入ゼミ試験/レポートの過去問
2019年度 2020年度A日程 2020年度B日程 2023年度A日程 2023年度B日程 2024年度 2025年度なお、2020年度までは試験、2023年度以降はレポートで選考しています。また、2021年度、2022年度はゼミ生を募集しませんでした。
2025年度講義情報
| 講義名 | 学期 | |
| 解析学 2a | 春 | 講義ノート |
| 解析学 2b | 秋 | 講義ノートは9月ごろに公開 (参考: 2024年度講義ノート) |
| ファイナンス論 a/b | 春/秋 | 講義ノート |
Preprints
- Numerical analysis on locally risk-minimizing strategies for Barndorff-Nielsen and Shephard models, preprint, 2025. arXiv
Publications
- Option pricing for Barndorff-Nielsen and Shephard model by supervised deep learning, International Journal of Financial Engineering, vol. 12, 2450011, 2025 (with Y. Imai). arXiv
- A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes, Journal of Applied Probability, vol. 61, pp.1196-1198, 2024 (with Y. Imai).
- Constrained optimal stopping under a regime-switching model, Journal of Applied Probability, vol. 61, pp.1220-1239, 2024 (with M. Takenaka). arXiv
- Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure, Mathematics and Computers in Simulation, vol. 218, pp.223-234, 2024 (with Y. Imai). arXiv
- Deep learning-based option pricing for Barndorff-Nielsen and Shephard model, International Journal of Financial Engineering vol.10, 2350015, 2023.
- Approximate option pricing formula for Barndorff-Nielsen and Shephard model, International Journal of Theoretical and Applied Finance vol. 25, 2250008, 2022. arXiv
- A Clark-Ocone type formula via Ito calculus and its application to finance, Journal of Stochastic Analysis vol. 2, no. 4, article 5, 2021 (with R. Suzuki). arXiv
- Alos type decomposition formula for Barndorff-Nielsen and Shephard model, Journal of Stochastic Analysis vol. 2, no. 2, article 3, 2021. arXiv
- Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models, International Journal of Theoretical and Applied Finance vol.22, 1950043, 2019. arXiv
- Optimal initial capital induced by the optimized certainty equivalent, Insurance: Mathematics and Economics vol.85, pp.115-125, 2019 (with T. Asano and K. Nishide). discussion paper
- A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus, Applied Mathematical Finance vol.25, pp.247-267, 2018 (with Y. Imai). arXiv
- Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models, Advances in Mathematical Economics vol.22, pp.1-24, 2018 (with Y. Imai and R. Nakashima). arXiv
- On the difference between locally risk-minimizing and delta hedging strategies for exponential Levy models, Japan Journal of Industrial and Applied Mathematics vol.34, pp.845-858, 2017 (with Y. Imai). arXiv
- Good deal bounds with convex constraints, International Journal of Theoretical and Applied Finance, vol.20, 1750011, 2017. previous version(arXiv) extended version
- Local risk-minimization for Barndorff-Nielsen and Shephard models, Finance & Stochastics, vol.21, pp.551-592, 2017 (with Y. Imai and R. Suzuki). arXiv
- Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium, Advances in Mathematical Economics, vol.20, pp.3-22, 2016. arXiv
- Numerical analysis on local risk-minimization for exponential Levy models, International Journal of Theoretical and Applied Finance vol.19, 1650008, 2016 (with Y. Imai and R. Suzuki). arXiv
- Comparison of local risk minimization and delta hedging strategy for exponential Levy models, JSIAM Letters, vol.7, pp.77-80, 2015 (with Y. Imai).
- Local risk-minimization for Levy markets, International Journal of Financial Engineering, vol.2, 1550015, 2015 (with R. Suzuki).
- Convex risk measures for cadlag processes on Orlicz spaces, SIAM Journal on Financial Mathematics, vol.5, pp.609-625, 2014.
- Minimization of hedging error on Orlicz space, Proceedings of Actuarial and Financial Mathematics Conference, 2014, pp.3-14, 2014 (with T. Choulli).
- Convex risk measures for good deal bounds, Mathematical Finance, vol.24, pp.464-484, 2014 (with M. Fukasawa).
- Good deal bounds induced by shortfall risk, SIAM Journal on Financial Mathematics, vol.2, pp.1-21, 2011.
- How much can investors discount?, Advances in Mathematical Economics, vol.14, pp.1-16, 2011 (with T. Suzuki).
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall, Mathematics and Financial Economics, vol.3, pp.73-88, 2010.
- q-optimal martingale measures for discrete time models, Asia Pacific Financial Markets, vol.15, pp.155-173, 2008 (with M. Kawaguchi).
- L^p-projections of random variables and its application to finance, International Journal of Theoretical and Applied Finance, vol.11, pp.869-888, 2008.
- Optimal hedging strategies on asymmetric functions, Advances in Mathematical Economics, vol.11, pp.1-10, 2008.
- An approximate approach to the exponential utility indifference valuation, International Journal of Theoretical and Applied Finance, vol.10, pp.475-503, 2007.
- Some properties of the variance-optimal martingale measure for discontinuous semimartingales, Statistics & Probability Letters, vol.74, pp.163-170, 2005.
- Some remarks on mean-variance hedging for discontinuous asset price processes, International Journal of Theoretical and Applied Finance, vol.8, pp.425-443, 2005.
- An extension of mean-variance hedging to the discontinuous case, Finance & Stochastics, vol.9, pp.129-139, 2005.
- Minimal martingale measures for jump diffusion processes, Journal of Applied Probability, vol.41, pp.263-270, 2004.
- Mean-variance hedging for discontinuous semimartingales, Tokyo Journal of Mathematics, vol.25, pp.435-452, 2002.
- The p-optimal martingale measure in continuous trading models, Statistics & Probability Letters, vol.54, pp.93-99, 2001.
- The relations between minimal martingale measure and minimal entropy martingale measure, Asia Pacific Financial Markets, vol.8, pp.167-177, 2001.
- A class of semi-selfsimilar processes related to random walks in random scenery, Tokyo Journal of Mathematics, vol.24, pp.69-85, 2001.