2018年度

Math-Fi seminar on 28 Mar.

2019.03.27 Wed up
  • Date: 28 Mar. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: David Nualart (Universitat de Barcelona & Kansas University)
  • Title: A brief introduction to Malliavin calculus

Math-Fi seminar on 14 Mar.

2019.03.11 Mon up
  • Date: 14 Mar. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Katsushi Nakajima (Ritsumeikan Asia Pacific University)
  • Title: Commodity Spot and Futures Prices under Supply, Demand, and Financial Trading
  • Reference: “https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2603946“

Math-Fi seminar on 15 Feb.

2019.02.18 Mon up
  • Date: 15 Feb. (Fri.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Antoine Lejay (Institut Élie Cartan de Lorraine)
  • Title: Rough paths (the final lecture)

Math-Fi seminar on 14 Feb.

2019.02.18 Mon up
  • Date: 14 Feb. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:30
​
  • ​First speaker: Antoine Lejay (Institut Élie Cartan de Lorraine)
  • Title: rough paths (the second lecture)
​
  • Second speaker: Takafumi Amaba (Fukuoka University)
  • Title: On the regularity of time occupation functionals for Gaussian processes
  • Abstract:
We are interested in the order of Sobolev space $\mathbb{D}_{2}^{\alpha}$ for which Wiener functional functional $ \int_{0}^{t} \Lambda ( X_{s}, \dot{X}_{s} ) \mathrm{d}s $ belongs to, where $\Lambda$ is a Schwartz distribution on $\mathbb{R}^{2}$ and $X = (X_{t})_{t \in \mathbb{R}}$ is a centered stationary Gaussian process satisfying some conditions. This class of functionals cover the cases of time-occupational functionals and level crossings. Joint work with Marie Kratz.
 

Math-Fi seminar on 12 Feb.

2019.02.18 Mon up
  • Date: 12 Feb. (Tue.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Antoine Lejay (Institut Élie Cartan de Lorraine)
  • Title: Rough paths (the first lecture)

Math-Fi seminar on 10 Jan.

2019.01.08 Tue up
  • Date: January 10th (Thu.), 17th (Thu.), 18th (Fri.) and 24th (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Reiichiro Kawai (University of Sydney)
  • Title: time series analysis

Math-Fi seminar on 15 Nov.

2018.11.13 Tue up
  • Date: 15 Nov. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Akihiro Tanaka (Osaka University, Sumitomo Mitsui Banking Corporation)
  • Title: Introduction to xVA:Remark on arbitrage free condition.
 

Math-Fi seminar on 8 Nov.

2018.11.07 Wed up
  • Date: 8 Nov. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Tadashi Ono (University of Tsukuba)
  • Title: TBA

Math-Fi seminar on 25 Oct.

2018.10.23 Tue up
  • Date: 25 Oct. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room


  • Time: 16:30-16:50
  • Speaker: Masahiro Kinuya (Ritsumeikan University)
  • Title: Euler-Maruyama type approximation of stochastic PDEs by orthogonal random variables
​
  • ​Time: 16:50-17:10
  • Speaker: Yuta Nakamura (Ritsumeikan University)
  • Title: Approximation of Heston model by a lattice on 3-dimensional Heisenberg group
​
  • Time: 17:10-17:30
  • Speaker: Yuki Semba (Ritsumeikan University)
  • Title: Polya Urn Binomial Model for Option Price
​
  • Time: 17:30-17:50
  • Speaker: Tsuyoshi Kinoshita (Ritsumeikan University)
  • Title: Default Contagion with Domino Effect as a Point Process
​
  • Time: 17:50-18:10
  • Speaker: Shuji Tamada (Ritsumeikan University)
  • Title: Thermodynamic Approach to Whole-Life Insurance: An Evaluation Method of Surrender Risk
 

Math-Fi seminar on 27 Sep., 4 Oct. and 11 Oct.

2018.09.25 Tue up
  • Date:  27 Sep. (Thu.), 4 Oct. (Thu.) and 11 Oct. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Ying Jiao (Université Claude Bernard Lyon 1)
  • Title: CIR models with jumps
  • Abstract:
​The first one will be on affine interest rate models with Brownian diffusion including CIR and Vacisek models, the second one will start with the jumps and introduce some basic notions about CBI processes, in relation with the general affine jump diffusion models, the third and last part will be the research lecture on the so-called alpha-CIR model.
 

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