Syoiti Ninomiya is Professor at Center for Research in Advanced Financial Technology, Tokyo Institute of Technology. His main area of research is Stochastic Differential Equations, in particular methods for numerical calculation of SDE's which appear in financial mathematics. Recently, he has been developing a new numerical integration scheme for SDE's. From 1992 to 1999 he was a researcher of IBM Research, Tokyo Research Laboratory. In that period, he developed a low-discrepancy sequence which enables several thousands times faster calculations of derivative pricing.
Degrees:
BA University of Tokyo 1988 (Faculty of Science, Mathematics)
MS University of Tokyo 1990 (Faculty of Science, Mathematics)
Thesis: ``Fourier-Sato Transformation of pure sheaves''
DR University of Tokyo 1999 (Graduate School of Mathematical Sciences)
Thesis: ``Characterization of low-discrepancy sequences from a view point of Dynamical Systems''(in Japanese)
Appointments:
1992/Apr -- 1999/Mar: Researcher, IBM Research Tokyo Research Laboratory
1999/Apr -- 2005/Mar: Associate Professor, Center for Research in Advanced Financial Technology, Tokyo Institute of Technology
2006/Apr -- 2010/Mar: Co-operating scientist, JSPS (Japan Society for the Promotion of Science) Core-to-Core Program ``New Developments of Arithmetic Geometry, Motive, Galois Theory, and Their Practical Applications''
2005/Mar -- 2016/Mar: Professor, Center for Research in Advanced Financial Technology, Tokyo Institute of Technology and Professor, Graduate School of Innovation Management, Tokyo Institute of Technology
2016/Apr -- Date: Professor, Department of Mathematics, School of Science, and Center for Research in Advanced Financial Science, Tokyo Institute of Technology
``Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing'' (with Yuji Shinozaki), Applied Mathematical Finance, vol 26. No. 3, pp.257--292 (2019)
``A new higher-order weak approximation scheme of stochastic differential equations and the Runge-Kutta method'' (with Mariko Ninomiya), Finance and Stochastics vol. 13, No. 3 (September, 2009), pp. 415--443. (Errata is provided on this page)
``Weak approximation of stochastic differential equations and application to derivative pricing'' (with Nicolas Victoir)
Applied Mathematical Finance, vol. 15, No. 2, pp. 107--121 (April 2008)
``A new simulation method of diffusion processes applied to Finance'' (with Shigeo Kusuoka)
Stochastic processes and application to mathematical finance, Proceedings of the Ritsumeikan International Symposium (Edited by J. Akahori, S. Ogawa, S. Watanabe) pp. 233--253 (July, 2004).
``A partial sampling method applied to the Kusuoka approximation''
Monte Carlo Methods and Applications 9, (2003), pp. 27--38.
`` A new simulation scheme of diffusion processes: application of the Kusuoka approximation to finance problems'' Mathematics and Computers in Simulation Vol.62/3-6 (March, 2003), pp. 479--486.
``The generalized van der Corput sequence and its application to numerical integration.'' (with T. Fujita and Sh. Ito)
Monte Carlo Methods and Applications 8, (2002), pp. 149--158
``Symbolical and geometrical characterizations of Kronecker sequences by using the accelerated Brun algorithm'' (with T. Fujita and Sh. Ito)
Journal of Mathematical Sciences, The University of Tokyo Vol. 7 (2000), pp. 163--193.
``On the discrepancy of the β-adic van der Corput sequences''
Journal of Mathematical Sciences, The University of Tokyo Vol. 5 (1998), pp. 345--366.
``Constructing a new class of low-discrepancy sequences by using the β-adic transformations'',
Mathematics and Computers in Simulation Vol. 47, pp. 405--420 (August, 1998)
``Analysis of the anomaly of ran1() generator in Monte Carlo Pricing of Financial Derivatives'', (with A. Tajima and S. Tezuka),
Journal of the Operating Research Society of Japan Vol. 41, No. 3, (September 1998), pp. 387--397.
``Toward real-time pricing of complex financial derivatives'' (with S. Tezuka), Applied Mathematical Finance 3, 1--20 (1996), DOI:10.1080/13504869600000001
``Fourier--Sato Transformation of pure sheaves''
Journal of The Faculty of Science, The University of Tokyo Sec. IA Vol. 38, No. 1, pp. 185-207 (March, 1991)
Numerical stochastic integration system
United States Patent 6879974
US Patent issued on April 12, 2005
Quasi-random number generation apparatus and method, and multiple integration apparatus and method of function f
United States Patent, Patent Number: 5,872,725
US Patent Issued on February 16, 1999
Method and Apparatus for generating low-discrepancy sequence, as well as apparatus and method for calculating multiple integral of function F,
United States Patent, Patent Number: 5,790,442
Date of Patent: Aug. 4, 1998
Spectrum Coding
97309191.1-2201 (EU, Patent Nr)
Date of filing: 14.11.97
Priority: JP/27.11.96/ JP/316105/96
Title: Data hiding method and data extracting method
Designated states: AT BE CH DE DK ES FI FR GB GR IE IT LI LU MC NL PT SE
``Patch dividing algorithms for high-order recombination and its application to weak approximations of stochastic differential equations'' (with Yuji Shinozaki), Workshop on probabilistic methods, sigunatures, cubature and geometry (2023/01/9-11 at York University, York, UK)
篠崎裕司, 二宮祥一,再結合測度法による確率微分方程式の弱近似の効率化,日本数学会 2022年度年会,2022年
二宮祥一,Estimating the lead/lag between asset price processes -- a new approach (1),金融リスクの計測・管理・制御と資本市場に纏わる諸問題,2014年
syoiti ninomiya,A new semi-closed form solutions to some financial problems: a note on Bayer-Friz-Loeffen’s work,Rough Paths and PDEs,2012年
syoiti ninomiya,On the higher-order weak approximation of SDEs,The third workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs,2012年
syoiti ninomiya,QMC and Higher order methods for SDEs,Workshop for Quasi-Monte Carlo and Pseudo Random Number Generation,2012年
``The higher-order weak approximation algorithms for SDEs'' (with Shigeo Kusuoka and Mariko Ninomiya), The second workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs, 2011/9/26---29, (Imperial College, London, UK) URL https://sites.google.com/view/pmscg2023/home
``Some trials on extending the higher-order weak approximation algorithms for SDEs'' (with Shigeo Kusuoka and Mariko Ninomiya), Workshop rough paths and numerical integration methods, 2011/9/21---23, (Philipps Universitat, Marburg, Germany)
``Higher-order weak approximation algorithms for SDEs: Some trials on barrier option problem and higher order algorithms'' (with Shigeo Kusuoka and Mariko Ninomiya), Stochastic PDEs, 2011/9/12---16 (ETH Zurich, Zurich)
``On an extension of an algorithm of higher-order weak approximation to SDEs,''(with Mariko Ninomiya), CREST and Sakigake International Symposium: Asymptotic Statistics, Risk and Computation in Finance and Insurance, 2010/12/14---18 (Tokyo Institute of Technology, Ookayama, Tokyo)
``On an extension of a higher-order weak approximation method for SDEs,'' (with Mariko Ninomiya), Workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs, 2010/9/27---29 (Imperial College, London)
``A higher-order weak approximation method of SDEs.'' (with Mariko Ninomiya), Workshop: Computational Finance, 2009/8/10--12 (Research Institute for Mathematical Science, Kyoto)
``A higher-order weak approximation method of SDEs and the Runge--Kutta method,'' (with Mariko Ninomiya), Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance, 2009/2/10---12 (Wolfgang Pauli Institute, Vienna)
``Uniformly distributed sequences and their applications'', Ergodic theory and its applications, 2007/12/19-22 at Keio University (Kanagawa, Japan)
``Applications of Low-discrepancy sequences in practice'', Motives, related topics, applications at Hiroshima University, 2007 March 5-9 (Hiroshima Univ., Hiroshima, Japan)
``On the algorithms for the Kusuoka scheme'', The International Conference on Mathematical Finance and its Applications, 21--23 August 2006 (Kanazawa Univ., Kanazawa, Japan)
``A new weak approximation scheme of stochastic differential equations by using the Runge-Kutta method'', (with Shigeo Kusuoka, Mariko Ninomiya, Presentation by Mariko Ninomiya) Bachelier Finance Society 2006 4th World Congress Tokyo, 2006/8/17--20 (Tokyo)
``Kusuoka Approximation and its application to Finance'', Stochastic Processes and Applications to Mathematical finance 2006, 6--10 March 2006 (Ritsumeikan Univ., Kusatsu, Japan)
``Kusuoka Approximation and its application to Finance'', Numerical Methods in Finance, An Amamef Conference (Supported by the European Science Foundation), 1--3 February 2006 (Paris, INRIA)
``Higher order weak approximation schemes of SDE and their applications to Finance'', Seminaire Bachelier, Paris 28 January 2005 (Paris, The Institut Henri Poincare (IHP))
``Approximation Faible d'EDS par le Schema de Kusuoka et ses Descendants'' (with Nicolas Victoir), 24--27 January 2005 (Paris, INRIA)
``New approximation scheme of diffusion processes and its application to finance'', Oxford University Dep. of Math. Seminar on Probability (Oxford Univ., Oxford UK.) 21 September 2004
``Partial sampling methods applied to the Kusuoka Approximation'', Stochastic Control and Mathematical Finance 31 October--1 November 2003 (Osaka, Japan)
``An application of the Kusuoka approximation to finance'', IVth IMACS Seminar on Monte Carlo Methods (MCM2003) 15--19 September 2003, (Berlin)
``A new simulation method of diffusion processes applied to finance,'' Stochastic Processes and Applications to Mathematical Finance 2003 5--9 March 2003 (Kusatsu, Ritsmeikan Univ.)
``Partial sampling methods applied to the Kusuoka approximation'', June 17--28, 2008 WORKSHOP ON RANDOM NUMBER GENERATORS AND HIGHLY UNIFORM POINT SETS (Montreal, Canada)
``Kusuoka's simulation scheme applied to finance problems'', Satellite Conference of International Congress of Mathematics 2002, The 3rd. Colloquium on Backward Stochastic Differential Equations, Finance and Applications August 29--September 2, 2002 (Weihai, China)
``Partial sampling problem in the Kusuoka approximation,'' 5th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC2002) 25--28 November 2002, (Singapore)
``A new simulation scheme: Application of the Kusuoka approximation to Finance Problems,'' 2001/Sep/10 -- 14 3rd. IMACS Seminar on Monte Carlo methods, MCM2001 in Salzburg (Austria)
``Generalized van der Corput sequence and its application to Numerical Integration,'' 2000/Nov/27 -- Dec/1 ``Monte Carlo and Quasi-Monte Carlo Methods 2000'' in Hong Kong (China)
``Kronecker sequences, accelerated Brun's alghorithm, and stepped surfaces,'' 1999/June/9 -- 11 ``The 2nd. IMACS Seminar on Monte Carlo Methods'' in Varna (Bulgaria)
``On the discrepancy of β-adic van der Corput sequences,'' 1997/Sep/27 XIV. Austrian Congress of Mathematics at Salzburg
``Constructing a new class of low-discrepancy sequences by using an ergodic transformation,'' 1997/Apr/1--3 ``IMACS Seminar on Monte Carlo Methods'' at Brussels (ULB)
``Acceleration of the pricing of MBSs by QMC methods,'' with MIZUHO-DL Financial Technology
Term: 2004/4/1--2004/6/30
``Derivative Pricing based on the Kusuoka Approximation,'' with MIZUHO-DL Financial Technology
Term: 2005/7/19--2006/3/31
``Research on the models for commodity derivatives,'' with CHUBU Electric Power
Term: 2007/10/1 -- 2008/3/31
2010/Apr/1--2013/Mar/31
Ministry of Education, Science, Sports and Culture, Grant-in-Aid for Scientific Research (C) 22540115
2006/Apr/1--2010/Mar/31
Ministry of Education, Science, Sports and Culture, Grant-in-Aid for Scientific Research (C) 18540113
2003/Apr/1--2006/Mar/31
Ministry of Education, Science, Sports and Culture, Grant-in-Aid for Scientific Research (C) 15540110
2000/Apr/1--2002/Mar/31
Ministry of Education, Science, Sports and Culture, Grant-in-Aid for Scientific Research (C) 12650061
2008/Apr/1--2013/Mar/31
Ministry of Education, Science, Sports and Culture, Grant-in-Aid for Scientific Research (B) 20241038
2006/Apr/1--2009/Mar/31
Ministry of Education, Science, Sports and Culture, Grant-in-Aid for Scientific Research (B) 18300094
2004/Apr/1--2008/Mar/31
Ministry of Education, Science, Sports and Culture, Grant-in-Aid for Scientific Research (B) 16201033
JSPS Researcher ID: 70313377
ResearcherID (http://www.researcherid.com/): D-8747-2012