研究者学術情報データベース

アカホリ　ジロウ
赤堀　次郎
AKAHORI Jiro

所属理工学部数理科学科

職名教授

学会発表
1.	2024/08/10	Portfolio optimization in the presence of illiquid assets in a finite time horizon (The 8th Asian Quantitative Finance Conference)
2.	2024/08	Fourier Malliavin-Mancino volatility estimators–Separating information (Korea-Japan Mathematical Finance Conference)
3.	2024/07/12	Continuous-time stochastic analogues of DICE models (Statistical Learning Methods for Dynamical Modeling and Applications)
4.	2024/01/27	ポリアの壺タイプの二項モデルについて (中央大学企業研究所公開研究会)
5.	2023/11/22	Continuous-time DICE type models (Stochastic Modelling in Climate Risk: Financial Mathematics and Economic)
6.	2023/05/06	Recent advances in Malliavin-Mancino's Fourier method for non-parametric estimation of volatility. (2023 Spring Probability Workshop in Taiwan)
7.	2023/05/04	Yet another representation of martingales (Probability Seminar)
8.	2023/04/15	Algebraic Stochastic Calculus (AMS Spring Central Sectional Meeting)
9.	2022/10/31	Some thoughts on diffusion estimation (Mathematics of Risk – 2022)
10.	2022/05/13	On limit theorems of Mallivan-Mancino’s Fourier estimator (2022 SKKU International Conference: Trends in Digital Economy and Finance)
11.	2021/12/20	Market Simulator Driven by Malliavin-Mancino Method (2021 KAFE-SKKU International Conference on Finance)
12.	2021/06/23	変分不等式/自由境界値問題のDeep Solverについて (金沢大学数理学談話会)
13.	2021/05/20	On “rough” Quadratic Wiener Functionals (AIMS Ghana's Online Research Seminar Serie)
14.	2020/09/16	Thermodynamic Approach to Whole-Life Insurance: An Evaluation Method of Surrender Risk (IFAM seminar)
15.	2019/07/11	Randomization of Option Price (Probability, Uncertainty and Quantitative Risk)
16.	2019/07/09	A heat kernel type expansion for "rough" quadratic Wiener functionals and related topics (2019 IMS-China International Conference on Statistics and Probability)
17.	2019/04/04	Introduction to Malliavin-Mancino Fourier estimation method (The International Conference on Applied Probability and Statistics (CAPS 2019))
18.	2019/03/19	Default Contagion with Domino Effect (4th Berlin-Princeton-Singapore Workshop on Quantitative Finance)
19.	2018/12/11	Polya Urn in Finance (Quantitative Methods in Finance 2018 Conference)
20.	2018/12/08	On the law of Square Integral of Fractional Brownian Motion (The 7th Ritsumeikan Monash Symposium on Probability and Related Field)
21.	2018/09/14	On the Law of Square Integral of Fractional Brownian Motion (Stochastic processes with applications in finance and related fields)
22.	2018/09/05	Another View of the Riccatti equations arising in Affine Class in Finance (SECOND INTERDISCIPLINARY AND RESEARCH ALUMNI SYMPOSIUM)
23.	2018/08/31	Mathematics of Interest (The 1st Ritsumeikan-Sookmyung Mathematics Conference)
24.	2018/08/06	Diffusion Estimation with Fourier Method (International Conference on Mathematical Finance & Symposium on the Role of Mathematical Finance on FinTech Business)
25.	2018/08/03	Introduction to Malliavin-Mancino Fourier estimation method (Sookmyung Math Finance Conference)
26.	2018/07/05	Stochastic Volatility Models of Quadratic Volterra Gaussian Type (Workshop on Stochastic Analysis and Related Topics)
27.	2018/03/31	Stochastic Calculus of General Equilibrium (Workshop on Stochastic Control and Related Issues)
28.	2017/12/01	Stochastic Volatility Models of Quadratic Volterra Gaussian Type (金融工学・数理計量ファイナンスの諸問題 2017)
29.	2017/10/17	Supersymmetry in Wiener Space (Stochastic Analysis and Related Fields)
30.	2017/07/06	Another integration by parts in Wiener space (Probability Seminar)
31.	2017/06/29	A modification of Malliavin-Mancino’s Fourier estimation method (Probability Seminar at Academia Sinica)
32.	2017/04/24	A Structural Model for Default Contagion (The Fifth Asian Quantitative Finance Conference)
33.	2017/03/30	An Order-1 Markov Chain Approximation of Symmetrized Diffusion Processes (Osaka-UCL Workshop on Stochastics, Numerics and Risk)
34.	2016/12/09	Some Results on Fractional Brownian Motions (Sookmyung Women's University Financial Mathematics Seminar)
35.	2016/04/28	Probabilistic Representation of Tau Functions (Workshop on SDEs and Stochastic Processes)
36.	2016/04/01	Remarks on Malliavain-Mancino's Fourier Estimation Method (2016 First Seoul-Tokyo-Stanford Workshop on Financial Statistics and Risk Management)
37.	2016/03/17	Ito atlas and around (No Free Lunch seminar, Scuola Normale Superiore)
38.	2016/03/14	Statistical Estimation of Diffusion Processes (Probability Seminar, University of Parma)
39.	2016/01/19	A Macro-Economic Approach to Option Pricing (Sookmyung Women's University Financial Mathematics Seminar)
40.	2016/01/18	An Introduction to Discrete Stochastic Calculus (Sookmyung Women's University Financial Mathematics Seminar)
41.	2015/10/23	On static hedge of barrier options (Probability Seminar at University of Cincinnati)
42.	2015/10/20	A probabilistic approach to Sato Grassmanian (Purdue University Probability Seminar)
43.	2015/10/15	Hedging Error as a Timing Risk and its Static Hedge (Financial/Actuarial Mathematics seminar, Michigan University)
44.	2015/10/05	Hyperbolic Brownian motion in finance (Drexel Math Colloquium)
45.	2015/10/02	Hedging Error as a Timing Risk and its Static Hedge (Columbia-JAFEE Conference 2015)
46.	2015/07/07	Asymptotic and Exact Semi-Static Hedges of Barrier Options (The Third Asian Quantitative Finance Conference)
47.	2015/03/27	Statistical Estimation of Diffusion Processes (5th Ritsumeikan-Monash Symposium on Probability and Related Fields)
48.	2015/03/16	Asymptotic and Exact Semi-Static Hedges (WORKSHOP ON "MATHEMATICAL FINANCE AND RELATED ISSUES)
49.	2014/12/20	On a Generalization of Malliavin-Mancino's Fourier Estimation Method (The Quantitative Methods in Finance 2014 Conference)
50.	2014/12/08	Fourier estimation method with positive semi-definite estimators (The 8th International Conference on Computational and Financial Econometrics)
51.	2014/12/01	Parametrix of Static Hedge (of a Timing Risk) (2014 Actuarial Teachers' and Researchers' Conference)
52.	2014/09/26	On a Generalization of Malliavin-Mancino's Fourier Estimation Method (NUS-UTokyo Workshop on Quantitative Finance)
53.	2014/07/14	A multi-period coherent risk measure defined in terms of sample quantiles (International Workshop on Risk Analysis, Ruin and Extremes)
54.	2014/02/25	A Modification of the Fourier Method (Stochastic Processes and Mathemtcal Finance)
55.	2013/08/19	Algebraic proof of anticipative Girsanov-Maruyama formula (ON QUANTUM INFORMATION THEORY AND RELATED TOPICS)
56.	2012/09/24	An Algebraic Approach to the Ramer-Kusuoka Formula (Perspectives in Analysis and Probability. Conference in Honor of Freddy Delbaen)
57.	2012/06/27	On a Symmetrization of Diffusion Processes (Quantitative Methods in Finance)
58.	2012/06/15	Sato's Grassmanian in Wiener space (3rd Monash-Ritsumeikan Symposium on Probability and Related Fields)
59.	2012/01/25	Solitons via Stochastic Areas (Rough Path解析とその周辺)
60.	2011/12/22	Fourier Analysis Applied to Finance (INTERNATIONAL CONFERENCE IN MATHEMATICS AND APPLICATIONS)
61.	2011/11/06	離散クラーク公式（ガウス型・ポアソン型）とその応用 (第一回数理ファイナンス合宿型セミナー)
62.	2011/09/08	Pricing Kernel 概説 (第二回デリバティブ部会セミナー)
63.	2011/03/14	On the validity of principal component analysis applied to the term structure of interest rates (Parma Seminar on Economics and Finance)
64.	2011/03/07	A Discrete Version of Clarck-Ocone Formula (Seminar on Financial Stochastic Models in Ecole Polytechnique)
65.	2010/12/16	Heat Kernel Approach to Interest Rate Modelling (Quantitative Methods in Finance - 2010 Conference)
66.	2010/12/13	On a discrete version of the Clark-Ocone formula (Seminar on Mathematical Finance, University of Technology Sydney)
67.	2010/02/17	Solitons via Stochastic Areas (International Workshop on Mathematical Finance, Topics on Leading-edge Numerical Procedures and Models)
68.	2009/11/17	Static Hedging in Supermarkets (Thông báo Seminar Thống kê)
69.	2009/08/11	Action of affine Lie algebras on Wiener functionals (Workshop : "Computational Finance)
70.	2009/08/05	A Heat Kerneal Approach to Interest Rate Models (Congress : "Stochastic Analysis for and from Finance" (SAFFF))
71.	2009/03/19	Thermodynamic Approach to Equilibrium in Insurance Markets (Talks in Financial and Insurance Mathematics)
72.	2009/03/12	Thermodynamic approach to life insurance (First Florence - Ritsumeikan Workshop on Finance and Risk Theory)
73.	2009/01/22	明示的な解を持つ確率制御問題について (科研費研究集会「数理ファイナンスとその周辺」)
74.	2008/12/12	Anti-symmetric Malliavin calculus and its application (Monash-Ritsumeikan Symposium on Probability and Related Fields)
75.	2008/12/06	Constructing Interest Rate Models with Jumps by Heat Kernel Approach (中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題 2008」)
76.	2008/12/01	Antisymmetric Malliavin calculus and solitons (Stochastic Problems and Nonlinear PDEs)
77.	2008/03/17	A Structural Approach to Transparency Risks (The 8th JAFEE-Columbia International Symposium, workshop at Tokyo)
78.	2008/03/08	OU過程の２次形式に対する主成分分析について (応用数理学会連合部会)
79.	2008/02/13	信用リスクモデルとそのキャリブレーション (第２回数理ファイナンス大規模シミュレーションセミナー)
80.	2008/01/25	Remarks on principal component analysis of term structure of interest rates (科研費研究集会「数理ファイナンスとその周辺」)
81.	2007/10/26	反対称マリアヴァン解析によるソリトン解の構成について (岡山大学秋の特別セミナー)
82.	2007/09/05	数理ファイナンスにおけるキャリブレーションについて (第1回数理ファイナンス大規模シミュレーションセミナー)
83.	2007/03/20	Antisymmetric Malliavin calculus and its applications (Financial and Actuarial Mathematics at Vienna University of Technology,)
84.	2007/03/09	Quadratic term structure models and related topics (Seminaire Bachelier)
85.	2006/07	Discrete Ito Formulas and Their　Applications to Finance (15th MSJ International Research Institute 11th International Conference on Difference Equations and Applications)
86.	2006/02/23	ファイナンスにおける格子モデルについて-完備性，金利モデル，差分近似，モンテカルロ法- (日本応用数理学会数理ファイナンス研究部会研究集会)
87.	2005/12	Tsirelson's thin air in a laboratory (Recent Advances in Operator Theory and Operator Algebras III)
88.	1999/03	On Quasi-Gaussian Interest-Rate Models (Columbia-JAFEE Conference on the Mathematics of Finance)