Graduate School of Commerce and Management
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1.Predicting Interest Rate Volatility Using Information on the Yield Curve
International Review of Finance Vol.15,No.3,pp.347-386 2015 Academic journal
ISSN 1468-2443doiHERMES-IR
2.Impact of No-Arbitrage on Interest Rate Dynamics
HCFR Working Paper Series Vol.G-1-5,pp.1-53 2013 Other
3.Term Structure Models Can Predict Interest Rate Volatility. But How?
Tsukuba Economics Working Papers No. 2010-008 pp.1-80 2011 Other
4.An Approximation of European Option Prices under General Diffusion Processes
Tsukuba Economics Working Papers No. 2009-008 pp.1-25 2011 Other
5.Modeling the Term Structure of Interest Rates with General Diffusion Processes(jointly worked)
Journal of Economic Dynamics and Control Vol.33,No.1,pp.65-77 2009 Academic journal
ISSN 0165-1889CiNiiLink
6.Is Nonlinear Drift Implied by the Short-End of the Term Structure?
Review of Financial Studies Vol.21,No.1,pp.311-346 2008 Academic journal
7.A Simple Measure for Examining the Proxy Problem of the Short-Rate
Asia-Pacific Financial Markets Vol.14,No.4,pp.341-361 2007 Academic journal
ISSN 1387-2834doiLink
8.On Accuracy of Local Linear Approximation for the Term Structure of Interest Rates(jointly worked)
Quantitative Finance Vol.4,No.2,pp.151-157 2004 Academic journal
ISSN 1469-7688
9.Modeling the Term Structure of Interest Rates with General Short-Rate Models
Finance and Stochastics Vol.7,No.3,pp.323-335 2003 Academic journal
10.Approximation of Nonlinear Term Structure Models(jointly worked)
Journal of Derivatives Vol.8,No.3,pp.44-51 2001 Academic journal

Oral Presentation

NOName of subject/Conference NameYearSite
1.An Equilibrium model of Term Structures of Bonds and Equities(Kellogg Quantitative Finance Seminar)
2016.05Northwestern University Kellogg School of Management
2.An Alternative Chanel of Long-Run Risks and Time-Varying Risk Premiums(Kellogg Quantitative Finance Seminar)
2015.12Northwestern University Kellogg School of Management
3.Impact of No-arbitrage on Interest Rate Dynamics(Kellogg Quantitative Finance Seminar)
2014.12Northwestern University Kellogg School of Management
4.Interest Rate Volatility Implicit in Term Structure Data(Fourth World Congress of the Bachelier Finance Society)
5.A Simple Measure for the Proxy Problem of the Short-Rate(International Symposium on Financial Time Series)
2004.02Tokyo Metropolitan Univ

Scientific Research Funds Results

NOResearch subjectResearch itemYear
1.Estimation of interest rate processes
Young Scientists (B)2006-2008
2.Predictability of interest rates: An examination using dynamic term structure models
Young Scientists (B)2009-2010
3.Incorporating stochastic volatility into term structure models of interest rates and its economic evaluation
Young Scientists (B)2011-2012
Scientific Research (C)2015-
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