Graduate School of Business Administration,Department of Business Administration

MIURA Ryozo

Books and Other Publications

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Papers

1.	Rank Process, Stochstic Corridor and Applications to Finance (Peer-reviewed) 三浦 良造 A Festschrift for Kjell Doksum 2007.4
2.	The Distribution of Continuous Time Rank Processes.(Co-author Takehiko Fujita) (Peer-reviewed) 三浦 良造 Advances in Mathematical Economics 2006.4
3.	"The Distribution of Continuous Time Rank Processes" (jointly worked) 三浦 良造, with, Takahiko Fujit Mathematical Economics Vol.9 2006.4
4.	Edokko options: A new framework of barrier options Takahiko Fujita, Ryozo Miura Asia-Pacific Financial Markets Vol.9,No.2,pp.141-151 2002
5.	"On Financial Time Series Decompositions with Applications to Volatility" (jointly worked) 三浦 良造, with, Kjell Doksum, Hiroaki Ymauchi Hitotsubashi Journal of Commerce and Management Vol.35,No.1,pp.19-47 2000.10
6.	"Statistical Methodologies for the Market Risk Measurement" (jointly worked) 三浦 良造(with, Shingo Oue Asia-Pacific Financial Markets No.7 pp.305-319 2000.4
7.	"A Mathematical Structure of The Firm Value When Stock Options are Issued" (jointly worked) 三浦 良造(with, Masahiro Ishi Hitotsubashi Journal of Commerce and Management Vol.34 No.1 Vol.34,No.1,pp.15-49 1999.10
8.	Statistical Methods for the Measurement of Value-at-Risk Ryozo Miura The Hitotsubashi review Vol.120,No.5,pp.618-641 1998.11
9.	"A Measurement of Heaviness of Tails for the Distributions of Log-Ratio of Financial Variables." Presented at Quantitative Methods in Finance 1997 at Canberra in Australia. (jointly worked) 三浦 良造(Oue Working Paper Series No.28 1997.4
10.	"Decomposition of Japanese Yen Interest Rate Data Through Local Regression." (jointly worked) 三浦 良造, Shibata Financial Engineering and the Japanese Markets Vol.4,No.2,pp.125-146 1997.4
11.	"The Pricing Formula for Commodity-Linked Bonds with Stochastic Convenience Yields and Default Risk." (jointly worked) 三浦 良造, Yamauchi H Working Paper Series No.8. Department of Commerce, Hitotsubashi University 1996.4
12.	"Pricing of Bonds and their Derivatives with multi-factor stochastic Interest Rates: A Note" 三浦 良造 「Nonlinear and Convex Analysis in Economic Theory」 eds.T.Maruyama and W.Takahashi Springer 1995.4
13.	An Invitation to Mathematical Statistics Ryozo Miura The Hitotsubashi review Vol.109,No.4,pp.454-474 1993.4
14.	"One-Sample Estimation for generalized Lehmann's Alternative Models" (jointly worked) 三浦 良造, co-author Tsukahara Statistica Sinica Vol 3 No.1 1993.1
15.	"A Note on Look-Back Options Based on Order Statictics." 三浦 良造 Hitotsubashi Journal of Commerce and Management Vol.27,No.1,pp.15-28 1992.9
16.	Look back Options based on Order Statistics : A Preliminary Note Ryozo Miura The Hitotsubashi review Vol.107,No.5,pp.650-664 1992.5
17.	Stock Index Data and Mixture-of -Normal Model Ryozo Miura The Hitotsubashi review Vol.105,No.5,pp.603-628 1991.5
18.	「２ファクター・モデルのもとでの債券オプション価格式」 三浦 良造 『投資工学』 1991年秋期号 （No.4） pp.1-24 1991.4
19.	「オプションのポートフォリオとポートフォリオのオプション」 三浦 良造 ニッセイ基礎研究所 『調査月報』 1990年10月号 pp.3-16 1990.10
20.	Estimation of a Shape Parameter Ryozo Miura The Hitotsubashi review Vol.103,No.5,pp.523-535 1990.5
21.	Normal-Mixture Models of Stock Returns, and Option Pricing Ryozo Miura The Hitotsubashi review Vol.102,No.5,pp.620-644 1989.11
22.	"Rank Estimates in a Class of Semiparametric Two-Sample Models" (jointly worked) 三浦 良造(with, D.M. Dabrowska, K.A. Doksum Annals of Institute of Statistical Mathematics No.41 pp.63-79 1989.4
23.	"Kolmogorov-Smirnov Estimation for the Generalized Lehmann Alternative Models: Two Sample Problem" (jointly worked) 三浦 良造, with, M. Fukui Proceedings of the second Pacific Area Statistical Conference: Statistical Theory and Data Analysis 2 (K. Matsushita ed.), North-Hold 1988.4
24.	「ノンパラメトリック推測の現況と展望-推定問題を中心に-」 三浦 良造 『数学』 pp.57-67 1987.4
25.	"A Note on the Principle of Hodges-Lehmann Type Estimation" 三浦 良造 Keiei Kenkyu Vol.37 No.5.6 Vol.37,No.5,pp.185-192 1987.1
26.	「順位統計量にもとづくベータの推定：日本の株価データについて：補遺」 三浦 良造 大阪市立大学商学部経営研究会 『経営研究』 第36巻 第3号（通巻 第199号） Vol.36,No.3,pp.51-68 1985.9
27.	「順位統計量にもとづくベータの推定：日本の株価データについて」 三浦 良造 大阪市立大学商学部経営研究会『経営研究』 第35巻 第6号（通巻 第196号） pp.43-71 1985.3
28.	「スペーシング法による順位統計量の効力推定」 三浦 良造 大阪市立大学商学部経営経営会『経営研究』第33巻第1・2合併号（通巻 第179・180合併号） pp.191-203 1982.7
29.	"Spacing Estimation of the Asymptotic Variance of Rank Estimators" 三浦 良造 Proceedings of Golden Jubilee Conference of Indian Statistical Institute: Statistics; Applications and New Directions pp.391-404 1981.12
30.	"Adaptive Confidence Intervals for a Location Parameter" 三浦 良造 Keiei Kenkyu Vol.31 No.4.5.6 Vol.31,No.4,pp.197-218 1981.5
31.	SPACING ESTIMATION OF THE ASYMPTOTIC VARIANCE OF TRIMMED RANK ESTIMATORS OF LOCATION R MIURA SCANDINAVIAN JOURNAL OF STATISTICS Vol.8,No.1,pp.48-54 1981

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Presentations

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Research Projects

No.	Research subject	Research item(Awarding organization, System name)	Year
1.	Theoretical Research on the problem of dynamic portfolio selection based on new approaches and Its Application	Scientific Research (B) ( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research )	2005.4 - 2007.3
2.	-	( System name: Grant-in-Aid for Scientific Research )	2004.4 - 2006.3
3.	Managing new type of risks - Electricity, weather, and insurance risks and their derivatives-	Scientific Research (B) ( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research )	2001.4 - 2003.3
4.	The Quantitative Structure in Accounting Data of Japanese Manufacturing Companies and Its Relation to the Risk Management.	Scientific Research (B) ( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research )	1998.4 - 2001.3
5.	セミパラメトリック変換モデルにおける母数推定;センサ-・2標本の場合	一般研究(C) ( System name: 科学研究費助成事業 )	1990.4 - 1991.3