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- Hata Hiroaki
- Graduate School of Business Administration,Department of Business Administration
- Hata Hiroaki
- Curriculum Vitae
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Books and Other Publications
| 1. | 改訂新版 すぐわかる確率・統計
石村園子, 畑宏明 (Joint author) 東京図書 2024.2 (ISBN : 9784489024191) 
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| 2. | 改訂新版 すぐわかる微分方程式
石村園子, 畑宏明 (Joint author) 東京図書 2023.12 (ISBN : 9784489024207)
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| 3. | 改訂新版 すぐわかる線形代数
石村園子, 畑宏明 (Joint author) 東京図書 2023.10 (ISBN : 9784489024122)
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| 4. | 改訂新版 すぐわかる微分積分
石村園子, 畑宏明 (Joint author) 東京図書 2023.4 (ISBN : 9784489024023)
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Papers
| 1. | Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model (Peer-reviewed) Hiroaki Hata, Kazuhiro Yasuda Mathematical Control & Related Fields Vol.14,No.1,pp.16-50 2024.3 
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| 2. | Expected power utility maximization of insurers (Peer-reviewed) Hiroaki Hata, Kazuhiro Yasuda Asia-Pacific Financial Markets 2023.10
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| 3. | A long-term optimal consumption and investment problem with partial information (Peer-reviewed) Hiroaki Hata Mathematical Control and Related Fields 2023.8
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| 4. | 確率的ファクタモデル下での最適消費・投資問題に対するPIA
畑宏明, 安田和弘 京都大学数理解析研究所講究録 Vol.2246 2023.5 |
| 5. | Numerical study for expected power utility maximization of insurers (Peer-reviewed) Hiroaki Hata, Kazuhiro Yasuda Proceedings of the 53th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings) Vol.2022,pp.93-101 2022.8
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| 6. | Expressions of forward starting option price in Hull–White stochastic volatility model (Peer-reviewed) Hiroaki Hata, Nien-Lin Liu, Kazuhiro Yasuda Decisions in Economics and Finance Vol.45,pp.101-135 2022.6
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| 7. | Optimal investment and reinsurance of insurers with lognormal stochastic factor model (Peer-reviewed) Hiroaki Hata, Li-Hsien Sun Mathematical Control & Related Fields Vol.12,No.2,pp.531 2022.6
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| 8. | Risk-sensitive asset management with lognormal interest rates (Peer-reviewed) Hiroaki Hata Asia-Pacific Financial Markets Vol.28,No.2,pp.169-206 2021.5
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| 9. | Optimal investment-consumption-insurance with partial information (Peer-reviewed) Hiroaki Hata Japan Journal of Industrial and Applied Mathematics Vol.37,No.1,pp.309-338 2020.1
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| 10. | Risk-sensitive portfolio optimization problem for a large trader with inside information (Peer-reviewed) Hiroaki Hata Japan Journal of Industrial and Applied Mathematics Vol.35,No.3,pp.1037-1063 2018.10
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| 11. | An optimal consumption problem for general factor models (Peer-reviewed) Hiroaki Hata, Hideo Nagai, Shuenn-Jyi Sheu SIAM Journal on Control and Optimization Vol.56,No.5,pp.3149-3183 2018.9
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| 12. | Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model (Peer-reviewed) Hiroaki Hata, Kazuhiro Yasuda Scandinavian Actuarial Journal Vol.2018,No.5,pp.357-378 2018.5
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| 13. | An optimal consumption and investment problem with partial information (Peer-reviewed) Hiroaki Hata, Shuenn-Jyi Sheu Advances in Applied Probability Vol.50,No.1,pp.131-153 2018.3
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| 14. | Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps (Peer-reviewed) Hiroaki Hata, Jun Sekine Asia-Pacific Financial Markets Vol.24,No.3,pp.221-252 2017.11
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| 15. | An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model
Hiroaki Hata, Kazuhiro Yasuda RIMS Kôkyûroku Vol.2030,No.2030,pp.143-150 2017.5
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| 16. | Risk-sensitive asset management in a general diffusion factor model: risk-seeking case (Peer-reviewed) Hiroaki Hata Japan Journal of Industrial and Applied Mathematics Vol.34,No.1,pp.59-98 2017.4
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| 17. | A market model with medium/long-term effects due to an insider (Peer-reviewed) Hiroaki Hata, Arturo Kohatsu-Higa Quantitative Finance Vol.13,No.3,pp.421-437 2013.3
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| 18. | Risk-sensitive asset management with Wishart-autoregressive-type factor model (Peer-reviewed) Hiroaki Hata, Jun Sekine Journal of Mathematical Finance Vol.3,No.1A,pp.222-229 2013.3 |
| 19. | On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: II. Verification Theorem (Peer-reviewed) Hiroaki Hata, Shuenn-Jyi Sheu SIAM Journal on Control and Optimization Vol.50,No.4,pp.2401-2430 2012
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| 20. | On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: I. Existence of solution (Peer-reviewed) Hiroaki Hata, Shuenn-Jyi Sheu SIAM Journal on Control and Optimization, Vol.50,No.4,pp.2373-2400 2012
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| 21. | ``Down-side risk" large deviations control problem with Cox-Ingersoll-Ross's interest rates (Peer-reviewed) Hiroaki Hata Asia-Pacific Financial Markets Vol.18,No.1,pp.69-87 2011.1
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| 22. | Two Examples of an Insider with Medium/Long Term Effects on the Underlying (Peer-reviewed) Hiroaki Hata, Arturo Kohatsu-Higa 2010 RECENT ADVANCES IN FINANCIAL ENGINEERING pp.19-42 2011 |
| 23. | Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem (Peer-reviewed) Hiroaki Hata, Jun Sekine Applied Mathematics and Optimization Vol.62,No.3,pp.341-380 2010.12
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| 24. | Asymptotics of the probability minimizing a ``Down-side" risk (Peer-reviewed) Hiroaki Hata, Hideo Nagai, Shuenn-Jyi Sheu ANNALS OF APPLIED PROBABILITY Vol.20,No.1,pp.52-89 2010.2
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| 25. | A risk-sensitive stochastic control approach to an optimal investment problem with partial information (Peer-reviewed) Hiroaki Hata, Yasunari Iida Finance and Stochastics Vol.10,No.3,pp.395-426 2006.9
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| 26. | A risk-sensitive stochastic control approach to optimal investment problems (Peer-reviewed) Hiroaki Hata Osaka university 2006.3 |
| 27. | Solving long term optimal investment problems with Cox-Ingersoll-Ross Interest Rates (Peer-reviewed) Hiroaki Hata, Jun Sekine Advances in Mathematical Economics Vol.8,pp.231-255 2006.3
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| 28. | Risk-sensitive filters and their singular limits (Peer-reviewed) Hiroaki Hata Osaka university 2002.3 |
Presentations
| No. | Name of subject/Conference Name | Year | Site |
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| 1. | Expected exponential utility maximization problem with a nonlinear factor model and its policy improvement algorithm(Special lecture)
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Holding date :
Presentation date : 2024.3.21 |
National Central University |
| 2. | Policy improvement algorithm for an optimal consumption and investment problem under general stochastic factor models(Seminar on applied probability in Okinawa) |
Holding date :
2023.11.30 Presentation date : 2023.11.30 |
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| 3. | An optimal consumption and investment problem for general factor models : Epstein-Zin recursive utility case(ICIAM 2023 TOKYO (Intersection between financial economics and optimal control))
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Holding date :
2023.8.20
- 2023.8.25 Presentation date : 2023.8.21 |
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| 4. | Policy improvement algorithm for an optimal consumption and investment problem under general stochastic factor models(2023 Spring Probability Workshop)
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Holding date :
2023.5.5
- 2023.5.6 Presentation date : 2023.5.6 |
National Taiwan University |
| 5. | Optimal consumption and investment with an exponential utility(Special lecture)
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Holding date :
2023.3.23 Presentation date : 2023.3.23 |
National Central University |
| 6. | 指数型効用関数を用いた最適消費投資問題(日本応用数理学会 第19回 研究部会連合発表会)
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Holding date :
2023.3.8
- 2023.3.10 Presentation date : 2023.3.9 |
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| 7. | Policy improvement algorithm for an optimal consumption and investment problem under general stochastic factor models(2022年度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 2022)
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Holding date :
2022.12.1 Presentation date : 2022.12.1 |
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| 8. | A long-term optimal consumption and investment problem with partial information(日本応用数理学会2022年度年会)
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Holding date :
2022.9.8
- 2022.9.10 Presentation date : 2022.9.10 |
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| 9. | Expected power utility maximization with delay for insurers under 4/2 stochastic volatility model(関西大学確率論研究会)
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Holding date :
2021.11.13 Presentation date : 2021.11.13 |
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| 10. | Numerical study for expected power utility maximization of insurers(The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications)
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Holding date :
2021.10.30
- 2021.10.31 Presentation date : 2021.10.31 |
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| 11. | Expected power utility maximization with delay for insurers under 4/2 stochastic volatility model(日本応用数理学会2021年度年会) |
Holding date :
2021.9.7
- 2021.9.9 Presentation date : 2021.9.9 |
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| 12. | Expected power utility maximization of insurers(東京確率論セミナー) |
Holding date :
2021.6.7 Presentation date : 2021.6.7 |
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| 13. | Expected power utility maximization of insurers(Finance Workshop) |
Holding date :
2020.12.10 Presentation date : 2020.12.10 |
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| 14. | Expected power utility maximization of insurers(2020年度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 2020)
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Holding date :
2020.11.27 Presentation date : 2020.11.27 |
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| 15. | Optimal investment-consumption-insurance with partial information(日本応用数理学会2020年度年会) |
Holding date :
2020.9.8
- 2020.9.10 Presentation date : 2020.9.10 |
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| 16. | Optimal investment and reinsurance of insurers with lognormal stochastic factor model(2019 NCTS & NCU Probability Seminer)
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Holding date :
Presentation date : 2019.9.12 |
台湾国桃園市 |
| 17. | An optimal consumption and investment problem with a power utility function : Risk-seeking case(Research Seminar in Probability)
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Holding date :
Presentation date : 2019.3.25 |
Academia Sinica, Taiwan |
| 18. | Optimal investment and reinsurance of insurers with inside information(2019 NCTS & NCU Probability Seminer)
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Holding date :
Presentation date : 2019.3.22 |
National Central University |
| 19. | 確率制御問題と期待効用最大化問題(法政大学数理ファイナンスセミナー) |
Holding date :
Presentation date : 2018.12.12 |
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| 20. | Risk-sensitive asset management with lognormal interest rates(日本応用数理学会2018年度年会)
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Holding date :
Presentation date : 2018.9.5 |
名古屋大学 |
| 21. | An optimal consumption problem with inside information(Academic speech) |
Holding date :
Presentation date : 2018.8.24 |
Graduate Institute of Statistics, National Central University, Taiwan |
| 22. | Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case(12th AIMS Conference on Dynamical Systems, Differential Equations and Applications, Taipei, Taiwan : Special Session SS146: Recent developments in stochastic analysis, stochastic control and related fields) |
Holding date :
Presentation date : 2018.7.6 |
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| 23. | Risk-sensitive asset management with lognormal interest rates(Workshop on Stochastics in honor of Prof. Shuenn-Jyi Sheu)
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Holding date :
Presentation date : 2018.6.22 |
National Central University, Taiwan |
| 24. | Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case.(Workshop on Stochastic Control and Related Issues.)
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Holding date :
Presentation date : 2018.3 |
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| 25. | Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case.(2017年度確率論シンポジウム)
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Holding date :
Presentation date : 2017.12 |
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| 26. | Risk-sensitive portfolio optimization problem for a large trader with inside information(Research Seminar in Probability)
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Holding date :
Presentation date : 2017.9 |
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| 27. | Risk-sensitive portfolio optimization problem for a large trader with inside information(研究集会「応用確率論 in 静岡」)
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Holding date :
Presentation date : 2017.8 |
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| 28. | Risk-sensitive portfolio optimization problem for a large trader with inside information(2017 NCTS & NCU Probability Seminer) |
Holding date :
Presentation date : 2017.8 |
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| 29. | Expected exponential utility maximization of insurers with a nonlinear diffusion factor model.(関西大学確率論セミナー)
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Holding date :
Presentation date : 2017.6 |
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| 30. | The ruin probability minimization with a linear Gaussian stochastic factor model(2017 NCTS & NCU Probability Seminer) |
Holding date :
Presentation date : 2017.3 |
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| 31. | 最適消費・投資問題に対するモチベーション(岡山-広島解析・確率論セミナー2017) |
Holding date :
Presentation date : 2017.2 |
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| 32. | An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model(RIMS 研究集会「確率論シンポジウム」) |
Holding date :
Presentation date : 2016.12 |
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| 33. | An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model(Research Seminar in Probability)
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Holding date :
Presentation date : 2016.9 |
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| 34. | Risk-sensitive asset management with general factor models(2015年度確率論シンポジウム) |
Holding date :
Presentation date : 2015.12 |
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| 35. | Risk-sensitive asset management with general factor models(2015年度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 2015) |
Holding date :
Presentation date : 2015.12 |
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| 36. | Risk-sensitive asset management with general factor models(日本数学会統計数学分科会, 一般講演,) |
Holding date :
Presentation date : 2015.9 |
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| 37. | Risk-sensitive asset management with general factor models(Research Seminar in Probability) |
Holding date :
Presentation date : 2015.8 |
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| 38. | Risk-sensitive Asset Management with Jump-Wishart-autoregressive Factor Model(立命館大学ファイナンスセミナー) |
Holding date :
Presentation date : 2015.2 |
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| 39. | Risk-sensitive Asset Management with Jump-Wishart-autoregressive Factor Model(第四回数理ファイナンス合宿型セミナー)
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Holding date :
Presentation date : 2014.11 |
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| 40. | Risk-sensitive portfolio optimization problems with a jump type stochastic factor model(岡山解析・確率論セミナー) |
Holding date :
Presentation date : 2014.5 |
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| 41. | Optimal lifetime consumption and investment for a factor model under drawdown constraint(大阪大学 金融・保険セミナーシリーズ 第49回(CSFI-CRESTジョイントセミナー)) |
Holding date :
Presentation date : 2014.3 |
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| 42. | An Optimal Consumption Problem for General Factor Models(阪大確率論セミナー) |
Holding date :
Presentation date : 2013.11 |
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| 43. | An Optimal Consumption Problem for General Factor Models(Research Seminar in Probability) |
Holding date :
Presentation date : 2013.9 |
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| 44. | Risk-sensitive portfolio optimization problems with a jump type stochastic factor model(日本数学会統計数学分科会, 一般講演) |
Holding date :
Presentation date : 2013.3 |
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| 45. | Risk-sensitive portfolio optimization problems(近経研究会) |
Holding date :
Presentation date : 2013.1 |
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| 46. | Risk-sensitive portfolio optimization problems with Levy-driven Cox-Ingersoll-Ross interest rates(Research Seminar in Probability) |
Holding date :
Presentation date : 2012.9 |
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| 47. | 8.An Optimal Consumption Problem with Partial Information(日本数学会統計数学分科会, 一般講演) |
Holding date :
Presentation date : 2011.9 |
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| 48. | 9.Risk sensitive portfolio optimization problem and associated problems in it(関西確率論セミナー) |
Holding date :
Presentation date : 2011.7 |
Awards
| No. | Award name | Year |
|---|---|---|
| 1. | JAFEE Best Paper Award 2013 (2013年度JAFEE論文賞【理論部門】) |
Research Projects
| No. | Research subject | Research item(Awarding organization, System name) | Year |
|---|---|---|---|
| 1. | 確率最適制御における再帰的効用最大化問題の新展開
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基盤研究(C)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 ) |
2024.4 - 2028.3 |
| 2. | New developments in the problem of maximizing the expected utility of an insurer in stochastic optimal control.
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Grant-in-Aid for Scientific Research (C)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research ) |
2020.4 - 2024.3 |
| 3. | 確率制御における最適消費・投資問題の新展開
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( System name: 若手研究(B) ) |
2015.4 - 2018.3 |
| 4. | Stochastic control on a long term and its applications
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Grant-in-Aid for Scientific Research (C)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research ) |
2013.4 - 2016.3 |
| 5. | 数理ファイナンスにおける確率制御・フィルタリングの方法の発展と応用 (分担)
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( System name: 基盤研究(B) ) |
2011.4 - 2012.3 |
| 6. | Study of long-term risk-sensitive portfolio optimization in non-standard settings
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Grant-in-Aid for Scientific Research (C)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research ) |
2008 - 2010 |
