Past Seminars

Fall 2018

  • 30, October, 2018    Hideyuki Takada    (Toho University)
                          Introduction to Geometric Arbitrage Theory

  • 27, November, 2018    Katsumasa Nishide    (Hitotsubashi University)
                          Default Contagion and Systemic Risk in the Presence of Credit Default Swaps

  • 25, December, 2018    Rei Yamamoto    (Keio University)
                          An Empirical Analysis of Corporate Governance

Spring 2018

  • 15, May, 2018    Suguru Yamanaka    (Musashino University)
                          Credit risk assessment using purchase order information

  • 23, May, 2018    Tomonori Nakatsu    (Shibaura Institute of Technology)
                          Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations

Fall 2017

  • 23, October, 2017    Yuji Shinozaki    (Tokyo Institute of Technology/Bank of Tokyo-Mitsubishi UFJ)
                          Construction of K-scheme and its application to financial models

  • 17, October, 2017    Akihiro Tsuji    (MTEC)
                          Textual Analysis on the Summary of Financial Statements (kessan-tanshin) of Japanese Companies and its application to Earnings Forecasts

  • 10, October, 2017    Hiroshi Ishijima    (Chuo University)
                          A Generalized Hedonic Pricing Model: Theory and Applications

Spring 2017

  • 13, June, 2017    Takahiro Hattori    (Policy Research Institute, Ministry of Finance, Japan)
                          The estimation of liquidity premium in the fixed income markets and its application

  • 23, May, 2017    Simon Clinet    (University of Tokyo)
                          Statistical inference for the doubly stochastic Hawkes process in high-frequency financial data

  • 9, May, 2017    Akira Yamazaki    (Hosei University)
                          A Dynamic Equilibrium Model for U-Shaped Pricing Kernels

  • 18, April, 2017    Hidetoshi Nakagawa    (Hitotsubashi University)
                          A visualization of bankruptcy risk contagion structure of Japanese firms with Hawkes graph estimation

Fall 2016

  • 27, December, 2016    Kenji Suganuma    (Bank of Japan)
                          Forward rate models under negative interest rate environment

  • 08, November, 2016    Freddy Delbaen    (ETH Zurich)
                          Risk Measures on Orlicz spaces: some new characterisation of convex closed sets

  • 25, October, 2016    Yuri Imamura    (Tokyo University of Science)
                          The Value of Timing Risk

  • 13, September, 2016    Paul Embrechts    (ETH Zurich)
                          Hawkes Graphs (This was held as a seminar for the Keio Economic Society)

Spring 2016

  • 05, July, 2016    Yuto Imai    (Waseda University)
                          Numerical approaches to local risk-minimization for exponential Levy models

  • 14, June, 2016    Kensuke Ishitani    (Tokyo Metropolitan University)
                          Computation of Greeks for barrier options using chain rules for Wiener path integrals between two curves

  • 17, May, 2016    Yasutaka Shimizu    (Waseda University)
                          Insurance mathematics and Gerber-Shiu analysis: applications and a statistical point of view

Fall 2015

  • 22, December, 2015    Kenichiro Shiraya    (University of Tokyo)
                          Variance Reduction for Multi-Asset Options

  • 17, November, 2015    Toshinao Yoshiba    (Bank of Japan)
                          Maximum likelihood estimation of skew-t copulas and its applications to financial econometrics

  • 06, October, 2015    Teppei Ogihara    (Institute of Statistical Mathematics, Japan)
                          Statistical inference theory for asset risk quatity by high-frequency data

Spring 2015

  • 23, June, 2015    Toshihiro Yamada    (Hitotsubashi University)
                          A new second order weak approximation of SDEs

  • 26, May, 2015    Hideatsu Tsukahara    (Seijo University)
                          Distortion Risk Measures in Action

  • 12, May, 2015    Keita Owari    (University of Tokyo)
                          Robust Utility Indifference Valuation Revisited: A View from Optimal Transport

  • 28, April, 2015    Junichi Imai    (Keio University)
                          An Efficient Numerical Procedure for Financial Engineering Using Quasi-Monte Carlo Method