Research

Main Interests:   problems around mathematical finance

Preprints:

  1. "Filtering with randomised Markov bridges" (joint work with Andrea Macrina): pdf
  2. "Order estimates for the exact Lugannani-Rice expansion" (joint work with Takashi Kato and Kenichi Yoshikawa): arXiv
  3. "Nearly optimal strategies of risk-sensitive portfolio optimization on infinite horizon" (submitted, under revision)
  4. "Hedging errors of Leland strategies with time-inhomogeneous rebalancing" (joint work with Junpei Yano; submitted, under revision)
Forthcoming:

Published Papers (Peer-Reviewed):
  1. "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)
  2. "Long-term optimal investment with a generalized drawdown constraint" (SIAM Journal on Financial Mathematics 4(1), 2013, 452–-473)
  3. "Risk-sensitive asset management under a Wishart autoregressive factor model" (joint work with Hiroaki Hata; Journal of Mathematical Finance, 3(1A), 2013, 222--229)
  4. "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)
  5. "Long-term optimal portfolios with floor" (Finance and Stochastics, 16(3), 2012, 369--401)
  6. "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)
  7. "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).
  8. "A note on the risk-premium process in an equilibrium", (International Journal of Theoretical and Applied Finance, 11(7), 2008, 705--716).
  9. "Marginal distribution of some path-dependent stochastic volatility model", (Statistics and Probability Letters, 78, 2008, 1846--1850).
  10. "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).
  11. "A note on long-term optimal portfolios under drawdown constraints". (Advances in Applied Probability. 38/2, 2006, pp. 673--692)
  12. "On exponential hedging and related quadratic backward stochastic differential equations". (Applied Mathematics and Optimization. 54/2, 2006, pp. 131--158)
  13. "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)
  14. "Dynamic minimization of worst conditional expectation of shortfall". (Mathematical Finance. 14/4, 2004, pp. 605--618)
  15. "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)
  16. "On superhedging under delta constraints". (Applied Mathematical Finance. 9, 2002, pp.103-121.)
  17. "Information geometry for symmetric-diffusions". (Potential Analysis. 14, 2001, pp.1-30)
  18. "Forward LIBOR rates models inferred from cap-prices". (Proceedings of the 31st ISCIE Symposium. 63(6), 2000, pp.397-403)
  19. "On a robustness of quantile-hedging: complete-market's case". (Asia-Pacific Financial Markets. 6(2) 1999, pp.195-201)
  20. "Mean-variance-hedging in continuous-time with stochastic-interest-rate". (Stochastics and Stochastics-Reports. 67, 1999, pp.1--17)
  21. "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:
  1. "Risk-sensitive asset management with Wishart-autoregressive-type factor model" (joint work with Hiroaki Hata): pdf
  2. "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
  3. "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
Japanese Articles:
  1. 「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)
  2. 「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)
  3. 「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)
  4. 「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, 貝瀬秀裕と共著)
  5. 「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)
  6. 「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)
  7. 「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)
  8. 「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:
  1. 「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)
  2. 「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)
  3. 「数理ファイナンス」(培風館, 2007)
  4. 「金融工学(第5章)」(大阪大学出版会, 2003)
Talks (after 2011):
  1. "Utility maximization with floor constraint: a dual approach" (NUS-UParis Diderot Workshop on Quantitative Finance, NUS, Singapore, Feb. 2015)
  2. "Prediction with noisy anticipation" (大阪大学確率論セミナー, Nov. 2014)
  3. "Prediction with noisy anticipation and its application in finance" (慶應義塾大学理工学部数理科学科談話会, Oct. 2014)
  4. "Utility maximization with floor constraint: a dual approach" (Seminar on Finance, Universita di Pisa, June 2014)
  5. "Utility maximization with floor constraint: a dual approach" (International Conference on Portfolio Selection and Asset Pricing, Kyoto University, Mar. 2014)
  6. "Utility maximization with floor constraint: a dual approach" (Stochastic Processes and Mathematical Finance, Kansai University, Feb. 2014)
  7. "Wishart型行列ファクター過程モデルに関する動的ポートフォリオ最適化" (ワークショップ「正定対称行列をめぐるモデリング・数理・アルゴリズムの世界」, 政策研究大学院大学, 2014年1月)
  8. "Utility maximization with floor constraint" (数理経済学会研究集会「経済の数理解析」, 慶應義塾大学, 2013年12月)
  9. "Utility maximization with floor constraint" (Stochastic Processes and Their Statistics in Finance in Okinawa, Oct. 2013)
  10. "Utility maximization for a derivative security with discrete stopping time horizon" (59th World Statistics Congress, Hong-Kong, Aug. 2013)
  11. "Long-term optimal portfolios with drawdown constraint" (京都大学数理解析研究所談話会, 2013年6月)
  12. "Long-term optimal investment with drawdown constraint" (Seminar, Libera Universita Internazionale Degli Studi Sociali, Roma, May 2013)
  13. "効用最大化に関するサーベイ" (確率論早春セミナー, 関西大学, 2013年3月)
  14. "Sensitivity analysis for utility maximization via an associated FB-system of SDE" (Workshop on Finance, Stochastics and Asymptotic Analysis, CSFI, Osaka Univ, Feb. 2013)
  15. "An approximation for utility maximization via an associated FB-system of SDE" (The First Asian Quantitative Finance Conference, NUS, Singapore, Jan. 2013)
  16. "An approximation for utility maximization via an associated FBSDE" (Analysis and Control of Stochastic Partial Differential Equations, Shanghai, Fudan University, Dec. 2012)
  17. "非線形富過程を用いた価格付けと期待効用最大化に対するFBSDEアプローチについて" (第二回数理ファイナンス合宿型セミナー, 大橋会館, 2012年11月)
  18. "Nearly optimal strategies for risk-sensitive portfolio optimization on infinite horizon" (Conference in Honer of Freddy Delbaen, ETH Zürich, Sep. 2012)
  19. "From quantile hedging to large deviations controls in the long run" (Seminar in Department of Mathematics of NCU, Taiwan, March 2012)
  20. "On hyperbolic growth of long-term Bayesian optimal power-utility" (Workshop on Stochastic Processes and Their Applications, NCTS, Hsinchu, Taiwan, March 2012) : pdf
  21. "Long-term optimal investment with a generalized drawdown constraint" (Winter Workshop on Finance 2012, 北海道大学, 2012年2月)
  22. "長期金利のロバストな表現について"(経済の数理解析, 同志社大学, 2011年10月)
  23. "Wishart自己回帰型ファクターモデルを用いた動的ポートフォリオ最適化" (日本応用数理学会2011年度年会, 同志社大学, 2011年9月)
  24. "Long-term optimal portfolios with state constraints" (SIAM Conference on Control & Its Applications, Baltimore, July 2011)
  25. "From quantile hedging to large deviations controls with long horizon" (APS Conference, KTH, Stockholm, July 2011)
  26. "Long-term optimal portfolios with state constraints" (2nd NTH Workshop on Finance and Insurancwe Mathematics, Braunschweig, June-July 2011)
  27. "Long-term optimal portfolios with floor" (4th Financial Risks International Forum, Paris, March 2011)
  28. "Risk-sensitive portfolio optimization with small noise and large risk aversion" (5th Bachelier Colloquium, Metabief, Jan. 2011)

 
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Jun Sekine,
8 Sep 2012, 10:04
Ċ
Jun Sekine,
7 Jul 2014, 20:33
Ċ
Jun Sekine,
5 Mar 2012, 00:56
Ċ
Jun Sekine,
25 May 2013, 03:01
Ċ
Jun Sekine,
15 Mar 2012, 06:41
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