| 1. |
Koichi Matsumoto, Davis Mark, Seiya Goto, Hedging Derivatives with Recalibration and Model Risk, 11th World Congress of the Bachelier Finance Society, 2022.06. |
| 2. |
Koichi Matsumoto, Davis Mark, Seiya Goto, Recalibration and Hedging with Model Risk, 金融工学・数理計量ファイナンスの諸問題2021, 2021.12. |
| 3. |
Koichi Matsumoto, Davis Mark, Seiya Goto, Hedging Derivatives with Recalibration and Model Risk in a Multi-period Framework, Finance and Stochastics Seminar (Imperial College London), 2020.01. |
| 4. |
松本 浩一，清水 慶太*, モデルリスクを考慮した二資産デリバティブのヘッジに関する研究, 第48回ジャフィー大会（2017年度冬季）, 2018.03. |
| 5. |
Koichi Matsumoto, Keita Shimizu, Mean-Variance Hedging of Two-Asset Derivatives with Model Risk, Quantitative Methods in Finance Conference (QMF) 2017, 2017.12. |
| 6. |
Koichi Matsumoto, Optimal Hedging Strategy in an Uncertain Model, Winter Workshop on Operations Research, Finance and Mathematics 2017, 2017.02. |
| 7. |
Koichi Matsumoto, Mean-Variance Hedging with Model Risk, Quantitative Methods in Finance Conference (QMF) 2016, 2016.12. |
| 8. |
Koichi Matsumoto, Maki Ichikawa, Model Risk of two Assets Derivatives, The 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (SSS’15), 2015.12. |
| 9. |
Koichi Matsumoto, Yuta Katsuki, Scenario Sets for Multi-period Risk Measurement with an Application to Tail VaR measures, JARIPフォーラム2015, 2015.03. |
| 10. |
Koichi Matsumoto, Maki Ichikawa, Pricing Derivatives on Two Assets with Model Risk, Quantitative Methods in Finance Conference (QMF) 2014, 2014.12. |
| 11. |
Koichi Matsumoto, Satoshi Hosokawa, Model Risk in Pricing Interest Rate Derivatives, 8th World Congress of the Bachelier Finance Society, 2014.06. |
| 12. |
Koichi Matsumoto, Yuta Katsuki, Weak Time Consistency and its Application to Tail VaR Measures, 九州大学大学院 数理学研究院 九州確率論セミナー, 2014.04. |
| 13. |
Koichi Matsumoto, Yuta Katsuki, Multi-period Tail VaR Measures, 第3回数理ファイナンス合宿型セミナー, 2014.01. |
| 14. |
Koichi Matsumoto, Satoshi Hosokawa, Pricing Interest Rate Derivatives with Model Risk, Quantitative Methods in Finance Conference (QMF) 2013, 2013.12. |
| 15. |
Koichi Matsumoto, Satoshi Hosokawa, Trinomial Models for Model Risk, 第2回数理ファイナンス合宿型セミナー, 2012.11. |
| 16. |
Koichi Matsumoto, Model Risk and Partial Super-hedging of Derivatives, 7th World Congress of the Bachelier Finance Society, 2012.06. |
| 17. |
Koichi Matsumoto, Hedging Derivatives with Model Risk, Quantitative Methods in Finance Conference (QMF) 2011, 2011.12. |
| 18. |
Koichi Matsumoto (joint work with Yuta Katsuki), Multi-period Coherent Acceptability Measures in Discrete Time, 研究集会「数理ファイナンスとその周辺」, 2011.01. |
| 19. |
Koichi Matsumoto (joint work with Yuta Katsuki), Tail VaR Measures in a Multi-period Setting, Quantitative Methods in Finance Conference (QMF) 2010, 2010.12. |
| 20. |
Koichi Matsumoto (joint work with Yuta Katsuki), Weak Time Consistency Conditions for Tail VaR Measures, Workshop on Mathematical Finance and Related Issues, 2010.09. |
| 21. |
Koichi Matsumoto (joint work with Mika Fujii, Kengo Tsubota), Simple Improvement Method for Upper Bound of American Option, 6th World Congress of the Bachelier Finance Society, 2010.06. |
| 22. |
Koichi Matsumoto (joint work with Yuta Katsuki), Weak Time Consistency and Multi-period Tail VaR Measures, 2010 Workshop & Spring School on Stochastic Calculus and Applications, 2010.04. |
| 23. |
香月佑太*，松本 浩一, 条件付バリュー・アット・リスクの多期間化, 科研費研究集会「数理ファイナンスとその周辺」, 2010.01. |
| 24. |
Koichi Matsumoto, Option Replication in Discrete Time with Liquidity Risk, Quantitative Methods in Finance Conference (QMF) 2009, 2009.12. |
| 25. |
Koichi Matsumoto (joint work with Mika Fujii, Kengo Tsubota), Improvement in Upper Bound of American Options, Mathematical Finance and Related Topics in Economics and Engineering, 2009.08. |
| 26. |
Koichi Matsumoto (joint work with Mika Fujii, Kengo Tsubota), Simple Improvement Method of Upper Bound of American Options, Optimal Stopping with Applications 2009, 2009.06. |
| 27. |
松本 浩一, 流動性リスクの数理モデル～Cetin, Jarrow, Protter モデルの紹介～, 科研費研究集会「数理ファイナンスとその周辺」, 2009.01. |
| 28. |
坪田 健吾*，松本 浩一, アメリカンオプションの上方境界の改善手法, 科研費研究集会「数理ファイナンスとその周辺」, 2009.01. |
| 29. |
Koichi Matsumoto, Optimal Hedging with Partial Execution Risk, Quantitative Methods in Finance Conference (QMF) 2008, 2008.12. |
| 30. |
Koichi Matsumoto, Mean-Variance Hedging in Discrete Time with Execution Uncertainty, WORKSHOP ON "FINANCE AND RELATED MATHEMATICAL AND STATISTICAL ISSUES", 2008.09. |
| 31. |
Koichi Matsumoto, Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk
, Bachelier Finance Society Fifth World Congress, 2008.07. |
| 32. |
Koichi Matsumoto, Optimal Hedging with Execution Risk, 九州確率論セミナー, 2008.05. |
| 33. |
Koichi Matsumoto, Mean-Variance Hedging with Partial Execution Risk
, 数理ファイナンスとその周辺, 2008.01. |
| 34. |
Koichi Matsumoto, Mean-Variance Hedging in Random Discrete Trade Time
, Quantitative Methods in Finance Conference (QMF) 2007, 2007.12. |
| 35. |
Koichi Matsumoto, Optimal Strategy with Uncertain Trade Execution
, ファイナンスの数理解析とその応用, 2007.11. |
| 36. |
Koichi Matsumoto, Mean-Variance Hedging in an Illiquid Market, Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finance, 2007.09. |
| 37. |
Koichi Matsumoto, Portfolio Insurance in a Random Trade Time Model, Quantitative Methods in Finance Conference (QMF) 2006, 2006.12. |
| 38. |
Koichi Matsumoto, Optimal Growth Rate with Liquidity Risk, Fourth World Congress of the Bachelier Finance Society, 2006.08. |
| 39. |
Koichi Matsumoto, Liquidity Effects in the Optimal Growth Rate Problem, 科研費研究会「数理ファイナンスとその周辺」, 2006.01. |
| 40. |
Koichi Matsumoto, Optimal Growth Rate with Liquidity Risk, 科学研究費によるワークショップ 「金融工学・数理ファイナンスの諸問題」, 2005.12. |
| 41. |
Koichi Matsumoto, Optimal Growth Rate in a Random Trade Time Model, 数理ファイナンスセミナー, 2005.11. |
| 42. |
Koichi Matsumoto, Portfolio Selection with Liquidity Risk, 2005 Daiwa International Workshop on Financial Engineering, 2005.07. |
| 43. |
Koichi Matsumoto, Analysis of Liquidity Effects in the Merton Wealth Problem, 金融工学2004科研費研究集会, 2005.02. |
| 44. |
Koichi Matsumoto, Influence of Liquidity on the Optimal Strategy, 統計科学の理論と応用の新展開, 2004.12. |
| 45. |
Koichi Matsumoto, Liquidity Effects on the Optimal Strategy, 九州確率論セミナー, 2004.11. |
| 46. |
Koichi Matsumoto, Optimal Portfolio of a Low Liquid Asset, "2003 Mathematical Economics" in Research Institute for Mathematical Sciences, Kyoto University, 2003.11. |
| 47. |
Koichi Matsumoto, 低流動性資産のポートフォリオ最適化, 数理ファイナンスセミナー, 2003.07. |
| 48. |
Koichi Matsumoto, クレジットモデル周辺の数学的話題, 数理ファイナンスセミナー, 2001.03. |
| 49. |
Koichi Matsumoto, Jarrow Turnbull モデルの一般化とクレジットデリバティブへの応用, 理財工学研究センター シンポジウム 数理ファイナンス最近の話題から, 2000.07. |
| 50. |
Koichi Matsumoto, BGMモデルの実用化, 数理ファイナンス、及び関連した確率論の諸問題, 1999.11. |
| 51. |
Koichi Matsumoto, BGM モデルの実用化に関わる問題, 数理ファイナンスセミナー, 1999.07. |
