CREST | 複雑な金融商品の数学的構造と無限次元解析 Mathematical structure of complex financial products and infinite dimensional analysis 本文へジャンプ
About our project:

This research project was selected on October 2009 by the Japan Science and Technology Agency (JST) as one of the projects in a research field "Alliance for Breakthrough Between Mathematics and Sciences (ABMS)" under the JST's basic research promotion programme "Core Research for Evolutional Science and Technology(CREST)". Our research team, led by Assoc. Prof. Dr. Arturo Kohatsu-Higa of Graduate School of Engineering Sciences in Osaka Univeristy, kicked off the research project on October 2009. This research project is undertaken under the management and operation by the Center for the Study of Finance and Insurance (CSFI), Osaka University and Ritsumeikan University's Research Center for Finance.

このプロジェクトは、平成21年度10月より科学技術機構(JST)の戦略的創造研究推進事業の研究領域「数学と諸分野の協働におけるブレークスルーの探索」で採択され、(元)大阪大学大学院基礎工学研究科 コハツ-ヒガ アルトゥーロ准教授をチームリーダとし、平成21年度10月より研究を開始しました。なお、本プロジェクトは、大阪大学金融・保険教育教育研究センター(CSFI)と立命館大学ファイナンス研究センターの枠組みで管理・運営を行っています。

CREST Seminar and Workshops

□2015.2.6[CREST Seminar]Alexei Kulik (Institute of mathematics, Ukrainian National Academy of Science, Ukraine)
Applications of parametrix method for SDEs driven by stable noise: non-negative CAFs and LA(M)N property in statistical models with high frequency of observations.

□2015.2.2[CREST Seminar]Alexei Kulik (Institute of mathematics, Ukrainian National Academy of Science, Ukraine)
Parametrix method for SDEs driven by stable noise, II: justification and applications

□2015.1.29[CREST Seminar]Alexei Kulik (Institute of mathematics, Ukrainian National Academy of Science, Ukraine)
Parametrix method for SDEs driven by stable noise, I: ``cooperative'' construction and convergence of the parametrix series

□2015.1.8[CREST Seminar]Patrik Andersson (Ritsumeikan University)
Sampling the parametrix method

□2014.12.15[CREST Seminar]Ngoc Khue Tran (Ritsumeikan University)
LAN property for some jump-diffusion processes

□2014.12.11[CREST Seminar]Hoang-Long Ngo (Hanoi National University of Education)
On the strong rate of Euler Maruyama approximation for stochastic differential equation with super-linear growth coefficients

□2014.11.27[CREST Seminar]Lorick Huang (Universite Paris VII)
Density bounds for some degenerate stable driven SDEs

□2014.11.20[CREST Seminar]Noufel Frikha (Universite Paris VII)
An introduction to stochastic approximation algorithm: theoretical aspects and applications

□2014.11.6[CREST Seminar]Jorge Clarke (Universided del Bio-Bio)
Potential Theory for random fields and Hitting times for the stochastic wave equation with fractional colored noise

□2014.10.30[CREST Seminar]Dmitry Ivanenko ()
LA(M)N property for Markov models

□2014.10.16[CREST Seminar]Arturo Kohatsu-Higa (Ritsumeikan University)
Parametrix for Levy driven SDEs

□2014.10.9[CREST Seminar]Hideyuki Tanaka (Ritsumeikan University)
Asymptotic error distribution of the Euler method for nonlinear filtering

□2014.7.10[CREST Seminar]Tomonori Nakatsu (Ritsumeikan University)
Computation of Greeks with Malliavin calculus.

□2014.7.3[CREST Seminar]Go Yuki (Ritsumeikan University)
Consistency of Positive Semi-definite Fourier Type Estimators

□2014.6.19[CREST Seminar]Hideyuki Tanaka (Ritsumeikan University)
An introduction to asymptotic limits of some multiple (stochastic) integralsr estimate

□2014.5.29[CREST Seminar]Dai Taguchi (Ritsumeikan University)
Parametrix approximation scheme for SDEs with unbounded and irregular coefficients and its error estimate

□2014.4.24[CREST Seminar]Libo Li (Ritsumeikan University)
Backward parametrix method for SDE driven by stable Levy process + pseudo stopping times (if there is time)

□2014.4.17[CREST Seminar]Go Yuki (Ritsumeikan University)
Holder Continuity Property of the Densities of SDEs with Singular Drift Coefficients

□2014.3.13[CREST Seminar]Dai Taguchi (Ritsumeikan University)
Gaussian estimate of density of SDE with irregular coefficients and its application to the stability problems

□2014.3.06[CREST Seminar]Kazufumi Fujimoto (Osaka University/ Bank of Tokyo-Mitsubisi UFJ)
Expected utility maximization under incomplete information and with Cox-process observations

□2014.2.20[CREST Seminar]Inahama Yuzuru (Nagoya university)
Malliavin differentiability of solutions of rough differential equations

□2014.2.17[CREST Seminar]Annie Millet (Universite Paris I)
On the Richardson acceleration of finite elements schemes for parabolic SPDEs

□2014.2.13[CREST Seminar]Takahiro Tsuchiya (University of Aizu)
Convergence rate of stability problems of SDEs with (dis-)continuous coefficients

□2014.1.23[CREST Seminar]Xiaoming Song (Ritsumeikan University)
Backward stochastic differential equations and Malliavin Calculus

□2014.1.9[CREST Seminar]Tomonori Nakatu (Ritsumeikan University)
Integration by parts formula for discrete and continuous time maximum of a one-dimensional SDE

□2013.12.12[CREST Seminar]Tran Ngoc Khue (Université Paris 13)
LAN property for SDE's with jumps

□2013.12.5[CREST Seminar]Masaaki Tsuchiya (Kanazawa University)

□2013.11.21[CREST Seminar]Azmi Makhlouf (University of Tunis El Manar)
Delta and Delta-Gammma hedging error rate with irregular payoffs

□2013.10.26 - 11.1 [CREST Workshop]
"Stochastic Processes and their Statistics in Finance" in Okinawa

□2013.10.24[CREST Seminar]Vlad Bally (Universite Pari Est)
Error estimate for Victoir Ninomiya approximation scheme

□2013.10.17[CREST Seminar]Kato Kengo(The University of Tokyo)
Gaussian approximation of suprema of empirical processes

□2013.10.15[CREST Seminar]Vlad Bally (Universite Pari Est)
Convergence in total variation for the law of function on the Wiener space

□2013.10.10[CREST Seminar]Vlad Bally (Universite Pari Est)
Estimate of the distance between two probability densities using Malliavin calculus

□2013.9.19[CREST Seminar]Dai Taguchi (Ritsumeikan University)
Gaussian bound for the density of Euler scheme

□2013.9.12[CREST Seminar]Jie Zhong(Ritsumeikan University)
Wiener chaos expansion and SPDE: introduction

□2013.9.05[CREST Seminar]Xiaoming Song(Ritsumeikan University)
Malliavin calculus for backward stochastic differential equations and application to numerical solutions

□2013.8.22[CREST Seminar]Song Jian(The university of Hong Kong)
On the Feynman-Kac formula of a heat equation driven by a fractional white noise

□2013.8.20, 8.22[CREST Seminar]Alexei Kulik (Institudte of mathematics, Ukrainian National Academy of science, Ukraine)
Ergodicity, coupling, and limit theorems in Markov models

□2013.8.1[CREST Seminar]Ngo Hoang-Long (Hanoi National University of Education)
Euler approximation for stochastic differential equations driven by fractional Brownian motions

□2013.7.25[CREST Seminar]Ngo Hoang-Long (Hanoi National University of Education)
Weak approximation of sde with irregural drift

□2013.7.4 [CREST Seminar]Arturo Kohatsu-Higa (Ritsumeikan University)
A probabilistic interpretation of the parametrix method

□2013.6.27 [CREST Seminar] Jiro Akahori (Ritsumeikan University)
Convergence order of Euler-Maruyama Scheme with symmetrization of Diffusions

□2013.5.23 [CREST Seminar]Nobuaki Naganuma (Tohoku University)
Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion

□2013.5.2 [CREST Seminar]Dai Taguchi (Ritsumeikan University)
Strong Rate of Euler-Maruyama Approximation for SDE with non-regular drift

□2013.4.11 [CREST Seminar]Tomonori Nakatsu (Ritsumeikan University)
Malliavin calculus method to analyze the probability law of a one dimensional mimicking process

□2013.4.5 [CREST Seminar]Annie Millet (Universite Paris I)
Some further properties on the solution of stochastic hydrodynamical equaitons

□2013.4.3 [CREST Seminar]
Annie Millet (Universite Paris I)

Infinite dimensional stochastic calculus and its application to some nonlinear hydrodynamical models

□2013.4.1 [CREST Seminar]Annie Millet (Universite Paris I)
An introduction to the stochastic Navier Stokes equations and relate hyrodynamical models

□2013.3.21 [CREST Seminar]
TRAN Ngoc Khue (Universite Paris 13)

Introduction to local asymptotic normality (LAN) and local asymptotic mixed normality (LAN) properties

□2013.3.5 [CREST Seminar]
Shigeki Aida(Tohoku University)

Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidian spaces

□2013.2.27 [CREST Seminar]Libo Li(Ritsumeikan University)
Introduction to enlargement of filtration and a new decomposition formula

□2013.2.14 [CREST Seminar]Ngo Hoang Long (Ritsumeikan University)
Approximaitons of non-smooth integral type functionals of one dimensional diffusion processes

□2013.1.18 [CREST Seminar]
Toshihiro Yamada (MTEC, Mitsubisdhi UFJ Trust)

A Closed-form approximation method for computational finance

□2013.1.10 [CREST Seminar]Atsushi Takeuchi(Osaka City University)
A symptotic behavior of densities for stochastic functional differential equations

□2012.12.13 [CREST Seminar]
Hongwei Long (University of Florida)

Nadaraya-Watson estimator for stochastic processes driven by stable Levy motions

□2012.12.6 [CREST Seminar]
Mireia Besalu Mayol (Nancy Universtiy)

Fractional Brownian motion and stochastic differential delay equations with non-negativity constraints

□2012.11.29 [CREST Seminar]
Takafumi Amaba (Ritsumeikan University)

On the monotonicity of $\mathcal{L}_{0}$-cost along backward heat flow (continuation)

□2012.11.20 [CREST Seminar]
Hideo Nagai (Kansai University)

Robust estimates of certain large deviation probabilities for controlled semi-martingales

□2012.11.15 [CREST Seminar]
Yuri Imamura(Ritsumeikan University)

Static Hedge of Defaultable Derivative

□2012.11.8 [CREST Seminar]
Ngo Hoang Long(Ritsumeikan University)

Central limit theorems for Euler approximation of SDE

□2012.11.1 [CREST Seminar]Makoto Maejima (Keio University)
Some recent topics on GGC (Generalized Gamma Convolution)

□2012.11.1 [CREST Seminar]
Ciprian Tudor (The University of Lille 1)

Stochastic heat equation with fractional-colored noise

□2012.10.25 [CREST Seminar]
Emi Osuka (Tohoku University)

A variational representation for G-Brownian functionals

□2012.10.25 [CREST Seminar]
Ciprian Tudor (The University of Lille 1)

Stein method and Malliavin calculus: the basics and some applications

□2012.10.18 [CREST Seminar]
Teppei Ogihara (Osaka University)

Statistical inference for diffusion processes from nonsynchronous observations

□2012.10.11 [CREST Seminar]
Syouta Mizukami (Tokyo University of Science)

Generalized Hurwitz zeta distributions

□2012.9.18-20-25-27 [CREST School]Vlad Bally(Universite de Marne-la-Vallee)

□2012.9.20 [CREST Seminar]
Jiao Ying (University of Paris 7)

Portfolio optimization with insider's initial information

□2012.9.6-11-13 [CREST Seminar]
Eva Locherbavch (University of Cergy-Pontoise)

□2012.8.24 [CREST Seminar]Takashi Kato(Osaka University)

□2012.8.17 [CREST Seminar]
Lihu Xu (Brunel University)

Malliavan calculus and ergodicity of stochastic system

□2012.8.16 [CREST Seminar]
Mr. Yasuda (Housei University)

□2012.8.2 [CREST Seminar]
Mr. Nakatsu (Ritsumeikan University)

Boundary Evolution Equation for American Options

□2012.7.20-23-24 [CREST School]
Mr. Yamazaki (Osaka University)

Levy Processes and their applications

□2012.7.19 [CREST Seminar]
Mr. Aoyama (Tokyo University of Science)

Some classes of infinitely divisible distributions on R^d Abstract

□2012.5.17 [CREST Seminar]Jun Sekine (Osaka University)
Some remarks on Bayesian optimal CRRA-utility

□2012.6.14-21-28 [CREST School
]M1 Studenti(Ritsumeikan University)

Levy Process

□2012.5.17 [CREST Seminar]
Mr. Tanaka Hideyuki(Ritsumeikan University)

Multi Level Monte Carlo

□2012.5.10 [CREST Seminar]Mr. Tanaka Hideyuki(Ritsumeikan University)
An acceralated Euler-Maruyama scheme for perturbed SDE

□2012.4.5 [CREST Seminar]Prof. Masaaki Fukasawa (Osaka University)

□2012.3.22 [CREST Seminar] Dr.Ngo Hoang Long (Ritsumeikan University)

Beppu workshop file

Beppu workshop pictures

□2012.3.13 [CREST Seminar]Jose da Fonseca (Auckland University of Technology)

□2012.3.12 [CREST Seminar]Stephane Menozzi (Universite Paris VII)

□2012.3.13 [CREST Seminar]Mingyu Xu (Chinese Academy of Sciences)

□2012.3.12 [CREST Seminar]Monique Jeanblanc (Universite d'Evry)

□2012.2.23 [CREST Seminar] Prof. Azmi Makhlouf, Osaka University

□2012.2.23 [CREST Seminar] Mr. Hideyuki Tanaka, Ritsumeikan University

□2012.2.16 [CREST Seminar] Prof. Atsushi Takeuchi, Osaka City University

□2012.2.16 [CREST Seminar] Prof. Seichiro Kusuoka, Kyoto University

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Last update Nov. 20, 2013
 Copyright (C) 2010 Team Kohatsu (JST/CREST)  Research Center for Finance, Ritsumeikan University