Graduate School of Business Administration,Department of Business Administration
MIURA Ryozo
  • Curriculum Vitae
  • Research Results
  • Educational and Social Activities

日本語

Books

1."Mathematics for Derivatives; Financial Engineering and Statistical Analysis"
Saiensu-sha publisher 2000
2."Foundation of Modern Portfolio"
Dobunkan publisher 1989

Paper

1.Rank Process, Stochstic Corridor and Applications to Finance
2007 Academic journal
2.The Distribution of Continuous Time Rank Processes.(Co-author Takehiko Fujita)
2006 Academic journal
3."The Distribution of Continuous Time Rank Processes"(jointly worked)
Mathematical Economics Vol.9 2006 Academic journal
4.Edokko Options:A New Framework of Barrier Options(jointly worked)
Asia Pacific Financial Markets Vol.9,No.2,pp.141-151 2002 Academic journal
ISSN 1387-2834doiHERMES-IRCiNii
5."On Financial Time Series Decompositions with Applications to Volatility"(jointly worked)
Hitotsubashi Journal of Commerce and Management Vol.35,No.1,pp.19-47 2000 Academic journal
HERMES-IRCiNii
6."Statistical Methodologies for the Market Risk Measurement"(jointly worked)
Asia-Pacific Financial Markets No.7 pp.305-319 2000 Academic journal
7."A Mathematical Structure of The Firm Value When Stock Options are Issued"(jointly worked)
Hitotsubashi Journal of Commerce and Management Vol.34 No.1 Vol.34,No.1,pp.15-49 1999 Academic journal
HERMES-IRCiNii
8.Statistical Methods for the Measurement of Value-at-Risk
Vol.120,No.5,pp.618-641 1998 Bulletin of university, institute, etc.
ISSN 0018-2818HERMES-IRCiNii
9."Decomposition of Japanese Yen Interest Rate Data Through Local Regression."(jointly worked)
Financial Engineering and the Japanese Markets Vol.4,pp.125-146 1997 Academic journal
CiNii
10."Pricing of Bonds and their Derivatives with multi-factor stochastic Interest Rates: A Note"
「Nonlinear and Convex Analysis in Economic Theory」 eds.T.Maruyama and W.Takahashi Springer 1995 Academic journal
11.An Invitation to Mathematical Statistics
Vol.109,No.4,pp.454-474 1993 Bulletin of university, institute, etc.
ISSN 0018-2818HERMES-IRCiNii
12."One-Sample Estimation for generalized Lehmann's Alternative Models"(jointly worked)
Statistica Sinica Vol 3 No.1 1993 Academic journal
13."A Note on Look-Back Options Based on Order Statictics."
Hitotsubashi Journal of Commerce and Management Vol.27,No.1,pp.15-28 1992 Academic journal
HERMES-IR
14.Look back Options based on Order Statistics : A Preliminary Note
Vol.107,No.5,pp.650-664 1992 Bulletin of university, institute, etc.
ISSN 0018-2818HERMES-IRCiNii
15.Stock Index Data and Mixture-of -Normal Model
Vol.105,No.5,pp.603-628 1991 Bulletin of university, institute, etc.
ISSN 0018-2818HERMES-IRCiNii
16.Estimation of a Shape Parameter
Vol.103,No.5,pp.523-535 1990 Bulletin of university, institute, etc.
ISSN 0018-2818HERMES-IRCiNii
17.Normal-Mixture Models of Stock Returns, and Option Pricing
Vol.102,No.5,pp.620-644 1989 Bulletin of university, institute, etc.
ISSN 0018-2818HERMES-IRCiNii
18."Rank Estimates in a Class of Semiparametric Two-Sample Models"(jointly worked)
Annals of Institute of Statistical Mathematics No.41 pp.63-79 1989 Academic journal
CiNii
19."Kolmogorov-Smirnov Estimation for the Generalized Lehmann Alternative Models: Two Sample Problem"(jointly worked)
Proceedings of the second Pacific Area Statistical Conference: Statistical Theory and Data Analysis 2 (K. Matsushita ed.), North-Hold 1988 Academic journal
20."A Note on the Principle of Hodges-Lehmann Type Estimation"
Keiei Kenkyu Vol.37 No.5.6 pp.185-192 1987 Academic journal
CiNii
21."Spacing Estimation of the Asymptotic Variance of Rank Estimators"
Proceedings of Golden Jubilee Conference of Indian Statistical Institute: Statistics; Applications and New Directions pp.391-404 1981 Academic journal
22."Adaptive Confidence Intervals for a Location Parameter"
Keiei Kenkyu Vol.31 No.4.5.6 pp.197-218 1981 Academic journal
CiNii
23."Spacing Estimation of the Asymptotic Variance of Trimmed Rank Estimators of Location"
Scandinavian Journal of Statistics No.8 pp.48-54 1981 Academic journal

Translation

1.Translations :"Risk Management" original-"Risku Management" by Michel Crouhy, Dan Galai, Robert Mark, McGraw-Hill, 2000
Kyoritsu shuppan-publisher (translation team leader) 2004
2.Translations :"Applied Corporate Finance: A User's Manual" original-"Applied Corporate Finance: A User's Manual" by Aswath Damodaran, John Wiley and Sons, Inc. 1999
Toyokeizaishipousha-publisher (translation team leader) 2001
3.Translations:"NON-PARAMETRICS Statistical Methods Based on Ranks" original-"NON-PARAMETRICS Statistical Methods Based on Ranks" by E.L.LEHMANN and H.J.M.D'ABRERA, Holden-Day, Inc. 1975,(jointly worked)
Morikita-publisher 1978

Other

1."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)
Working Paper Series No.28 1997 Academic journal
2."The Pricing Formula for Commodity-Linked Bonds with Stochastic Convenience Yields and Default Risk."(jointly worked)
Working Paper Series No.8. Department of Commerce, Hitotsubashi University 1996 Other
CiNii

Oral Presentation

NOName of subject/Conference NameYearSite
1."Numerical Figure of the probability Distribution of Alpha-quantiles and Ranks" International Conference on Quantitative Methods in Finance(International Conference on Quantitative Methods in Finance)
2005.12Sydney
2."Non-Parametric Statistics and Exotic Options based on them"(Columbia-JAFEE Conference)
2004.10New York
3."Financial Engineering and Statistical Analysis"(Japan Statistical Society)
2000.07
4."What is Financial Engineering"(Japan Society of Applied Statistics)
2000.05
5.International Conference on Quantitative Methods in Finance("A Measurement of Heaviness of Tails for the Distributions of Log-Ratio of Financial Variables.")
1997.09Canberra
6."A Few Development on Alpha-Percentile Options."(Columbia-JAFEE Conference)
1997.04New York
7."Hedges-Lehmann Type Estimate and Lehmann Alternatives"(Mathematical Society of Japan)
1985.04

Scientific Research Funds Results

NOResearch subjectResearch itemYear
1.Theoretical Research on the problem of dynamic portfolio selection based on new approaches and Its Application
Link
Scientific Research (B)2005-2006
2.Managing new type of risks - Electricity, weather, and insurance risks and their derivatives-
Link
Scientific Research (B)2001-2002
3.The Quantitative Structure in Accounting Data of Japanese Manufacturing Companies and Its Relation to the Risk Management.
Link
Scientific Research (B)1998-2000
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