M. Fujii & M. Sekine, 2023, Mean-field equilibrium price formation with exponential utility, (Forthcoming in Stochastics and Dynamics) [arXiv]
M. Fujii & M. Sekine, 2024, Mean field equilibrium asset pricing model with habit formation, (Forthcoming in Asia-Pacific Financial Markets) [arXiv]
M. Sekine, 2025, Mean field equilibrium asset pricing model under partial observation: An exponential quadratic Gaussian approach, (Forthcoming in Japan Journal of Industrial and Applied Mathematics.) [arXiv]
Preprints
Presentations
M. Sekine, Asset pricing model using the mean field game theory (平均場ゲーム理論を用いた資産価格形成モデル), 61th JAFEE symposium, Aug. 17, 2024（at Hitotsubashi University, Tokyo.）
M. Sekine, Mean field equilibrium asset pricing model in a partially observable market (部分観測市場における平均場均衡資産価格形成モデル), 62th JAFEE symposium, Feb. 16, 2025（at The University of Tokyo, Tokyo.）
M. Sekine, An overview of the mean field asset pricing models (平均場均衡資産価格形成モデルの概要), 21st Joint Meeting of JSIAM Activity Groups, Mar. 6, 2025（at Okayama University, Okayama.）
Grants
Apr. 2023 to Mar. 2026: Grant-in-Aid for JSPS Fellows, JPY 3,000,000, "Mean Field Game Theory and Its Application to Mathematical Finance" [Link]