Updated on 2024/09/20

写真a

 
TAKAMIZAWA Hideyuki
 
Organization
Faculty of Commerce Professor
Other responsible organization
Commerce Course of Graduate School of Commerce, Master's Program
Commerce Course of Graduate School of Commerce, Doctoral Program
Contact information
The inquiry by e-mail is 《here》
Homepage
https://sites.google.com/g.chuo-u.ac.jp/takamizawa
External link

Degree

  • Ph.D (Finance) ( University of Tsukuba )

Education

  • 2003.3
     

    University of Tsukuba   Graduate School of Social Engineering   doctor course   completed

  • 1996.3
     

    Keio University   Economics Department   graduated

Research History

  • 2019.4 - 　

    "Professor, Faculty of Commerce, Chuo University"

  • 2018.4 - 2019.3

    "Associate Professor, Graduate School of Business Administration, Hitotsubashi University."

  • 2011.10 - 2018.3

    "Associate Professor, Graduate School of Commerce and Management, Hitotsubashi University"

  • 2014.9 - 2016.8

    "Visiting Scholar, Kellogg School of Management, Northwestern University"

  • 2009.12 - 2011.9

    "Associate Professor, Graduate School of Humanities and Social Sciences, University, of Tsukuba"

  • 2007.4 - 2009.11

    "Assistant Professor, Graduate School of Humanities and Social Sciences, University, of Tsukuba"

  • 2003.4 - 2007.3

    "Assistant Professor, Graduate School of Economics, Hitotsubashi University"

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Professional Memberships

  • Nippon Finance Association

  • Japan Society of Monetary Economics

Research Interests

  • Quantitative Finance

  • Asset Pricing

Research Areas

  • Humanities & Social Sciences / Money and finance  / Money/Finance

Papers

  • An Equilibrium Model of Term Structures of Bonds and Equities Reviewed

    Hideyuki Takamizawa

    International Review of Financial Analysis   84 ( 102356 )   1 - 17   2022.11

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：Elsevier  

    DOI： 10.1016/j.irfa.2022.102356

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  • How Arbitrage-Free is the Nelson-Siegel Model under Stochastic Volatility? Reviewed

    Hideyuki Takamizawa

    International Review of Economics and Finance   79   205 - 223   2022.2

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：Elsevier  

    DOI： 10.1016/j.iref.2022.01.011

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  • A term structure model of interest rates with quadratic volatility Reviewed

    Hideyuki Takamizawa

    Quantitative Finance   18 ( 7 )   1173 - 1198   2018.7

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：Routledge  

    This study proposes a no-arbitrage term structure model that can capture the volatility of interest rates without sacrificing the goodness-of-fit to the cross-section and predictive ability about the level of interest rates. The key feature of the model is the covariance matrix of changes in factors, which is specified as quadratic functions of factors. The quadratic specification can capture intense volatility even with spanned factors, which is not the case for the affine specification. Furthermore, since the quadratic specification guarantees the positive definiteness of the covariance matrix without restricting the sign of factors, it allows for a flexible specification of the physical drift as does the Gaussian term structure model, contributing also to accurate level prediction.

    DOI： 10.1080/14697688.2017.1417623

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  • Predicting Interest Rate Volatility Using Information on the Yield Curve Reviewed

    Hideyuki Takamizawa

    International Review of Finance   15 ( 3 )   347 - 386   2015.9

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：Wiley-Blackwell  

    This study examines whether information on the yield curve is useful for predicting volatility of the yield curve. The information is used within dynamic models by specifying the covariance matrix of changes in yield factors as nonlinear functions of the factors. Using such models, it is found that the information (i) is useful for predicting volatility of the slope factor, achieving the accuracy comparable with the GARCH model
    (ii) has incremental value for predicting volatility of the curvature factor when combined with a volatility-specific factor
    and (iii) does not much improve prediction of volatility of the level factor once the volatility-specific factor is introduced.

    DOI： 10.1111/irfi.12053

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  • Impact of No-Arbitrage on Interest Rate Dynamics

    Hideyuki Takamizawa

    HCFR Working Paper Series   G-1-5   1 - 53   2015.5

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    Language：English   Publishing type：Research paper (other academic)  

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  • Term Structure Models Can Predict Interest Rate Volatility. But How?

    Hideyuki Takamizawa

    Tsukuba Economics Working Papers No. 2010-008   1 - 80   2011.4

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    Language：English   Publishing type：Research paper (other academic)  

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  • An Approximation of European Option Prices under General Diffusion Processes

    Hideyuki Takamizawa

    Tsukuba Economics Working Papers No. 2009-008   1 - 25   2011.2

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    Language：English   Publishing type：Research paper (other academic)  

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  • Modeling the term structure of interest rates with general diffusion processes: A moment approximation approach Reviewed

    Hideyuki Takamizawa, Isao Shoji

    Journal of Economic Dynamics and Control   33 ( 1 )   65 - 77   2009.1

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    Language：English   Publishing type：Research paper (scientific journal)  

    We propose an analytical approximation of the term structure of interest rates under general diffusion processes of the short-rate and state variables. A method of approximating conditional moments as the solution to a system of ordinary differential equations is applied to the pricing of bonds. Numerical experiments based on two illustrative models show that the second-order approximation is accurate for maturities of up to five years and the third-order approximation is effective for longer maturities. We also show the possibility of improving the second-order approximation without much increasing the computational burden. © 2008 Elsevier B.V. All rights reserved.

    DOI： 10.1016/j.jedc.2008.05.001

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  • Is nonlinear drift implied by the short end of the term structure? Reviewed

    Hideyuki Takamizawa

    Review of Financial Studies   21 ( 1 )   311 - 346   2008.1

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    Language：English   Publishing type：Research paper (scientific journal)  

    Nonlinear drift models of the short rate are estimated using data on the short end of the term structure, where the cross-sectional relation is obtained by an analytical approximation. The findings reveal that (i) nonlinear physical drift is not implied unless it is strongly affected by cross-sectional dimensions of the data
    (ii) nonlinear risk-neutral drift that allows for fast mean reversion for high rates is desirable to explain and predict observed patterns of yield spreads
    and (iii) for higher frequency data from which transitory shocks are removed, (ii) still remains valid although the nonlinearity is somewhat reduced. (JEL C51, E43, G12) © The Author 2007.

    DOI： 10.1093/rfs/hhm072

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  • A simple measure for examining the proxy problem of the short-rate Reviewed

    Hideyuki Takamizawa

    Asia-Pacific Financial Markets   14 ( 4 )   341 - 361   2007.12

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    Language：English   Publishing type：Research paper (scientific journal)  

    The behavior of a finite-maturity yield used as a proxy for the short-rate can deviate substantially from that of the short-rate, which causes estimation biases of model parameters and pricing errors of interest-rate claims. This study proposes a simple measure that visualizes this deviation based on an analytical approximation of the term structure of interest rates. The computation of the measure is almost as easy as that of an affine model, so the adequacy of proxy can be readily checked even for short-rate models that do not admit closed-forms of bond prices. © 2008 Springer Science+Business Media, LLC.

    DOI： 10.1007/s10690-008-9066-0

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  • On the Accuracy of Local Linear Approximation for the Term Structure of Interest Rates (jointly worked) Reviewed

    Hideyuki Takamizawa, Isao Shoji

    Quantitative Finance   4 ( 2 )   151 - 157   2004.9

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    Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1080/14697680400000019

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  • Modeling the Term Structure of Interest Rates with General Short-Rate Models (jointly worked) Reviewed

    Hideyuki Takamizawa, Isao Shoji

    Finance and Stochastics   7 ( 3 )   323 - 335   2003.4

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    Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1007/s007800200088

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  • Approximation of Nonlinear Term Structure Models (jointly worked) Reviewed

    Hideyuki Takamizawa, Isao Shoji

    Journal of Derivatives   8 ( 3 )   44 - 51   2001.4

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    Language：English   Publishing type：Research paper (scientific journal)  

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MISC

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Presentations

  • How Arbitrage-Free is the Nelson-Siegel Model under Stochastic Volatility?

    Hideyuki Takamizawa

    日本金融学会2019年度秋季大会  ( 甲南大学 )   2019.10  日本金融学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • How Arbitrage-Free is the Nelson-Siegel Model under Stochastic Volatility? International conference

    Hideyuki Takamizawa

    The 31st Asian Finance Association Annual Meeting  ( The University of Economics Ho Chi Minh City )   2019.7  Asian Finance Association

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    Language：English   Presentation type：Oral presentation (general)  

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  • An Equilibrium model of Term Structures of Bonds and Equities Invited

    Hideyuki Takamizawa

    中央大学・企業研究所 公開研究会  ( 中央大学 )   2019.3 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • An Equilibrium model of Term Structures of Bonds and Equities

    Hideyuki Takamizawa

    東北大学・経済学研究科 応用統計計量ワークショップ  ( 東北大学 )   2019.2 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • An Equilibrium Model of Term Structures of Bonds and Equities International conference

    Hideyuki Takamizawa

    The 30th Asian Finance Association Annual Meeting  ( Hitotsubashi Hall, Tokyo )   2018.6  Asian Finance Association

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    Language：English   Presentation type：Oral presentation (general)  

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  • An Equilibrium model of Term Structures of Bonds and Equities

    Hideyuki Takamizawa

    日本ファイナンス学会第25回大会  ( 千葉工業大学 )   2017.6 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • An Equilibrium model of Term Structures of Bonds and Equities

    Hideyuki Takamizawa

    横浜国立大学近経研究会  ( 横浜国立大学 )   2017.5 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • An Equilibrium model of Term Structures of Bonds and Equities International conference

    Hideyuki Takamizawa

    Kellogg Quantitative Finance Seminar  ( Northwestern University Kellogg School of Management )   2016.5 

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    Language：English   Presentation type：Oral presentation (general)  

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  • An Alternative Chanel of Long-Run Risks and Time-Varying Risk Premiums

    髙見澤 秀幸

    大阪大学金融・保険セミナーシリーズ  ( 大阪大学 )   2016.2 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • An Alternative Chanel of Long-Run Risks and Time-Varying Risk Premiums International conference

    Hideyuki Takamizawa

    Kellogg Quantitative Finance Seminar  ( Northwestern University Kellogg School of Management )   2015.12 

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    Language：English   Presentation type：Oral presentation (general)  

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  • Impact of No-arbitrage on Interest Rate Dynamics International conference

    Hideyuki Takamizawa

    Kellogg Quantitative Finance Seminar  ( Northwestern University Kellogg School of Management )   2014.12 

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    Language：English   Presentation type：Oral presentation (general)  

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  • Impact of No-arbitrage on Interest Rate Dynamics

    髙見澤 秀幸

    東京大学応用統計ワークショップ  ( 東京大学 )   2014.4 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • Impact of No-arbitrage on Interest Rate Dynamics

    髙見澤 秀幸

    横浜国立大学・南山大学共同ファイナンス・ワークショップ  ( 横浜国立大学 )   2013.11 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • Impact of No-arbitrage on Interest Rate Dynamics

    髙見澤 秀幸

    中之島ワークショップ  ( 大阪大学 )   2012.11 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • Is non-arbitrage relevant to volatility prediction using interest-rate data?

    髙見澤 秀幸

    一橋大学金融研究会  ( 一橋大学 )   2011.10 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • Is non-arbitrage relevant to volatility prediction using interest-rate data?

    髙見澤秀幸

    日本統計学会  ( 九州大学 )   2011.9 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • 非線形金利期間構造モデルの近似

    髙見澤秀幸

    日本ファイナンス学会 第16回研究観望会  ( 金融財政事情研究会 )   2009.3 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach

    髙見澤秀幸

    日本金融証券計量工学学会  ( 中央大学 )   2007.12 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • Interest Rate Volatility Implicit in Term Structure Data International conference

    髙見澤秀幸

    Fourth World Congress of the Bachelier Finance Society  ( 東京・学術総合センター )   2006.8 

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    Language：English   Presentation type：Oral presentation (general)  

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  • A Simple Measure for the Proxy Problem of the Short-Rate International conference

    髙見澤秀幸

    International Symposium on Financial Time Series  ( Tokyo Metropolitan Univ )   2004.2 

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    Language：English   Presentation type：Oral presentation (general)  

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  • Analytical Valuation of Swap Yield Curves

    髙見澤秀幸

    日本経済学会  ( 広島大学 )   2002.10 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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  • 非線形金利期間構造を記述した近似モデルの精度に関して

    髙見澤秀幸

    日本統計学会  ( 明星大学 )   2002.9 

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    Language：Japanese   Presentation type：Oral presentation (general)  

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Awards

  • 丸淳子研究奨励賞

    2019.6   Nippon Finance Association  

Research Projects

  • 配当期間構造の理論と実証

    2018.4 - 2023.3

    日本学術振興会  科学研究費助成事業  基盤研究(C) 

    Hideyuki Takamizawa

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    Authorship：Principal investigator  Grant type：Competitive

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  • Restructuring Global Financial Regulation and Crisis Management in the New Phase after the Global Financial Crisis

    Grant number：17H02545  2017.4 - 2020.3

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (B)  Hitotsubashi University

    Ogawa Eiji

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    Grant amount： \15340000 （ Direct Cost: \11800000 、 Indirect Cost： \3540000 ）

    In this research project, we have made clear how global financial regulation and crisis management have been restructured in the new phase after the Global Financial Crisis, from both macroeconomic and microeconomic viewpoints. Specifically, from the macroeconomic one, we investigated the global market behavior after the Crisis, in particular focusing our attention on the effects of various structural changes in investor sentiment, corporate finance, financial markets, and financial intermediation. On the other hand, from the microeconomic viewpoint, we investigated the effects of the structural changes on the corporate financial behavior. In consequence, we drew some policy implications, by synthesizing the results obtained from the two viewpoints. These results are useful for actual policy conducting. We published them widely in the world through international conferences and academic journals and books.

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  • インフレ期待の変動メカニズムの解明

    2015.4 - 2018.3

    日本学術振興会  科学研究費助成事業  基盤研究(C) 

    Hideyuki Takamizawa

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    Authorship：Principal investigator  Grant type：Competitive

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  • The Global Financial Crisis and Its Effects on Currencies and Finance: Evaluation Methods Revisited

    Grant number：25285098  2013.4 - 2016.3

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (B)  Hitotsubashi University

    OGAWA Eiji, TAKAOKA Koichiro, NAKAMURA Hisashi, TAKAMIZAWA Hideyuki, KOBAYASHI Kenta, MISUMI Takashi, IKEMORI Toshifumi

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    Grant amount： \17420000 （ Direct Cost: \13400000 、 Indirect Cost： \4020000 ）

    Since the recent global financial crisis, it has been a pressing need to develop new models of valuation of interest rates and exchange rates. To fill the need, this research project investigated structural changes of financial systems and monetary/exchange rate policies and explored new valuation methods of asset pricing under financial frictions (such as default, information costs, and behavioral inefficiencies). Moreover, from the research work, we drew political implications of financial markets, financial regulation and monetary/exchange rate policies. We published a book, which collected the research papers produced in this research project, entitled "The Global Financial Crisis and Its Effects on Currencies and Finance: Evaluation Methods Revisited" (In Japanese. University of Tokyo Press, March 2016).

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  • Incorporating stochastic volatility into term structure models of interest rates and its economic evaluation

    2011.4 - 2013.3

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Young Scientists (B) 

    Hideyuki Takamizawa

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    Authorship：Principal investigator  Grant type：Competitive

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  • Predictability of interest rates: An examination using dynamic term structure models

    2009.4 - 2011.3

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Young Scientists (B) 

    Hideyuki Takamizawa

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    Authorship：Principal investigator  Grant type：Competitive

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  • Estimation of interest rate processes

    Grant number：18730143  2006.4 - 2009.3

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Young Scientists (B) 

    Hideyuki Takamizawa

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    Authorship：Principal investigator  Grant type：Competitive

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Allotted class

  • 2024   Freshman Seminar Ⅰ   Department

  • 2024   Freshman Seminar Ⅱ   Department

  • 2024   Introduction to Finance   Department

  • 2024   SeminarⅢ   Department

  • 2024   SeminarⅣ   Department

  • 2024   Seminar Thesis   Department

  • 2024   Interdisciplinary Lecture (Themes change annually)   Department

  • 2024   Securities Market   Department

  • 2024   Seminar Ⅰ   Department

  • 2024   Seminar Ⅱ   Department

  • 2024   Financial Markets   Department

  • 2024   Quantitative Finance (SeminarⅠ)   Graduate school

  • 2024   Quantitative Finance (SeminarⅡ)   Graduate school

  • 2024   Quantitative Finance　Ⅰ   Graduate school

  • 2024   Quantitative Finance　Ⅱ   Graduate school

  • 2024   Quantitative Finance　Ⅲ   Graduate school

  • 2024   Quantitative Finance　Ⅰ   Graduate school

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