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

日本語

Books

1.Valuation of credit derivatives in the multi-factor economy
- pp.61-107 1998

Paper

1.Optimal Risk Transfer and Investment Policies Based upon Stochastic Differential Utilities
Asia-Pacific Financial Markets No.12,pp.375-403 2005 Academic journal
2.A Detailed Renormalization Group Analysis in Superstring Inspired Models(jointly worked)
Progress of Theoretical Physics Vol.81,pp.482- 1989 Academic journal
CiNii
3.Numerical Approach to Asset Pricing Models with Stochastic Differential Utility
Asia-Pacific Financial Markets No.11,pp.267-300 2004 Academic journal
4.Valuation of Mortgage-Backed Securities Based upon a Structural Approach
Asia-Pacific Financial Markets No.8,pp.259-289 2001 Academic journal
5.A Copula Model with Stochastic Tail Dependence:Statistical Inference and Applications to Quantitative Finance(jointly worked)
Vol.68,No.1,pp.87-106 2020 Academic journal
ISSN 0912-6112Link
6.Variance Risk Premium: Theoretical and Empirical Evidence of Return Predictability(jointly worked)
Proceedings of the 52-th JAFEE meeting No.冬季,pp.127-138 2020 research society, symposium materials, etc.
7.Return Predictability and Variance Risk Premia in Stochastic Volatility Model with Self-Exciting Jumps
Proceedings of the 52-th JAFEE meeting No.冬季,pp.139-150 2020 research society, symposium materials, etc.
8.Option Pricing Models Driven by Self- and Mutually-Exciting Jump Diffusion Processes(jointly worked)
Proceedings of the 50-th JAFEE meeting, (2018:Winter) Vol.50,No.冬季,pp.132-143 2019 research society, symposium materials, etc.
9.Term Structure Model of Volatilities and Variance-of-Variance Risk Premium(jointly worked)
Proceedings of the 48-th JAFEE meeting Vol.48,No.冬季,pp.36-47 2018 research society, symposium materials, etc.
10.Asset Return Predictability and Dynamics of Variance Risk Premia
Proceedings of the 47-th JAFEE meeting Vol.47,No.夏季,pp.138-149 2017 research society, symposium materials, etc.
11.The Term Structure of Variance Swap Rates:Self-Exciting Jump Diffusion Modeling
Proceedings of the 46-th JAFEE meeting Vol.46,No.Winter,pp.165-176 2017 research society, symposium materials, etc.
12.Dynamic Trading of Cointegrated Assets: Partial Information, Model Uncertainty Cases
Proceedings of the 45-th JAFEE meeting Vol.45,No.Summer,pp.13-24 2016 Academic journal
13.Stochastic Volatility Models with Stochastic Skewness and Kurtosis(jointly worked)
Proceedings of the 45-th JAFEE meeting, (2016:Summer), pp.29-38. Vol.45,No.Summer,pp.29-38 2016 research society, symposium materials, etc.
14.Asset Allocation with Multivariate Factor Stochastic Volatility Model with Realized Measure(jointly worked)
日本ファイナンス学会2016年大会 2016 Other
15.Dynamic Trading with Multiple Cointegrating Relationships
Proceedings of the 44-th JAFEE meeting, (2015:Winter), pp.109-120. Vol.44,No.Winter,pp.109-120 2016 research society, symposium materials, etc.
16.Estimation of Stochastic Dependence Structures between Equity Markets and Volatility Indices using Stochastic Copulas(jointly worked)
Proceedings of the 44-th JAFEE meeting Vol.44,No.Winter,pp.228-238 2016 research society, symposium materials, etc.
17.Dynamic Hedging Strategy Using Stochastic Vine Copulas(jointly worked)
Proceedings of the 43-th JAFEE meeting Vol.43,No.Summer,pp.168-179 2015 research society, symposium materials, etc.
18.Dynamic Error Correction Model for Co-Integrated Stocks using High-Frequency Data(jointly worked)
Proceedings of the 43-th JAFEE meeting Vol.43,No.Summer,pp.192-203 2015 research society, symposium materials, etc.
19.HEAVY GRAS Vine Copula Models
Proceedings of the 42-th JAFEE meeting Vol.42,No.Winter,pp.157-168 2015 research society, symposium materials, etc.
20.Factor Based Tail Risk Parity/Budgeting Investment
Proceedings of the 41-th JAFEE meeting Vol.41,No.Summer,pp.182-193 2014 research society, symposium materials, etc.
21.Tail Risk Parity/Budgeting Investment: Copula Approach to Tail Dependence Structure
Proceedings of the 40-th JAFEE meeting Vol.40,No.Winter,pp.43-54 2014 research society, symposium materials, etc.
22.Dynamic Investment Strategies to Reaction-Diffusion Systems Based uponStochastic Differential Utilities
Asia-Pacific Financial Markets Vol.18,No.2,pp.131-150 2011 Academic journal
23.Extended Merton Model
Vol.126,No.4,pp.429-444 2001 Bulletin of university, institute, etc.
ISSN 0018-2818HERMES-IR
24.Valuation of Mortgage-Backed Seurities Based Upon a Structural Approach
Asia-Pacific Financial Markets Vol.8,No.4,pp.259-289 2001 Academic journal
25.On the Renormali -zation Group Evolution of Gauge Couplings with Several U(1) Factors(jointly worked)
Physics Letter Vol.212B,pp.198-202 1988 Academic journal
26.Superstring Inspired Models and the Top Quark Mass(jointly worked)
Progress of Theoretical Physics Vol.79,pp.502-518 1988 Academic journal
27.Masses and Anomalous Magnetic Moments of Composite Fermions by Non-renormalizable Supersymmetric Interactions(jointly worked)
Physics Letter Vol.144B ,pp.76-82 1984 Academic journal

Other

1.Optimal Substructure of Asset and Liability in the Multi-factor Economy
International AFIR Colloguium Proceedings Vol.2,pp.689-717 1997 Other
2.A Copula Model with Stochastic Tail Dependence:Statistical Inference and Applications to Quantitative Finance(jointly worked)
Proceedings of the Institute of Statistical Mathematics Vol.68,No.1,pp.87-106 2020 Academic journal
ISSN 0912-6112

Academic Award Received

NOAcademic AwardYear
1.JAFEE PRIZE2020.04

Oral Presentation

NOName of subject/Conference NameYearSite
1.Nobuhiro Nakamura, Optimal Risk Transfer and Investment Policies Based upon Stochastic Differential Utilities(The 7-th JAFEE International Conference)
2005.03日本・東京
2.Nobuhiro Nakamura, Numerical Approach to Asset Pricing Models with Stochastic Differential Utility(The 7th Columbia-JAFEE International Conference)
2004.10USA,NY
3.PDE-Based Bayesian Inference:Some Applications to FBSDEs in Finance
2020.08
4.Variance Risk Premium and Predictability of Returns: Quadratic Variance, Self-Exciting Jump Models
2020.06
5.ODE-Based Bayesian Inference of VIX Dynamics Adapted to VIX Futures,VVIXs, and VIX Options
2019.08
6.Option Pricing Models Driven by Self- and Mutually-Exciting Jump Diffusion Processes
2019.02
7.Dynamic Trading with Multiple Cointegrating Relationships(JAFEE meeting, (2015:Winter),)
2016.01
8.Search-Based Liquidity Premium with Model Uncertainty - Search Model meets Robust Control -(Asian FA-NFA 2008 International Conference)
2008.07
9.Numerical Approach to Asset Pricing Models with Stochastic Differential Utility(The 4th International Conference on Financial Engineering and Statistical Finance)
2004.03
10.Dual Optimization in the Incomplete Market Driven by Jump-Diffusion Processes(The 6th Columbia=JAFEE International Conference Proceedings)
2003.03

Scientific Research Funds Results

NOResearch subjectResearch itemYear
1.
Scientific Research (C)2020-2021
2.
Scientific Research (B)2018-2019
3.
Scientific Research (C)2017-2019
4.
Link
Scientific Research (C)2014-2016
5.
Link
Scientific Research (C)2011-2013
6.Robust Portfolio and Its Risk Measurement
Link
Scientific Research (C)2007-2008
7.
Scientific Research (B)2005-2006
8.
Scientific Research (B)2005-2006
9.
Scientific Research (B)2001-2002
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