- HOME
- Search Result
- SAITO Taiga
- Graduate School of Economics
- SAITO Taiga
- Curriculum Vitae
- Research Work
Papers
| 1. | Equilibrium multi-agent model with heterogeneous views on fundamental risks
Keisuke Kizaki, Taiga Saito, Akihiko Takahashi Automatica Vol.160,pp.111415 2024.2 
|
|---|---|
| 2. | A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
Keisuke Kizaki, Taiga Saito, Akihiko Takahashi Insurance: Mathematics and Economics Vol.114,pp.132-155 2024.1
|
| 3. | A dynamic analysis of the bank of Japan’s ETF/REIT purchase program
Daiya Mita, Kiyohiko G. Nishimura, Taiga Saito, Akihiko Takahashi Expert Systems with Applications Vol.235,pp.121091 2024.1
|
| 4. | Big data applications with theoretical models and social media in financial management
Taiga Saito, Shivam Gupta Annals of Operations Research 2022.12
|
| 5. | Portfolio optimization with choice of a probability measure
Taiga Saito, Akihiko Takahashi 2022 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CIFEr) pp.1-10 2022.5
|
| 6. | Diffusion of Big Data Analytics Innovation in Managing Natural Resources in the African Mining Industry
Surajit Bag, Gautam Srivastava, Shivam Gupta, Saito Taiga Journal of Global Information Management Vol.30,No.6,pp.1-21 2022.2
|
| 7. | Sup-Inf/Inf-Sup Problem on Choice of a Probability Measure by Forward–Backward Stochastic Differential Equation Approach
Taiga Saito, Akihiko Takahashi IEEE Transactions on Automatic Control Vol.66,No.12,pp.6056-6062 2021.12
|
| 8. | Interest Rate Model With Investor Attitude and Text Mining
Souta Nakatani, Kiyohiko G. Nishimura, Taiga Saito, Akihiko Takahashi IEEE Access Vol.8,pp.86870-86885 2020
|
| 9. | Application of online booking data to hotel revenue management
Taiga Saito, Akihiko Takahashi, Noriaki Koide, Yu Ichifuji International Journal of Information Management Vol.46,pp.37-53 2019.6
|
| 10. | Stochastic differential game in high frequency market
Taiga Saito, Akihiko Takahashi Automatica Vol.104,pp.111-125 2019.6
|
| 11. | Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market
Taiga Saito, Takanori Adachi, Teruo Nakatsuma, Akihiko Takahashi, Hiroshi Tsuda, Naoyuki Yoshino Asia-Pacific Financial Markets Vol.25,No.3,pp.179-220 2018.6
|
| 12. | Derivatives pricing with market impact and limit order book
Taiga Saito, Akihiko Takahashi Automatica Vol.86,pp.154-165 2017.12
|
| 13. | Hedging and pricing illiquid options with market impacts
Taiga Saito International Journal of Financial Engineering Vol.04,No.02n03,pp.1750030 2017.6
|
| 14. | Optimal room charge and expected sales under discrete choice models with limited capacity
Taiga Saito, Akihiko Takahashi, Hiroshi Tsuda International Journal of Hospitality Management Vol.57,pp.116-131 2016.8
|
| 15. | Pricing Foreign Exchange Options Under Intervention by Absorption Modeling
Taiga Saito Asia-Pacific Financial Markets Vol.23,No.1,pp.85-106 2016.2
|
| 16. | Self-financing strategy expression in general shape limit order book with market impacts in continuous time
Taiga Saito International Journal of Financial Engineering Vol.02,No.03,pp.1550034 2015.9
|
| 17. | Option Pricing under Various Market Restrictions
Taiga Saito Ph.D. Thesis, The University of Tokyo 2015 |
| 18. | 漸近展開を用いたアメリカン・オプションの評価法
高橋明彦, 斎藤大河 金融研究 Vol.22,No.2 2003.11 |
Presentations
| No. | Name of subject/Conference Name | Year | Site |
|---|---|---|---|
| 1. | Incomplete equilibrium model under logarithmic utilities with different time preferences and subjective beliefs(2024 Asia Pacific Association of Finance International Conference) |
Holding date :
Presentation date : 2024.7 |
|
| 2. | Multi-agent Robust Optimal Investment Problem in Incomplete Market(2023 BFC-KAFE International Symposium on Finance and Economics, Busan, Korea) |
Holding date :
Presentation date : 2023.12 |
|
| 3. | Portfolio Optimization with Choice of a Probability Measure(IEEE Computational Intelligence for Financial Engineering and Economics (CIFEr) (Online)) |
Holding date :
Presentation date : 2022 |
|
| 4. | Portfolio Optimization with Choice of a Probability Measure(4th Kafe-Jafee International;Symposium on Financial Engineering;Online) |
Holding date :
Presentation date : 2021 |
|
| 5. | Stochastic differential game in high frequency market(証券流通市場の機能に関する研究会, 東京証券会館) |
Holding date :
Presentation date : 2018 |
|
| 6. | Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-(金融研究成果報告会, 金融庁) |
Holding date :
Presentation date : 2017 |
|
| 7. | Optimal overbooking strategy in online hotel booking systems(4th World Research Summit for Tourism and Hospitality, Orlando, FL, USA) |
Holding date :
Presentation date : 2017 |
|
| 8. | Optimal room charge and expected sales under discrete choice models with Limited capacity(金融庁) |
Holding date :
Presentation date : 2016 |
|
| 9. | Optimal room charge and expected sales under discrete choice models with Limited capacity
|
Holding date :
Presentation date : 2016 |
|
| 10. | Derivatives Pricing with Market Impact and Limit Order Book(計量経済学ワークショップ, 慶應義塾大学三田キャンパス) |
Holding date :
Presentation date : 2016 |
|
| 11. | Expected Sales Maximization of Japanese Hotels by Waterfall Modeling”(日本オペレーションズリサーチ学会 秋季研究発表会) |
Holding date :
Presentation date : 2015 |
|
| 12. | Local Risk Minimization on Supply Curve Model with Market Impacts(NUS-U Tokyo Workshop on Quantitative Finance, Tokyo) |
Holding date :
Presentation date : 2014 |
|
| 13. | Pricing Foreign Exchange Options under One-Sided Intervention under Absorption Modelling(NUS-U Tokyo Workshop on Quantitative Finance, Singapore) |
Holding date :
Presentation date : 2013 |
|
| 14. | Pricing Foreign Exchange Options under One-Sided Intervention under Absorption Modelling(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2013」) |
Holding date :
Presentation date : 2013 |
