150 citations · 961 across the 35 of their papers we have counts for
41 papers
Mean-field equilibrium price formation with exponential utility
Masaaki Fujii, Masashi Sekine
In this paper, using the mean-field game theory, we study a problem of equilibrium price formation among many investors with exponential utility in the presence of liabilities unsp…
Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations
Masaaki Fujii
In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative ag…
Equilibrium Price Formation with a Major Player and its Mean Field Limit
Masaaki Fujii, Akihiko Takahashi
In this article, we consider the problem of equilibrium price formation in an incomplete securities market consisting of one major financial firm and a large number of minor firms.…
Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium
Masaaki Fujii, Akihiko Takahashi
We study an equilibrium-based continuous asset pricing problem for the securities market. In the previous work [16], we have shown that a certain price process, which is given by t…
A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
Masaaki Fujii, Akihiko Takahashi
In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purch…
Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations
Masaaki Fujii
In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic di…