Graduate School of Business Administration,Department of Business Administration
Hata Hiroaki

Papers

1. 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 2021.7
doi Link Link
2. Optimal investment and reinsurance of insurers with lognormal stochastic factor model (Peer-reviewed)
Hiroaki Hata, Li-Hsien Sun
Mathematical Control & Related Fields 2021.6
3. 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
4. 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
doi
5. 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
doi
6. 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
doi
7. 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
doi
8. 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
doi
9. 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
10. An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model (Peer-reviewed)
Hiroaki Hata, Kazuhiro Yasuda
RIMS Kôkyûroku Vol.2030,pp.143-150 2017.5
11. 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
doi
12. 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
13. 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
doi
14. 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
doi
15. 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
doi
16. ``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
doi
17. 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
18. 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
doi
19. 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
doi
20. 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
doi
21. A risk-sensitive stochastic control approach to optimal investment problems (Peer-reviewed)
Hiroaki Hata
Osaka university 2006.3
22. 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
doi
23. Risk-sensitive filters and their singular limits (Peer-reviewed)
Hiroaki Hata
Osaka university 2002.3

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Presentations

No. Name of subject/Conference Name Year Site
1. Expected power utility maximization with delay for insurers under 4/2 stochastic volatility model(関西大学確率論研究会)
Link
Holding date : 2021.11.13
Presentation date : 2021.11.13
2. Numerical study for expected power utility maximization of insurers(The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications)
Link
Holding date : 2021.10.30 - 2021.10.31
Presentation date : 2021.10.31
3. 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
4. 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
5. Expected power utility maximization of insurers(Finance Workshop)
Holding date : 2020.12.10
Presentation date : 2020.12.10
6. 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)
Holding date : 2020.11.27
Presentation date : 2020.11.27
7. 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
8. 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
9. 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
10. An Optimal Consumption Problem for General Factor Models(Research Seminar in Probability)
Holding date :
Presentation date : 2013.9
11. An optimal consumption and investment problem with a power utility function : Risk-seeking case(Research Seminar in Probability)
Link
Holding date :
Presentation date : 2019.3.25
Academia Sinica, Taiwan
12. Optimal investment and reinsurance of insurers with inside information(2019 NCTS & NCU Probability Seminer)
Link
Holding date :
Presentation date : 2019.3.22
National Central University
13. 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
14. An Optimal Consumption Problem for General Factor Models(阪大確率論セミナー)
Holding date :
Presentation date : 2013.11
15. Risk-sensitive portfolio optimization problem for a large trader with inside information(研究集会「応用確率論 in 静岡」)
Link
Holding date :
Presentation date : 2017.8
16. Risk-sensitive portfolio optimization problem for a large trader with inside information(Research Seminar in Probability)
Link
Holding date :
Presentation date : 2017.9
17. Expected exponential utility maximization of insurers with a nonlinear diffusion factor model.(関西大学確率論セミナー)
Link
Holding date :
Presentation date : 2017.6
18. Risk-sensitive portfolio optimization problem for a large trader with inside information(2017 NCTS & NCU Probability Seminer)
Holding date :
Presentation date : 2017.8
19. 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)
Link
Holding date :
Presentation date : 2017.12
20. 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
21. 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
22. The ruin probability minimization with a linear Gaussian stochastic factor model(2017 NCTS & NCU Probability Seminer)
Holding date :
Presentation date : 2017.3
23. An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model(Research Seminar in Probability)
Link
Holding date :
Presentation date : 2016.9
24. 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
25. Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case.(Workshop on Stochastic Control and Related Issues.)
Link
Holding date :
Presentation date : 2018.3
26. Optimal investment and reinsurance of insurers with lognormal stochastic factor model(2019 NCTS & NCU Probability Seminer)
Link
Holding date :
Presentation date : 2019.9.12
台湾国桃園市
27. Risk-sensitive asset management with lognormal interest rates(Workshop on Stochastics in honor of Prof. Shuenn-Jyi Sheu)
Link
Holding date :
Presentation date : 2018.6.22
National Central University, Taiwan
28. 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
29. An optimal consumption problem with inside information(Academic speech)
Holding date :
Presentation date : 2018.8.24
Graduate Institute of Statistics, National Central University, Taiwan
30. 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
31. Risk-sensitive portfolio optimization problems(近経研究会)
Holding date :
Presentation date : 2013.1
32. 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
33. Risk-sensitive portfolio optimization problems with Levy-driven Cox-Ingersoll-Ross interest rates(Research Seminar in Probability)
Holding date :
Presentation date : 2012.9
34. Risk-sensitive asset management with lognormal interest rates(日本応用数理学会2018年度年会)
Link
Holding date :
Presentation date : 2018.9.5
名古屋大学
35. 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
36. Risk-sensitive asset management with general factor models(Research Seminar in Probability)
Holding date :
Presentation date : 2015.8
37. 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
38. 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)
Link
Holding date :
Presentation date : 2014.11
39. 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
40. 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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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保険会社の期待効用最大化問題の新展開
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 基盤研究(C) )
2020.4 - 2023.3
2. 確率制御における最適消費・投資問題の新展開

( System name: 若手研究(B) )
2015.4 - 2018.3
3. 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)

( System name: 基盤研究(B) )
2011.4 - 2012.3