Graduate School of Business Administration,Department of Business Administration
NAKAMURA Nobuhiro

Books and Other Publications

1. MBAチャレンジ 金融・財務
中村 信弘 (Joint author)
中央経済社 2017.3 (ISBN : 4502217816)
2. Valuation of credit derivatives in the multi-factor economy
中村 信弘 (Sole author)
- 1998.4

Papers

1. PDE-Based Bayesian Inference of CEV Dynamics for Credit Risk in Stock Prices (Peer-reviewed)
Kensuke Kato, Nobuhiro Nakamura
Asia-Pacific Financial Markets 2023.8
doi Link Link
2. PDE-Based Bayesian Inference of Quadratic Variance Model for Pricing VIX and VVIX
Nobuhiro Nakamura
第59回JAFEE夏季大会予稿集 Vol.59,No.夏季,pp.61-73 2023.8
3. Dynamic Relationship between Volatility Risk Premia of Stock and Oil Returns (Peer-reviewed)
Nobuhiro Nakamura, Kazuhiko Ohashi, Daisuke Yokouchi
Journal of Risk and Financial Management Vol.16,No.3,pp.173 2023.3
doi Link
4. Exploring Cointegrated Asset Dynamics:The Impact of Stochastic Variances and Mutually Exciting Jumps
Nobuhiro Nakamura
Proceedings of the 58-th JAFEE meeting Vol.58,No.Winter,pp.21-32 2023.2
5. Impact of Stochastic Leverage to Implied Skewness in Option Markets: Comparison with Self-Exciting Jump Model
渡邉裕也, 中村信弘
Proceedings of the 58-th JAFEE meeting Vol.58,No.Winter,pp.33-44 2023.2
6. Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy (Peer-reviewed)
Kensuke Kato, Nobuhiro Nakamura
Physica A: Statistical Mechanics and its Applications Vol.612,pp.128489 2023.2
doi
7. Arbitrage-Free Co-Integrated Term Structure Model of Interest Rates towards Yield Curve Arbitrage
Nobuhiro Nakamura
Proceedings of the 57-th JAFEE meeting Vol.57,No.Summer,pp.124-135 2022.8
8. Modeling Self And Mutual Excitations in Credit Default Swaps:Bayesian Statistical Inference
Nobuhiro Nakamura
Proceedings of the 56-th JAFEE meeting Vol.2021,No.Winter,pp.57-68 2022.2
9. Variance and Skewness Risk Premia: The Impact of State Dependent Self-Exciting Jumps
中村 信弘
Proceedings of the 55-th JAFEE meeting Vol.55,pp.53-64 2021.8
10. IPDE-Based Bayesian Statistical Inference for CIR Interest Rate Model with Poisson Jump (jointly worked)
北林 卓也, 中村 信弘
Proceedings of the 54-th JAFEE meeting Vol.54,pp.24-35 2021.2
11. A Copula Model with Stochastic Tail Dependence:Statistical Inference and Applications to Quantitative Finance (jointly worked) (Peer-reviewed)
Nobuhiro Nakamura, Yuki Nozawa
Proceedings of the Institute of Statistical Mathematics Vol.68,No.1,pp.87-106 2020.6
Link
12. Return Predictability and Variance Risk Premia in Stochastic Volatility Model with Self-Exciting Jumps
Nobuhiro Nakamura
Proceedings of the 52-th JAFEE meeting No.冬季,pp.139-150 2020.2
13. Variance Risk Premium: Theoretical and Empirical Evidence of Return Predictability (jointly worked)
Yusuke Tomishima, Nobuhiro Nakamura
Proceedings of the 52-th JAFEE meeting No.冬季,pp.127-138 2020.2
14. ODE-Based Bayesian Inference of VIX Dynamics Adapted to VIX Futures,VVIXs, and VIX Options
中村 信弘
Proceedings of the 51-th JAFEE meeting Vol.51 2019.8
15. ダイナミック非対称 tコピュラを用いた新興国国債市場の相互依存構造に関する研究 (共著) (Peer-reviewed)
夷藤 翔, 中村 信弘
ジャフィー・ジャーナル Vol.17,No.4月,pp.1-22 2019.4
16. Option Pricing Models Driven by Self- and Mutually-Exciting Jump Diffusion Processes (jointly worked)
矢田 明, 中村 信弘
Proceedings of the 50-th JAFEE meeting, (2018:Winter) Vol.50,No.冬季,pp.132-143 2019.2
17. Term Structure Model of Volatilities and Variance-of-Variance Risk Premium (jointly worked)
関口雄介, 中村 信弘
Proceedings of the 48-th JAFEE meeting Vol.48,No.冬季,pp.36-47 2018.3
18. Asset Return Predictability and Dynamics of Return and Variance Risk Premia
中村 信弘
Proceedings of the 48-th JAFEE meeting Vol.48,No.冬季,pp.24-35 2018.3
19. Asset Return Predictability and Dynamics of Variance Risk Premia
中村 信弘
Proceedings of the 47-th JAFEE meeting Vol.47,No.夏季,pp.138-149 2017.7
20. The Term Structure of Variance Swap Rates:Self-Exciting Jump Diffusion Modeling
中村 信弘
Proceedings of the 46-th JAFEE meeting Vol.46,No.Winter,pp.165-176 2017.2
21. Stochastic Volatility Models with Stochastic Skewness and Kurtosis (jointly worked)
野澤勇樹, 中村 信弘
Proceedings of the 45-th JAFEE meeting, (2016:Summer), pp.29-38. Vol.45,No.Summer,pp.29-38 2016.8
22. Dynamic Trading of Cointegrated Assets: Partial Information, Model Uncertainty Cases
中村 信弘
Proceedings of the 45-th JAFEE meeting Vol.45,No.Summer,pp.13-24 2016.8
23. Asset Allocation with Multivariate Factor Stochastic Volatility Model with Realized Measure (jointly worked)
中村竜二, 中村 信弘
日本ファイナンス学会2016年大会 2016.5
24. Dynamic Trading with Multiple Cointegrating Relationships
中村 信弘
Proceedings of the 44-th JAFEE meeting, (2015:Winter), pp.109-120. Vol.44,No.Winter,pp.109-120 2016.1
25. Estimation of Stochastic Dependence Structures between Equity Markets and Volatility Indices using Stochastic Copulas (jointly worked)
野澤勇樹, 中村 信弘
Proceedings of the 44-th JAFEE meeting Vol.44,No.Winter,pp.228-238 2016.1
26. Dynamic Error Correction Model for Co-Integrated Stocks using High-Frequency Data (jointly worked)
Napoleon N, 中村 信弘
Proceedings of the 43-th JAFEE meeting Vol.43,No.Summer,pp.192-203 2015.8
27. Dynamic Hedging Strategy Using Stochastic Vine Copulas (jointly worked)
野澤勇樹, 中村 信弘
Proceedings of the 43-th JAFEE meeting Vol.43,No.Summer,pp.168-179 2015.8
28. HEAVY GRAS Vine Copula Models
中村 信弘
Proceedings of the 42-th JAFEE meeting Vol.42,No.Winter,pp.157-168 2015.1
29. Factor Based Tail Risk Parity/Budgeting Investment
中村 信弘
Proceedings of the 41-th JAFEE meeting Vol.41,No.Summer,pp.182-193 2014.8
30. Tail Risk Parity/Budgeting Investment: Copula Approach to Tail Dependence Structure
中村 信弘
Proceedings of the 40-th JAFEE meeting Vol.40,No.Winter,pp.43-54 2014.5
31. Dynamic Investment Strategies to Reaction-Diffusion Systems Based uponStochastic Differential Utilities (Peer-reviewed)
中村 信弘
Asia-Pacific Financial Markets Vol.18,No.2,pp.131-150 2011.2
32. 拡張Mertonモデルとその応用 (Peer-reviewed)
中村 信弘
日本金融・証券計量・工学学会学会誌『ジャフィー・ジャーナル』,朝倉書店 2007.4
33. Optimal Risk Transfer and Investment Policies Based upon Stochastic Differential Utilities (Peer-reviewed)
中村 信弘
Asia-Pacific Financial Markets No.12,pp.375-403 2005.4
34. Numerical approach to asset pricing models with stochastic differential utility (Peer-reviewed)
Nobuhiro Nakamura
Asia-Pacific Financial Markets Vol.11,No.3,pp.267-300 2004
doi
35. Extended Merton Model
Nobuhiro Nakamura
The Hitotsubashi review Vol.126,No.4,pp.429-444 2001.10
doi Link
36. Valuation of Mortgage-Backed Securities Based upon a Structural Approach (Peer-reviewed)
中村 信弘
Asia-Pacific Financial Markets Vol.8,No.8,pp.259-289 2001.4
37. Valuation of mortgage-backed securities based upon a structural approach (Peer-reviewed)
Nobuhiro Nakamura
Asia-Pacific Financial Markets Vol.8,No.4,pp.259-289 2001
doi
38. マルチファクター型 経済におけるクレジット・デリバティブの評価
中村 信弘
フィナンシャル・テクノロジーのフロンティア pp.61-107 1998.4
39. Optimal Substructure of Asset and Liability in the Multi-factor Economy
中村 信弘
International AFIR Colloguium Proceedings Vol.2,pp.689-717 1997.4
40. Equilibrium Bond Pricing under Potential
中村 信弘
MTEC Journal Vol.4,pp.44-67 1991.8
41. A Detailed Renormalization Group Analysis in Superstring Inspired Models (jointly worked) (Peer-reviewed)
中村 信弘
Progress of Theoretical Physics Vol.81,No.2,pp.482-497 1989.4
doi
42. On the Renormali -zation Group Evolution of Gauge Couplings with Several U(1) Factors (jointly worked) (Peer-reviewed)
中村 信弘, 山本克治, 梅村勲
Physics Letter Vol.212B,pp.198-202 1988.3
43. Superstring Inspired Models and the Top Quark Mass (jointly worked) (Peer-reviewed)
中村 信弘, 山本克治, 梅村勲
Progress of Theoretical Physics Vol.79,pp.502-518 1988.1
44. MASSES AND ANOMALOUS MAGNETIC-MOMENTS OF COMPOSITE FERMIONS BY NON-RENORMALIZABLE SUPERSYMMETRIC INTERACTIONS (Peer-reviewed)
N NAKAMURA, K TABATA, UMEMURA, I
PHYSICS LETTERS B Vol.144,No.1-2,pp.76-82 1984

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Misc.

1. 13a-E-10 (E_6)_<HC>XSO(10)_<HF>に基づく超対称統一プレオン模型
中村 信弘, 田畑 謙二, 梅村 勲
秋の分科会講演予稿集 Vol.1985,No.1,pp.21 1985.9
2. Supersymmetric Composite Models with Non-renormalizable Interactions
中村 信弘, 田畑 謙二, 梅村 勲
Soryushiron Kenkyu Vol.69,No.1,pp.A101-A105 1984.4
Link
3. 2p-RE-9 Masses of Composite Superfields by Non-renormalizabel Interactions
中村 信弘, 田畑 謙二, 梅村 勲
年会講演予稿集 Vol.39,No.1,pp.33 1984.3

Presentations

No. Name of subject/Conference Name Year Site
1. PDE-Based Bayesian Inference of Quadratic Variance Model for Pricing VIX and VVIX(第59回 日本金融・証券計量・工学学会夏季大会)
Holding date :
Presentation date : 2023.8.17
2. Arbitrage-Free Co-Integrated Term Structure Model of Interest Rates towards Yield Curve Arbitrage(第31回日本ファイナンス学会)
Holding date :
Presentation date : 2023.5.20
3. Exploring Cointegrated Asset Dynamics:The Impact of Stochastic Variances and Mutually Exciting Jumps(The 58-th JAFEE meeting)
Holding date :
Presentation date : 2023.2.18
4. 確率的レバレッジ効果がオプション市場のインプライド・スキューに与える影響:自己励起型ジャンプモデルとの比較(第58回 日本金融・証券計量・工学学会 冬季大会)
Holding date :
Presentation date : 2023.2.18
5. Arbitrage-Free Co-Integrated Term Structure Model of Interest Rates towards Yield Curve Arbitrage(The 57-th JAFEE meeting)
Holding date :
Presentation date : 2022.8.20
6. Modeling Self And Mutual Excitations in Credit Default Swaps:Bayesian Statistical Inference(The 30-th NFA Annual Meeting)
Holding date :
Presentation date : 2022.6.4
7. Modeling Self And Mutual Excitations in Credit Default Swaps:Bayesian Statistical Inference(The Japanese Association of Financial Econometrics and Engineering)
Holding date :
Presentation date : 2022.2.19
8. Variance and Skewness Risk Premia: The Impact of State Dependent Self-Exciting Jumps(日本金融・証券計量・工学学会2021年夏季大会)
Holding date :
Presentation date : 2021.8.22
9. Variance and Skewness Risk Premia: The Impact of State Dependent Self Exciting Jumps(第29回日本ファイナンス学会)
Holding date :
Presentation date : 2021.6.6
10. PDE-Based Bayesian Inference:Some Applications to FBSDEs in Finance(日本金融・証券計量・工学学会2020年夏季大会)
Holding date :
Presentation date : 2020.8.29
11. Variance Risk Premium and Predictability of Returns: Quadratic Variance, Self-Exciting Jump Models(日本ファイナンス学会)
Holding date :
Presentation date : 2020.6.13
12. Return Predictability and Variance Risk Premia in Stochastic Volatility Model with Self-Exciting Jumps(日本金融・証券計量・工学学会2019年冬季大会)
Holding date :
Presentation date : 2020.2.29
中央大学・後楽園キャンパス
13. Variance Risk Premium: Theoretical and Empirical Evidence of Return Predictability(日本金融・証券計量・工学学会2019年冬季大会)
Holding date :
Presentation date : 2020.2.29
中央大学・後楽園キャンパス
14. ODE-Based Bayesian Inference of VIX Dynamics Adapted to VIX Futures,VVIXs, and VIX Options(日本金融・証券計量・工学学会2019年夏季大会)
Holding date :
Presentation date : 2019.8.6
成城大学
15. Non-Affine and Non-Reduced Form Approach to Pricing of VIX and VVIX:Quadratic Diffusion Model(第27回日本ファイナンス学会)
Holding date :
Presentation date : 2019.6.22
慶応大学三田キャンパス
16. Option Pricing Models Driven by Self- and Mutually-Exciting Jump Diffusion Processes(日本金融・証券計量・工学学会2018年冬季大会)
Holding date :
Presentation date : 2019.2.23
慶応大学(三田キャンパス)
17. Non-Affine and Non-Reduced Form Approach to Pricing of VIX and VVIX:Quadratic Diffusion Model(日本金融・証券計量・工学学会2018年夏季大会)
Holding date :
Presentation date : 2018.8.25
18. Asset Return Predictability and Dynamics of Return and Variance Risk Premia(日本ファイナンス学会2018)
Holding date :
Presentation date : 2018.6.24
一橋大学 千代田キャンパス
19. Term Structure Model of Volatilities and Variance-of-Variance Risk Premium(日本金融・証券計量・工学学会2017年冬季大会)
Holding date :
Presentation date : 2018.3.2
武蔵大学
20. Asset Return Predictability and Dynamics of Return and Variance Risk Premia(日本金融・証券計量・工学学会2017年冬季大会)
Holding date :
Presentation date : 2018.3.2
21. Asset Return Predictability and Dynamics of Variance Risk Premia(日本金融・証券計量・工学学会2017年夏季大会)
Holding date :
Presentation date : 2017.7.29
中央大学 市ヶ谷田町キャンパス
22. The Term Structure of Variance Swap Rates:Self-Exciting Jump Diffusion Modeling(日本ファイナンス学会2017)
Holding date :
Presentation date : 2017.6.3
千葉工業大学
23. The Term Structure of Variance Swap Rates:Self-Exciting Jump Diffusion Modeling(日本金融・証券計量・工学学会2016年冬季大会)
Holding date :
Presentation date : 2017.2.18
武蔵大学
24. The Term Structure of Variance Swap Rates:Self-Exciting Jump Diffusion Modeling(日本金融・証券計量・工学学会2016年冬季大会)
Holding date :
Presentation date : 2017.2.18
武蔵大学
25. Dynamic Trading of Cointegrated Assets: Partial Information, Model Uncertainty Cases(日本金融・証券計量・工学学会2016年夏季大会)
Holding date :
Presentation date : 2016.8.8
26. Stochastic Volatility Models with Stochastic Skewness and Kurtosis(日本金融・証券計量・工学学会2016年夏季大会)
Holding date :
Presentation date : 2016.8.8
27. Stochastic Volatility Models with Stochastic Skewness and Kurtosis(日本金融・証券計量・工学学会2016年夏季大会)
Holding date :
Presentation date : 2016.8.8
28. Dynamic Trading of Cointegrated Assets: Partial Information, Model Uncertainty Cases(日本金融・証券計量・工学学会2016年夏季大会)
Holding date :
Presentation date : 2016.8.8
29. Dynamic Trading with Multiple Cointegrating Relationships(日本ファイナンス学会2016)
Holding date :
Presentation date : 2016.5.22
横浜国立大学
30. Asset Allocation with Multivariate Factor Stochastic Volatility Model with Realized Measure(2016年度日本ファイナンス学会)
Holding date :
Presentation date : 2016.5.22
31. Asset Allocation with Multivariate Factor Stochastic Volatility Model with Realized Measure(日本ファイナンス学会2016)
Holding date :
Presentation date : 2016.5.2
32. Estimation of Stochastic Dependence Structures between Equity Markets and Volatility Indices using Stochastic Copulas(日本金融・証券計量・工学学会2015年冬季大会)
Holding date :
Presentation date : 2016.1.25
33. Dynamic Trading with Multiple Cointegrating Relationships(JAFEE meeting, (2015:Winter),)
Holding date :
Presentation date : 2016.1.24
34. Dynamic Trading with Multiple Cointegrating Relationships(日本金融・証券計量・工学学会2015年冬季大会)
Holding date :
Presentation date : 2016.1.24
35. Dynamic Hedging Strategy Using Stochastic Vine Copulas(日本金融・証券計量・工学学会2015年夏季大会)
Holding date :
Presentation date : 2015.8.8
36. Dynamic Error Correction Model for Co-Integrated Stocks using High-Frequency Data(日本金融・証券計量・工学学会2015年夏季大会)
Holding date :
Presentation date : 2015.8.8
37. HEAVY GRAS Vine Copula Models(日本金融・証券計量・工学学会2014年冬季大会)
Holding date :
Presentation date : 2015.1.23
38. Factor Based Tail Risk Parity/Budgeting Investment(日本金融・証券計量・工学学会2014年夏季大会)
Holding date :
Presentation date : 2014.8.2
39. Tail Risk Parity/Budgeting Investment: Copula Approach to Tail Dependence Structure(日本金融・証券計量・工学学会2013年冬季大会)
Holding date :
Presentation date : 2014.1.10
40. Dynamic Conditional Copula with Marginal Volatility Dependence(日本金融・証券計量・工学学会2013年夏季大会)
Holding date :
Presentation date : 2013.8.4
41. Stochastic Vine Copula -Particle Filtering Approach-(日本金融・証券計量・工学学会2012年冬季大会)
Holding date :
Presentation date : 2013.1.25
42. Modeling and Estimation of Pairs Trading Dynamics using Stochastic Volatility Model and Bayesian Inference(日本金融・証券計量・工学学会2012年夏季大会)
Holding date :
Presentation date : 2012.8.4
43. Dynamic Factor Stochastic Volatility Models with Idiosyncratic Stochastic Volatilities -Particle Filtering Approach-(日本金融・証券計量・工学学会2011年冬季大会)
Holding date :
Presentation date : 2012.3.12
44. Copula-Based Asymmetric Leverage in Stochastic Volatility Models - Particle Filtering Approach -(日本金融・証券計量・工学学会2011年夏季大会)
Holding date :
Presentation date : 2011.10.15
45. Interacting Copulas via Stochastic Tail Dependence - Bayesian Inference Based on a Multi-Move Sampler-(日本金融・証券計量・工学学会2010年冬季大会)
Holding date :
Presentation date : 2010.12.4
46. Dynamic Pair Copula: Analysis of Stochastic Tail Dependence and Consitional Value-at-Risk(日本金融・証券計量・工学学会2010年夏季大会)
Holding date :
Presentation date : 2010.7.31
47. 多変量・動的コピュラ関数を用いたアセット・アロケーション:GPIF基本ポートフォリオへの応用(2010年度日本ファイナンス学会)
Holding date :
Presentation date : 2010.5.22
48. Robust Convergence Trading with Stochastic Volatility and Implementation by Particle Filters(日本金融・証券計量・工学学会2009年冬季大会)
Holding date :
Presentation date : 2009.12.24
49. Robust Portfolio Strategies in A Stochastic Volatility Model: A Distortion Solution Approach(日本金融・証券計量・工学学会2009年夏季大会)
Holding date :
Presentation date : 2009.7.29
50. Information Quality and Model Uncertainty in Delegated Portfolio Management(2009年度日本ファイナンス学会)
Holding date :
Presentation date : 2009.5.10
51. Robust Delegated Portfolio Management with Model Uncertainty(日本金融・証券計量・工学学会2008年冬季大会)
Holding date :
Presentation date : 2009.1.30
52. Robust Yield Curve Arbitrage in Hedge Funds under Model Uncertainty(日本金融・証券計量・工学学会2008年夏季大会)
Holding date :
Presentation date : 2008.8.2
53. Search-Based Liquidity Premium with Model Uncertainty - Search Model meets Robust Control -(Asian FA-NFA 2008 International Conference)
Holding date :
Presentation date : 2008.7.8
54. Robust Convergence Trading of Hedge Funds with Model Uncertainty under Partial Information(日本金融・証券計量・工学学会2008年冬季大会)
Holding date :
Presentation date : 2007.12.22
55. Robust Convergence Trading of Hedge Funds with Event and Model Risks(日本金融・証券計量・工学学会2007年夏季大会)
Holding date :
Presentation date : 2007.8.2
56. Robust Dynamic Asset Allocation under Inflation Risk(2007年度日本ファイナンス学会)
Holding date :
Presentation date : 2007.6.16
57. Robust Surplus Management in a Jump-Diffusion Factor Model(日本金融・証券計量・工学学会2006年冬季大会)
Holding date :
Presentation date : 2007.1.24
58. Robust Utility Maximization in Jump-Diffusion Factor Models(日本金融・証券計量・工学学会2006年夏季大会)
Holding date :
Presentation date : 2006.8.4
59. `Optimal Consumption and Investment Strategies Based upon Stochastic Differential Utilities with Uncertain Time-Horizon"(2006年度日本ファイナンス学会)
Holding date :
Presentation date : 2006.6.17
2006年度日本ファイナンス学会
60. Dynamic Investment Strategies to Reaction-Diffusion Systems Based upon Stochastic Differential Utilities(日本金融・証券計量・工学学会2005年冬季大会)
Holding date :
Presentation date : 2005.12.4
61. Dynamic Principal-Agent Problem Based upon the Stochastic Differential Utility(2005年度日本ファイナンス学会)
Holding date :
Presentation date : 2005.6.1
62. Nobuhiro Nakamura, Optimal Risk Transfer and Investment Policies Based upon Stochastic Differential Utilities(The 7-th JAFEE International Conference)
Holding date :
Presentation date : 2005.3.1
日本・東京
63. Nobuhiro Nakamura, Numerical Approach to Asset Pricing Models with Stochastic Differential Utility(The 7th Columbia-JAFEE International Conference)
Holding date :
Presentation date : 2004.10.1
USA,NY
64. Explicit Solutions of Constrained Portfolio Optimization for a Linear Single Factor Model- Duality Approach -(日本金融・証券計量・工学学会2004年夏季大会)
Holding date :
Presentation date : 2004.8.5
65. Numerical Approach to Asset Pricing Models with Stochastic Differential Utility(The 4th International Conference on Financial Engineering and Statistical Finance)
Holding date :
Presentation date : 2004.3.19
66. Term Structure Model of Inflation with Jump-Diffusion Processes and Pricing TIPS in the Incomplete Market(日本金融・証券計量・工学学会2003年冬季大会)
Holding date :
Presentation date : 2003.12.21
67. Term Structure Model of Inflation and Pricing TIPS in the Incomplete Market(日本金融・証券計量・工学学会2003年夏季大会)
Holding date :
Presentation date : 2003.7.25
68. Optimal Investment Strategies with VaR and Upside-Chance Constraints in the Stochastic Interest Rate Economy(日本金融・証券計量・工学学会2002年冬季大会)
Holding date :
Presentation date : 2003.6.7
69. Dual Optimization in the Incomplete Market Driven by Jump-Diffusion Processes(The 6th Columbia=JAFEE International Conference Proceedings)
Holding date :
Presentation date : 2003.3.15
70. Extended Merton Model and Its Applications(日本金融・証券計量・工学学会2001年冬季大会)
Holding date :
Presentation date : 2001.12.14
71. Valuation of Mortgage-Backed Securities Based upon a Structural Approach(日本金融・証券計量・工学学会2001年夏季大会)
Holding date :
Presentation date : 2001.7.15
72. Quantile HedgeによるDynamic Asset Allocation(ORと金融工学)(第44回日本オペレーションズ・リサーチ学会)
Holding date :
Presentation date : 2000.9.26
73. Quantile Hedging Strategies in the Acquisition of a Defaultable Firm(2000年度日本ファイナンス学会)
Holding date :
Presentation date : 2000.6.3

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Awards

No. Award name Year
1. JAFEE PRIZE 2020.4
2. ジャフィー賞 2020.4

Research Projects

No. Research subject Research item(Awarding organization, System name) Year
1. 階層的ボラティリティ・共歪度・共分散の資産価格への影響の分析
基盤研究(B)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 )
2021.4 - 2024.3
2. 統計的学習に基づく資産価格・投資理論の研究
基盤研究(C)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 )
2020.4 - 2023.3
3. 高次モーメント(ボラティリティ・スキューネス)を用いた資産価格と投資運用の分析
基盤研究(B)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 )
2018.4 - 2020.3
4. 高頻度・オプションデータに基づく資産価格・投資理論の研究
基盤研究(C)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 )
2017.4 - 2020.3
5. 確率的コピュラモデルによるリスク管理・最適資産配分
Link
基盤研究(C)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 )
2014.4 - 2017.3
6. 長期運用を前提とした公的年金積立金運用の枠組みについての基礎的研究

( Awarding organization: 年金積立金管理運用独立行政法人 System name: 共同研究(国内共同研究) )
2011.4 - 2015.3
7. 確率的コピュラモデルの統計的推定とそのファイナンスへの応用
Link
基盤研究(C)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 )
2011.4 - 2014.3
8. 公的年金運用におけるポートフォリ最適化についての研究

( Awarding organization: 年金積立金管理運用独立行政法人 System name: 共同研究(国内共同研究) )
2009.4 - 2010.3
9. Robust Portfolio and Its Risk Measurement
Link
Scientific Research (C)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research )
2007.4 - 2009.3
10. 最適な証券デザイン及び金融契約に関する理論・実証分析
基盤研究(B)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 )
2005.4 - 2007.3
11. 新機軸に基づく動的ポートフォリオ選択問題の理論的研究とその応用
基盤研究(B)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 )
2005.4 - 2007.3
12. 新しいリスクのデリバティブと管理手法の開発―電力・天候・保険リスクを中心として―
基盤研究(B)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 )
2001.4 - 2003.3
13. Study on Derivatives and Portfolio theories
1949.5

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