Research — Masashi Sekine

Peer-reviewed Papers

M. Fujii & M. Sekine

Mean-field equilibrium price formation with exponential utility

Stochastics and Dynamics, 24(08), 2024

Journal arXiv
M. Fujii & M. Sekine

Mean field equilibrium asset pricing model with habit formation

Asia-Pacific Financial Markets, 33, 263-314, 2025

Journal arXiv
M. Sekine

Mean field equilibrium asset pricing model under partial observation: An exponential quadratic Gaussian approach

Japan Journal of Industrial and Applied Mathematics, 42, 853–878, 2025

Journal arXiv

Misc.

Masashi Sekine

Mean Field Equilibrium Asset Pricing Models With Exponential Utility

Doctoral Dissertation, 2026

Dissertation Abstract (in Japanese) Defence Slide (in Japanese)
M. Sekine

Mean-field equilibrium price formation under single-default risk

arXiv:2607.17502, 2026

arXiv

Presentations

M. Sekine, 平均場ゲーム理論を用いた資産価格形成モデル
61st JAFEE Symposium — 17th August, 2024 / Hitotsubashi University, Tokyo

M. Sekine, 部分観測市場における平均場均衡資産価格形成モデル
62nd JAFEE Symposium — 16th February, 2025 / The University of Tokyo, Tokyo

M. Sekine, 平均場均衡資産価格形成モデルの概要
21st Joint Meeting of JSIAM Activity Groups — 6th March, 2025 / Okayama University, Okayama

M. Sekine, 指数型効用における平均場均衡資産価格形成モデルの概要
金融工学・数理計量ファイナンスの諸問題2025 — 6th December, 2025 / Osaka University, Osaka

Masashi Sekine, "An Overview of the Mean Field Equilibrium Asset Pricing Models"
Quantitative Methods in Finance 2025 — 17th December, 2025 / University of Technology Sydney, Sydney

Grants

Apr. 2023 — Mar. 2026

"Mean Field Game Theory and Its Application to Mathematical Finance"

Grant-in-Aid for JSPS Fellows · JPY 3,000,000 KAKEN

Awards

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