Graduate School of Commerce and Management
TAKAOKA Koichiro
  • Curriculum Vitae
  • Research Results
  • Educational and Social Activities

日本語

Paper

1.Liquidity Shortage and Credit Risk - a Note on the Structural Approach to the Risk of Liquidity Default
pp.169-179 2015 Book
2.A Note on the Condition of No Unbounded Profit with Bounded Risk(jointly worked)
Finance and Stochastics Vol.18,pp.393-405 2014 Academic journal
3.Optimal Risk Sharing in the Presence of Moral Hazard under Market Risk and Jump Risk(jointly worked)
Japanese Journal of Monetary and Financial Economics Vol.2,pp.59-73 2014 Academic journal
4.A Continuous-Time Optimal Insurance Design with Costly Monitoring(jointly worked)
Asia-Pacific Financial Markets Vol.21,pp.237-261 2014 Academic journal
5.The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model(jointly worked)
Asia-Pacific Financial Markets Vol.17,No.4,pp.391-436 2010 Academic journal
ISSN 1387-2834doi
6.A complete-market generalization of the Black-Scholes model
Asia-Pacific Financial Markets Vol.11,No.4,pp.431-444 2004 Academic journal
ISSN 1387-2834doiHERMES-IR
7.On the pricing of defaultable bonds using the framework of barrier options(jointly worked)
Asia-Pacific Financial Markets Vol.10,No.2-3,pp.151-162 2003 Academic journal
ISSN 1387-2834doiHERMES-IRCiNii
8.An extension of the Black-Scholes stock price model
pp.47-54 2002 Book
ISBN 978-4492711583
9.An equilibrium model of the short-term stock price behavior
RIMS Kokyuroku Vol.1215,pp.143-157 2001 Academic journal
HERMES-IRCiNii
10.Some remarks on the uniform integrability of continuous martingales
Seminaire de Probabilites XXXIII, Lecture Notes in Mathematics 1709, edited by J. Azema, M. Emery and M. Yor, Springer pp.327-333 1999 Book
ISBN 978-3540663423Link
11.On the martingales obtained by an extension due to Saisho, Tanemura and Yor of Pitman's theorem
Seminaire de Probabilites XXXI, Lecture Notes in Mathematics 1665, edited by J. Azéma, M. Emery and M. Yor, Springer pp.256-265 1997 Book
ISBN 978-3540626343Link
12.On the Sparre Andersen transformation for multidimensional Brownian bridge(jointly worked)
Journal of Mathematical Sciences, The University of Tokyo Vol.4,No.1,pp.211-227 1997 Academic journal
ISSN 1340-5705 HERMES-IRCiNii
13.A class of path transformations of one-dimensional Brownian motion
Stochastic Analysis: Random Fields and Measure-Valued Processes, Israel Mathematical Conference Proceedings(IMCP) Volume 10, edited by J.-P. Fouque K. J. Hochberg and E. Merzbach, published by American Mathematical Society pp.193-201 1996 International conference proceedings
ISBN 978-9996488368

Other

1.A Note on the Fundamental Theorem of Asset Pricing
The Hitotsubashi Review Vol.133,No.3,pp.221-229 2005 Bulletin of university, institute, etc.
ISSN 0018-2818HERMES-IRCiNii
2."Ito integrals", "Ito formula"
2004 Book
ISBN 978-4254290059
3.Is a Fair Gambling Eternally Fair ?
The Hitotsubashi Review Vol.124,No.3,pp.437-446 2000 Bulletin of university, institute, etc.
ISSN 0018-2818HERMES-IRCiNii
4.Enigma of Probability
The Hitotsubashi Review Vol.121,No.4,pp.613-624 1999 Bulletin of university, institute, etc.
ISSN 0018-2818HERMES-IRCiNii

Academic Award Received

NOAcademic AwardYear
1.JAFEE Best Paper Award2007.04

Oral Presentation

NOName of subject/Conference NameYearSite
1.On the Condition of No Unbounded Profit with Bounded Risk(Workshop on Mathematical Finance and Related Issues)
2010.09Kyoto Research Park, Kyoto, Japan
2.On the Condition of No Unbounded Profit with Bounded Risk(Topics in Mathematical Finance II)
2010.08大阪大学基礎工学研究科I棟204
3.On a complete-market generalization of the Black-Scholes model(Mathematical Finance and Related Topics in Economics and Engineering)
2009.08関西セミナーハウス(京都市)
4.The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model(The 8th Ritsumeikan International Symposium on Stochastic Processes and Application to Mathematical Finance and the 8th Columbia-Jafee Conference on Mathematical Finance)
2008.03キャンパスプラザ京都
5.A complete-market generalization of the Black-Scholes model(The Fourth World Congress of the Bachelier Finance Society)
2006.08Graduate School of International Corporate Strategy, Hitotsubashi University, Tokyo, Japan
6.On Kazamaki's criterion for continuous exponential martingales(数理ファイナンス小研究会)
2003.07大阪大学シグマホール セミナー室1
7.On Kazamaki's criterion for continuous exponential martingales(l'Ecole d'Ete des Probabilites de St-Flour)
2002.07St-Flour, France
8.A remark on Pitman's 2M-X theorem(Seminaire de Calcul Stochastique)
2002.03ストラスブール大学
9.A generalization of the Black-Scholes stock price model(Seminaire Mathematiques de l'Economie et de la Finance)
2001.11L'Institut Henri Poincare
10.An equilibrium model of the short-term stock price behavior(Rencontre franco-japonaise de Probabilites)
2000.11-2000.12Universite Paris 6 et 7
11.On a class of path transformations of Brownian motion(Japan-Russia Symposium on Probablity and Mathematical Statistics)
1995.07Tokyo
to back page