Main Interests: problems around mathematical finance
Preprints:
Forthcoming:
Published Papers (Peer-Reviewed):
"Notes on backward stochastic differential equations for computing XVA" (joint work with Akihiro Tanaka, to appear in the Proceedings of the Forum "Math-for-Industry" 2018, Big Data Analysis, AI, Fintech, Math in Finance and Economics, Springer, 2021, 15--50).
"On optimal thresholds for pairs trading in a one-dimensional diffusion model" (joint work with Masaaki Fukasawa and Hitomi Maeda, The ANZIAM Journal, 63(2), 2021, 104--122)
"Stochastic modelling with randomised Markov bridges" (joint work with Andrea Macrina; Stochastics, 93(1), 2021, 29--55)
"Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps" (joint work with Hiroaki Hata; Asia-Pacific Financial Markets 24(3), 2017, 221--252)
"Order estimates for the exact Lugannani-Rice expansion" (joint work with Takashi Kato and Kenichi Yoshikawa, Japan Journal on Industrial and Applied Mathematics 33(1), 2016, 25--62)
"A one-factor conditionally linear commodity pricing model under partial information" (joint work with Takashi Kato and Hiromitsu Yamamoto, Asia Pacific Financial Markets 21(2), 2014, 151--174)
"Long-term optimal investment with a generalized drawdown constraint" (SIAM Journal on Financial Mathematics 4(1), 2013, 452–-473)
"Risk-sensitive asset management under a Wishart autoregressive factor model" (joint work with Hiroaki Hata; Journal of Mathematical Finance, 3(1A), 2013, 222--229)
"Optimal portfolio for a highly risk-averse investor: a differential game interpretation" (joint work with Hidehiro Kaise; Risk and Decision Analysis, 3, 2012, 211-–222)
"Long-term optimal portfolios with floor" (Finance and Stochastics, 16(3), 2012, 369--401)
"Risk-sensitive portfolio optimization with two-factor model having a memory effect" (joint work with Tadashi Hayashi; Asia Pacific Financial Markets, 18(4), 2011, 385--403)
"Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem", (joint work with Hiroaki Hata; Applied Mathematics and Optimization, 62(3), 2010, 341--380).
"A note on the risk-premium process in an equilibrium", (International Journal of Theoretical and Applied Finance, 11(7), 2008, 705--716).
"Marginal distribution of some path-dependent stochastic volatility model", (Statistics and Probability Letters, 78, 2008, 1846--1850).
"On a large deviations control for a linear-quadratic model: the complete dual solution". (Gakuto International Series, Mathematica Sciences and Application, 28, Proceedings of 4th JSIAM-SIMAI meeting, 2008, 322--333).
"A note on long-term optimal portfolios under drawdown constraints". (Advances in Applied Probability. 38/2, 2006, pp. 673--692)
"On exponential hedging and related quadratic backward stochastic differential equations". (Applied Mathematics and Optimization. 54/2, 2006, pp. 131--158)
"Solving long term invesmtment problems with Cox-Ingersoll-Ross interest rates". (joint work with Hiroaki Hata; Advances in Mathematical Economics. 8, 2005, pp. 231--255)
"Dynamic minimization of worst conditional expectation of shortfall". (Mathematical Finance. 14/4, 2004, pp. 605--618)
"An approximation for exponential hedging". (ASPM Vol. 41, proceedings of the symposium: "Stochastic Analysis and Related Topics", In honour of Kiyosi Ito, 2004, pp. 279--299)
"On superhedging under delta constraints". (Applied Mathematical Finance. 9, 2002, pp.103-121.)
"Information geometry for symmetric-diffusions". (Potential Analysis. 14, 2001, pp.1-30)
"Forward LIBOR rates models inferred from cap-prices". (Proceedings of the 31st ISCIE Symposium. 63(6), 2000, pp.397-403)
"On a robustness of quantile-hedging: complete-market's case". (Asia-Pacific Financial Markets. 6(2) 1999, pp.195-201)
"Mean-variance-hedging in continuous-time with stochastic-interest-rate". (Stochastics and Stochastics-Reports. 67, 1999, pp.1--17)
"The Hilbert-Riemannian structure of equivalent Gaussian measures associated with the Fisher information". (Osaka J. Math. 32, 1995, pp.71--95)
Non-referred, Survey, or Unpublished Articles:
"On dynamic portfolio insurance techniques" (in Real Option, Ambiguity, Risk and Insurance, IOS Press, Ebooks Series: Studies in Probability, Optimization, and Statistics, vol. 5, Editors: Alain Bensoussan, Shige Peng, Jaeyoung Sung, 2013, pp. 232--254): pdf
"Bayesian optimal power-utility grows hyperbolically in the long run" (joint work with Hideaki Miyata; RIMS Kôkyûroku 1788, "Mathematical Economics", 2012, pp. 62--82) : pdf
"Hedging errors of Leland strategies with time-inhomogeneous rebalancing" (joint work with Junpei Yano)
"Nearly optimal strategies of risk-sensitive portfolio optimization on infinite horizon"
Japanese Articles:
「後退確率微分方程式とその応用 (IV)」(応用数理29(4), 2020, pp. 30--35)
「後退確率微分方程式とその応用 (III)」(応用数理29(3), 2019, pp. 28--33)
「後退確率微分方程式とその応用 (II)」(応用数理29(2), 2019, pp. 31--36)
「後退確率微分方程式とその応用 (I)」(応用数理29(1), 2019, pp. 35--40)
「伊藤確率解析学と数理ファイナンス」(数学セミナー, 2015-9, pp.36--41)
「価格付け・ヘッジング・裁定」(生産と技術, 第64巻, 第3号, 2012, pp. 98--103)
「長期金利のロバストな表現について」 (MTECジャーナル第23号, 2011, pp. 3--32)
「数理ファイナンスに現れる確率過程：確率過程を用いた資産価格過程のモデル化」（数理科学, 2010–4, pp. 44–-50）
「粘性解と数理ファイナンス：確率制御の視点から」（数理科学, 2008-4, pp. 39-–45, 貝瀬秀裕氏と共著)
「均衡価格過程から導出されるリスクプレミアムについて」(「フィナンシャルテクノロジーの過去・現在・未来」, 三菱UFJトラスト投資工学研究所創立２０周年記念論文集, 2007, pp.431-–450)
「動的ポートフォリオ最適化に纏わる問題」(応用数理17(1), 2007, pp.44-–52)
「不確定ボラティリティ下でのデリバティブの複製：数理ファイナンスに現れる非線型偏微分方程式の例」(数理科学, 2000–8, pp. 44–-49)
「数理ファイナンス：数学を駆使するファイナンス、あるいはファイナンスに題材を採った数学？」（数学, 52/1, 2000, pp.77--82）
「カオス分解を用いたキャリブレーション」(「金融工学のフロンティア」MTEC10 周年記念論文集, 1998, pp.55-–75)
Books:
「応用数理ハンドブック (数理ファイナンス・動的ヘッジングの項)」（日本応用数理学会監修, 朝倉書店, 2013)
「朝倉 数学ハンドブック [応用編] (第III編：数理ファイナンス)」（朝倉書店, 2011)
「数理ファイナンス」（培風館, 2007）
「金融工学(第5章)」（大阪大学出版会, 2003）