Suzuki, Existence of density functions for the running maximum of SDEs by non-truncated pure-jump Lévy processes, Modern Stochastics: Theory and Applications, 11 (2024), Issue 3, 303–321.
N. Sakuma and R. Suzuki, A modified Φ-Sobolev inequality for canonical Lévy processes and its applications, Modern Stochastics: Theory and Applications, 10 (2023), Issue 2, 145--173.
T. Arai and R. Suzuki, A Clark-Ocone type formula via Ito calculus and its application to finance, Journal of Stochastic Analysis 2 (2021), no.4, Article 5, 17pp.
R. Suzuki, Correction to "Malliavin differentiability of indicator functions on canonical Lévy spaces" [Statist. Probab. Lett. 137 (2018) 183--190] , Statistics and Probability Letters 156 (2020), 108614.
R. Suzuki, Malliavin differentiability of indicator functions on canonical Lévy spaces, Statistics and Probability Letters 137 (2018), 183-190.
R. Suzuki, A Clark-Ocone type formula under change of measure for multidimensional Lévy processes, Communications on Stochastic Analysis 11 (2017), no. 1, 21–42.
T. Arai, Y. Imai and R. Suzuki, Local risk-minimization for Barndorff-Nielsen and Shephard models, Finance and Stochastics 21 (2017), no. 2, 551–592.
T. Arai, Y. Imai and R. Suzuki, Numerical analysis on local risk-minimization for exponential Lévy models, International Journal of Theoretical and Applied Finance 19 (2016), no. 2, 1650008, 27 pp.
T. Arai and R. Suzuki, Local risk-minimization for Lévy markets, International Journal of Financial Engineering 2 (2015), no. 2, 1550015, 28 pp.
R. Suzuki, A Clark-Ocone type formula under change of measure for Lévy Processes with $L^2$-Lévy measure, Communications on Stochastic Analysis 7 (2013), no. 3, 383–407.
N. Sakuma and R. Suzuki, Special values of some extensions of zeta function via beta distributions, Infinite Dimensional Analysis, Quantum Probability and Related Topics 15 (2012), no. 2, 1250008, 10 pp.
J. Akahori, N. Konno, I. Sato and R. Suzuki, A zeta function of a pseudo quantization of a Markov chain on a graph.
M. Handa and R. Suzuki, Numerical analysis of local risk-minimization for digital options under exponential L\'{e}vy models.
M. Handa, N.-L. Liu, T. Mariotti and R. Suzuki, Symmetric positive semi-definite Fourier estimator applied to spot and forward rates.
R. Suzuki and M. Tabata, Moments and Laplace transforms for infinite superpositions Hawkes processes.
R. Suzuki, レヴィ市場におけるデジタルオプションに対する局所的リスク最小化問題について, RIMS Kôkyûroku 2116 (2019), 105-114.
R. Suzuki, On a locally risk-minimizing hedging strategy for digital option in a Lévy market, The Institute of Statistical Mathematics Cooperative Research Report 418 (2019), 82-91.
N. Sakuma and R. Suzuki, A modified logarithmic Sobolev inequality for canonical Lévy processes (in Japanese), The Institute of Statistical Mathematics Cooperative Research Report 402 (2018), 77-91.
R. Suzuki, Local risk-minimization for multidimensional Lévy markets, The Institute of Statistical Mathematics Cooperative Research Report 352 (2016), 42-55.
T. Arai and R. Suzuki, Local risk-minimization for Lévy markets, RIMS Kôkyûroku 1903 (2014), 14-22.
R. Suzuki, A Clark-Ocone type formula under change of measure for canonical Lévy processes. Research Report KSTS/RR-14/002 (2014), Keio University.
N. Sakuma and R. Suzuki, On a Stroock formula (Stroockの公式について). The Institute of Statistical Mathematics Cooperative Research Report 300 (2013), 136-140.
R. Suzuki, Malliavin calculus for square integrable Lévy procceses and its applications (2乗可積分性をもつレヴィ過程に対するマリアヴァン解析とその 応用). RIMS Kôkyûroku 1855 (2013), 124-132.
N. Sakuma and R. Suzuki, Special values of some extension of zeta function via beta distributions (in Japanese), The Institute of Statistical Mathematics Cooperative Research Report 275 (2012), 109-114.
R. Suzuki, Explicit Representations of Locally Risk-minimizing Hedging Strategy for Lévy Markets by Malliavin Calculus, Doctoral dissertation, Keio University, 2015.
Prof. Takuji Arai, Keio University
Dr. Nien-Lin Liu, Ritsumeikan University
Dr. Tommaso Mariotti, Cerved
Mr. Misaki Tabata, Mizuho Securities Co., Ltd.