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□ Members of Research Team
コハツ-ヒガ アルトゥーロ
Arturo KOHATSU-HIGA
立命館大学 教授 |
My research themes are numerical simulation methods for stochastic differential equations (SDEs) and the study of their properties.
In recent years, I have studied simulation methods for jump-type SDEs. I have proposed, in particular, a new method using an operator splitting method (Kusuoka approximation scheme) and conducted mathematical research on its related properties as well as simulation study on its numerical behaviour. In addition, I am also interested in applications of my research to credit risk modelling which entails the concept of correlation.
In the domain of financial engineering, I have researched on computational methods for risk quantities called Greeks. Especially, I conduct numerical simulations for jump-type models using finite- or infinite-dimensional integration by parts formulae, and study their precisions. I have also studied density functions of random variables on Wiener spaces using an infinite-dimensional analysis method called Malliavin Calculus. |
内田 雅之
Masayuki UCHIDA
大阪大学大学院
基礎工学研究科教授
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I research statistical inferences for diffusion processes defined by stochastic differential equations.
Especially, I am interested in the parameter estimation of diffusion process from discrete observations and its application to financial data.
There is a serious problem that the transition density function (likelihood function ) of diffusion process does not generally have an explicit form, which means that we cannot directly use likelihood analysis which is a very strong tool in statistical inferences.
I instead consider pseudo-likelihood analyses to obtain the asymptotic properties of both maximum likelihood-type estimators and Bayes-type estimators.
I am also interested in information criteria for model selection applied to diffusion processes. |
大西 匡光
Masamitsu OHNISHI
大阪大学大学院
経済学研究科 教授
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My original research domain is located in stochastic model and decision
and game theory under uncertainty in Operations Research (OR). Researches
in which I have been long involved (and am still interested) include stochastic
dynamic optimisations of different stochastic systems using dynamic programming
(reliability/maintainability/queuing, production/inventory) and stochastic
comparison using stochastic ordering (stochastic dominance). Since I have
been interested not only in the OR sphere but also in the broad research
field of decision and stochastic dynamic optimisation under uncertainty,
I have come to research economic and engineering problems in finance, initiated
from topics such as portfolio selection and American-type option pricing
and its optimal execution problems, which has become my main resarch field.
More recent (collaborative) researches include optimal stopping problems
related to real options, comparative statics of impacts of investing market
participants' beliefs on and attitudes toward uncertainty in the future
on equilibrium asset prices, applications of impulse control theory to
optimisation of companies' dividend policies and stock buybacks, and pricing
of interest-rate derivatives with the right of multiple exercises. Currently,
I am interested in game-theoretical or mathematical-finance approaches
to problems in corporate finance, optimal trading strategy adjusted for
the market price impact, and valuation of credit portfolios with contagion
effects of credit risks taken into account. |
大屋 幸輔
Kosuke OYA
大阪大学大学院
経済学研究科 教授
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My specialised field is econometrics and my recent research theme is analyses of financial time series data observed with a high frequency. In particular, I conduct research on analyses of high-frequency observed data such as tick-by-tick transaction data and bid/asked price movements, keeping market microstructure in mind. Since existing time series analysis methods is not sufficiently capable of analysing high-frequency data, we are required to develop a new method specific to those data, a hot research field drawing much attention in statistics and econometrics. Analysing market microstructure using high-frequency data also necessarily involves analyses from the perspective of economics such as understanding of investors' trading behaviour and analyses of their attitudes toward risks. While most of my current research are related to this field, I also conduct researches on the developments of a Japanese volatility index and a business trend index. |
清水 泰隆
Yasutaka SHIMIZU
大阪大学大学院
基礎工学研究科准教授
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連続時間確率過程に対する漸近推測論が主要テーマです。特に、ジャンプ型確率過程の離散観測に基づくパラメトリック・ノンパラメトリック推定，および，統計的モデル選択等が興味の中心です。
また、ジャンプ型モデルが極めて自然に用いられる保険数学にも興味をもっており、破産確率評価やオプションの価格付けと密接に関わる期待割引罰則関数(Gerber-Shiu関数)に対する解析や、それに関連する統計推測についても研究しています。 |
田村 隆志
Takashi TAMURA
大阪府立大学
学術研究員 准教授 |
確率過程の汎関数の漸近分布を研究しています。最近は以下の二種類の成果を得ました。
(1)確率積分の離散化誤差の極限分布
(2)加法的汎関数の周辺分布の摂動展開
前者(1)は未解決問題であった、一般停止時刻列によるRiemann近似誤差の安定収束を証明し、その漸近分布を決定したもので、以下のような応用も与えました。
(i)実現ボラティリティの中心極限定理(ボラティリティの区間推定法)
(ii)離散ヘッジ誤差の安定収束と漸近有効(最適)なヘッジタイミングの構成
(iii)確率微分方程式に対するEuler丸山近似の誤差極限分布の決定
後者(2)は数理ファイナンスの枠組みでは、オプション価格の公式の漸近展開に相当しており、Black-Scholes近似における補正項を与えるものです。既存のいくつかの摂動展開を統一的に正当化し拡張するもので、例えばインプライドボラティリティスキューの漸近構造に対してレバレッジ効果とジャンプの非対称性による陽な表現を与えています。 |
藤井 孝之
Takayuki FUJII
滋賀大学
経済学部 准教授 |
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荻原 哲平
Teppei OGIHARA
大阪大学
CSFI 特任助教 |
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土屋 貴裕
Takahiro TSUCHIYA
会津大学 コンピュータ理工学部 准教授 |
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アズミ マクルーフ
Azmi MAKHLOUF
Tunis Al-Manar National Engineering School of Tunis 助教授 |
1/ Research topics (key words)
Numerical probability, mathematical finance, stochastic analysis of discretizations, BSDEs (Backward Stochastic Differential Equations)
2/ Description of my research (basically, this is my PhD work)
- Study of the L2-time regularity of BSDEs with irregular terminal functions.
Application to the study of discretization errors (for BSDEs and for hedging strategies).
- Sequential Monte-Carlo method with application in credit risk. |
林 正史
Masafumi HAYASHI
琉球大学
助教（2010.10 -） |
専門分野は確率論です。特にジャンプ型の確率微分方程式に対する確率解析（マリアバン解析）に関心を持っています。現在までにジャンプを考慮した場合の漸近展開定理の定式化や、その数理ファイナンスへの応用の研究を行ってきました。
確率微分方程式の解の密度関数の評価や、最大値での分布の滑らかさなどの研究も行っています。 |
ゴ ワン ロン
NGO Hoang Long
Hanoi National University of Education
准教授 |
I am currently interested in statistical inference for stochastic processes observed in discrete time. In particular, I have studied the volatility estimation in various different settings: (non-) parametric estimation, high-frequency data, jump-type processes. I have also studied the problem of discrete approximation of occupation time of diffusion process and its application in pricing some path dependent options like corridor and eddoko options.
I also interest in numerical simulation and computer programming.
In the past, I studied limit theorems for multivalued multiparameter processes. |
リボ リ
Libo Li
立命館大学
PostDoc (2013.1-) |
結城 郷
Go YUKI
立命館大学
PostDoc (2013-4.-) |
ソン シャオミン
Song Xiaoming
立命館大学
PostDoc (2013.8-) |
ゾン ジェ
Zhong Zie
立命館大学
PostDoc (2013 8-) |
田中秀幸
Tanaka Hideyuki
立命館大学
博士後期課程D3 (2011.4.-) |
中津智則
Nakatsu Tomonori
立命館大学
博士後期課程D3 (2011.4.-) |
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立入 聖也
Seiya TATEIRI
立命館大学
博士前期課程M2 |
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井之上 翼
Tsubasa INOUE
立命館大学
博士前期課程M2 |
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田口 大
Dai TAGUCHI
立命館大学
博士前期課程M2 |
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市成 広樹
Hiroki ICHINARI
立命館大学
博士前期課程M2 |
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田中 佑弥
Yuya TANAKA
立命館大学
博士前期課程M1 |
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岩元 駿介
Shunsuke IWAMOTO
立命館大学
博士前期課程M1 |
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松畑 諒
Ryo MATSUHATA
立命館大学
博士前期課程M1 |
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