Updated on 2024/07/28

Information

 

写真a

 
MATSUMOTO KOICHI
 
Organization
Faculty of Economics Department of Economic Engineering Professor
School of Economics Department of Economic Engineering(Concurrent)
Graduate School of Economics Department of Economic Engineering(Concurrent)
Joint Graduate School of Mathematics for Innovation (Concurrent)
Title
Professor
Profile
Application of probability theory to finance
External link

Degree

  • Doctor of Mathematical Science

Research History

  • 1994年4月 富士銀行 入行 2002年4月 みずほコーポレート銀行配属 2003年3月 みずほ第一フィナンシャルテクノロジー配属

    1994年4月 富士銀行 入行 2002年4月 みずほコーポレート銀行配属 2003年3月 みずほ第一フィナンシャルテクノロジー配属

Research Interests・Research Keywords

  • Research theme:Model Risk

    Keyword:Risk Management, Risk Control

    Research period: 2010.1

  • Research theme:Risk Measure

    Keyword:Risk Management, Risk Control

    Research period: 2009.1

  • Research theme:Derivative

    Keyword:Derivative, Hedging, Price

    Research period: 2007.1

  • Research theme:Optimal Portfolio

    Keyword:Optimal Portfolio, Trading Strategy

    Research period: 2002.1

  • Research theme:Credit Model

    Keyword:Credit Derivatives

    Research period: 2000.1

  • Research theme:Interest Rate Model

    Keyword:Interest Rate

    Research period: 1999.1

Papers

  • Multi-period Mean-Variance Hedging Problem with Model Risk

    Koichi MATSUMOTO, #Tatsuhiko SUYAMA

    Discussion Paper Series, Faculty of Economics, Kyushu University   2023.10

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    Language:English  

  • Hedging Derivatives with Recalibration and Model Risk

    @Mark DAVIS, #Seiya GOTO, Koichi MATSUMOTO

    Discussion Paper Series, Faculty of Economics, Kyushu University   2021.1

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    Language:English  

  • Mean–variance hedging with model risk Reviewed International journal

    4 ( 4 )   1750042-1 - 1750042-23   2018.1

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    Language:English   Publishing type:Research paper (scientific journal)  

    DOI: 10.1142/S2424786317500426

  • Partial super-hedging of derivatives with model risk Reviewed International journal

    Matsumoto Koichi

    Japan Journal of Industrial and Applied Mathematics   34(3)   811 - 831   2017.9

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    Language:English   Publishing type:Research paper (scientific journal)  

    DOI: 10.1007/s13160-017-0267-7

  • Model Risk of two Assets Derivatives Reviewed International journal

    Koichi Matsumoto, Maki Ichikawa

    Proceedings of the 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications   2016.5

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    Language:English   Publishing type:Research paper (international conference proceedings)  

  • Mean-Variance Hedging with Model Risk

    Matsumoto Koichi

    Discussion Paper Series, Faculty of Economics, Kyushu University   2015.11

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    Language:English  

  • Pricing Interest Rate Derivatives with Model Risk Reviewed International journal

    Satoshi Hosokawa, Matsumoto Koichi

    Journal of Financial Engineering   2 ( 1 )   1550003-1 - 1550003-18   2015.3

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    Language:English   Publishing type:Research paper (scientific journal)  

    DOI: 10.1142/S2345768615500038

  • Pricing Derivatives on Two Assets with Model Risk

    Maki Ichikawa, Matsumoto Koichi

    Discussion Paper Series, Faculty of Economics, Kyushu University   2014.6

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    Language:English  

  • Tail VaR Measures in a Multi-period Setting Reviewed International journal

    Yuta Katsuki, Koichi Matsumoto

    Applied Mathematical Finance   21 ( 3 )   270 - 297   2014.5

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    Language:English  

  • Pricing Interest Rate Derivatives with Model Risk

    Hosokawa Satoshi, Matsumoto Koichi

    Discussion Paper Series, Faculty of Economics, Kyushu University   2013.3

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    Language:English  

  • Option Replication in Discrete Time with Illiquidity

    Matsumoto Koichi

    Applied Mathematical Finance   2012.5

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    Language:English  

  • Hedging Derivatives with Model Risk

    Koichi Matsumoto

    Discussion Paper Series, Faculty of Economics, Kyushu University   2011.11

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    Language:English  

  • Simple Improvement Method for Upper Bound of American Option Reviewed International journal

    Mika Fujii, Koichi Matsumoto, Kengo Tsubota,

    Stochastics: An International Journal of Probability and Stochastic Processes   83   2011.8

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    Publishing type:Research paper (scientific journal)  

  • Tail VaR Measures in a Multi-period Setting

    Yuta Katsuki, Koichi Matsumoto

    Discussion Paper Series, Faculty of Economics, Kyushu University   2010.3

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    Language:English  

  • Simple Improvement Method for Upper Bound of American Option

    Mika FUJII, Koichi Matsumoto, Kengo TSUBOTA

    Discussion Paper Series, Faculty of Economics, Kyushu University   2009.7

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    Language:English  

  • Mean-Variance Hedging with Uncertain Trade Execution Reviewed International journal

    Koichi Matsumoto

    Applied Mathematical Finance   2009.6

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    Language:English   Publishing type:Research paper (scientific journal)  

  • Option Replication in Discrete Time with Illiquidity

    Koichi Matsumoto

    Discussion Paper Series, Faculty of Economics, Kyushu University   2009.6

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    Language:English  

  • Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk Reviewed International journal

    Koichi Matsumoto

    Review of Derivatives Research   2009.5

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    Language:English   Publishing type:Research paper (scientific journal)  

  • Optimal Growth Rate in Random Trade Time Reviewed International journal

    Koichi Matsumoto

    Advances in Mathematical Economics   2009.4

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    Language:English   Publishing type:Research paper (scientific journal)  

  • アメリカンオプション価格の上方境界の改善

    松本浩一,坪田健吾

    2009.3

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    Language:Japanese  

  • Portfolio Insurance with Liquidity Risk Reviewed International journal

    Koichi Matsumoto

    Asia-Pacific Financial Markets   2008.6

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    Language:English   Publishing type:Research paper (scientific journal)  

  • Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk

    Koichi Matsumoto

    Discussion Paper Series, Faculty of Economics, Kyushu University   2008.3

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    Language:English  

  • Optimal Strategy with Uncertain Trade Execution

    Koichi Matsumoto

    2008.2

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    Language:English  

  • Mean-Variance Hedging in Random Discrete Trade Time

    Koichi Matsumoto

    Discussion Paper Series, Graduate School of Economics, Kyushu University   2007.4

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    Language:English  

  • Portfolio Insurance with Liquidity Risk

    Koichi Matsumoto

    Discussion Paper Series, Graduate School of Economics, Kyushu University   2006.4

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    Language:English  

  • Optimal portfolio of low liquid assets with a log-utility function Reviewed International journal

    Koichi Matsumoto

    Finance and Stochastics   2006.1

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    Language:English   Publishing type:Research paper (scientific journal)  

  • Optimal Growth Rate with Liquidity Risk

    Koichi Matsumoto

    Discussion Paper Series, Graduate School of Economics, Kyushu University   2005.11

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    Language:English  

  • Implied Default Probability and Credit Derivatives Reviewed International journal

    Koichi Matsumoto

    Asia-Pacific Financial Markets   2005.6

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    Language:English   Publishing type:Research paper (scientific journal)  

  • Optimal Portfolio of Low Liquid Assets with a Power Utility Function Reviewed International journal

    Koichi Matsumoto

    Journal of Mathematical Sciences, The University of Tokyo   2004.12

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    Language:English   Publishing type:Research paper (scientific journal)  

  • Optimal Portfolio of Low Liquid Assets

    Koichi Matsumoto

    2004.8

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    Language:English  

  • Optimal Portfolio of the Low Liquid Asset(低流動性資産のポートフォリオ最適化)

    東京大学大学院 数理科学研究科 博士論文   2003.3

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    Language:English  

  • Lognormal Swap Approximation in the LIBOR Market Model and Its Application Reviewed International journal

    Koichi Matsumoto

    The Journal of Computational Finance   2001.10

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    Language:English   Publishing type:Research paper (scientific journal)  

  • Generalized Jarrow Turnbull Model and Its Application to Credit Derivatives

    Koichi Matsumoto

    2000.3

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    Language:English  

  • Implementation of the BGM Model under the Actual LIBOR Period

    Koichi Matsumoto

    Research Report, Graduate School of Systems Management, The University of Tsukuba   1999.11

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    Language:English  

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Books

  • 金融工学ハンドブック(第14章担当)

    John Birge, Vadim Linetsky, 監訳: 木島正明( Role: Joint translator)

    朝倉書店  2009.6 

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    Language:Japanese   Book type:Scholarly book

  • 金融工学事典(スワップション,BGMモデル,LIBORレート担当)

    編集:今野浩,刈屋武昭,木島正明( Role: Joint author)

    朝倉書店  2004.9 

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    Language:Japanese   Book type:Scholarly book

Presentations

  • 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

    松本 浩一,#清水 慶太*

    第48回ジャフィー大会(2017年度冬季)  2018.3 

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    Event date: 2018.3

    Language:Japanese   Presentation type:Oral presentation (general)  

    Venue:武蔵大学   Country:Japan  

  • 条件付バリュー・アット・リスクの多期間化 Invited

    香月佑太*,松本 浩一

    科研費研究集会「数理ファイナンスとその周辺」  2010.1 

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    Event date: 2010.1

    Presentation type:Oral presentation (general)  

    Venue:名古屋大学 ベンチャー・ビジネス・ラボラトリー   Country:Japan  

  • 流動性リスクの数理モデル~Cetin, Jarrow, Protter モデルの紹介~ Invited

    松本 浩一

    科研費研究集会「数理ファイナンスとその周辺」  2009.1 

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    Event date: 2009.1

    Presentation type:Oral presentation (general)  

    Venue:九州大学西新プラザ   Country:Japan  

  • アメリカンオプションの上方境界の改善手法 Invited

    坪田 健吾*,松本 浩一

    科研費研究集会「数理ファイナンスとその周辺」  2009.1 

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    Event date: 2009.1

    Presentation type:Oral presentation (general)  

    Venue:九州大学西新プラザ   Country:Japan  

  • Pricing Interest Rate Derivatives with Model Risk International conference

    Koichi Matsumoto, Satoshi Hosokawa

    Quantitative Methods in Finance Conference (QMF) 2013  2013.12 

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    Presentation type:Oral presentation (general)  

    Country:Australia  

  • Multi-period Tail VaR Measures Invited

    Koichi Matsumoto, Yuta Katsuki

    2014.1 

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    Language:Japanese   Presentation type:Oral presentation (general)  

    Country:Japan  

  • Weak Time Consistency and its Application to Tail VaR Measures Invited

    Koichi Matsumoto, Yuta Katsuki

    2014.4 

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    Language:Japanese   Presentation type:Oral presentation (general)  

    Country:Japan  

  • Model Risk in Pricing Interest Rate Derivatives International conference

    Koichi Matsumoto, Satoshi Hosokawa

    8th World Congress of the Bachelier Finance Society  2014.6 

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    Language:English   Presentation type:Oral presentation (general)  

    Country:Belgium  

  • Pricing Derivatives on Two Assets with Model Risk International conference

    Koichi Matsumoto, Maki Ichikawa

    Quantitative Methods in Finance Conference (QMF) 2014  2014.12 

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    Language:English   Presentation type:Oral presentation (general)  

    Country:Australia  

  • Scenario Sets for Multi-period Risk Measurement with an Application to Tail VaR measures Invited

    Koichi Matsumoto, Yuta Katsuki

    2015.3 

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    Language:Japanese   Presentation type:Oral presentation (general)  

    Country:Japan  

  • Model Risk of two Assets Derivatives International conference

    Koichi Matsumoto, Maki Ichikawa

    2015.12 

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    Language:English   Presentation type:Oral presentation (general)  

    Country:United States  

  • Mean-Variance Hedging with Model Risk International conference

    Koichi Matsumoto

    Quantitative Methods in Finance Conference (QMF) 2016  2016.12 

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    Language:English   Presentation type:Oral presentation (general)  

    Country:Australia  

  • Optimal Hedging Strategy in an Uncertain Model International conference

    Koichi Matsumoto

    Winter Workshop on Operations Research, Finance and Mathematics 2017  2017.2 

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    Language:English   Presentation type:Oral presentation (general)  

    Country:Japan  

  • Mean-Variance Hedging of Two-Asset Derivatives with Model Risk International conference

    Koichi Matsumoto, Keita Shimizu

    Quantitative Methods in Finance Conference (QMF) 2017  2017.12 

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    Language:English   Presentation type:Oral presentation (general)  

    Country:Australia  

  • Hedging Derivatives with Recalibration and Model Risk in a Multi-period Framework International conference

    Koichi Matsumoto, Davis Mark, #Seiya Goto

    Finance and Stochastics Seminar (Imperial College London)  2020.1 

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    Language:English   Presentation type:Oral presentation (general)  

    Country:United Kingdom  

  • Recalibration and Hedging with Model Risk Invited

    Koichi Matsumoto, Davis Mark, #Seiya Goto

    2021.12 

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    Language:Japanese   Presentation type:Oral presentation (general)  

    Country:Japan  

  • Hedging Derivatives with Recalibration and Model Risk International conference

    Koichi Matsumoto, Davis Mark, #Seiya Goto

    11th World Congress of the Bachelier Finance Society  2022.6 

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    Language:English   Presentation type:Oral presentation (general)  

  • Trinomial Models for Model Risk Invited

    Koichi Matsumoto, Satoshi Hosokawa

    2012.11 

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    Language:Japanese   Presentation type:Oral presentation (general)  

    Country:Japan  

  • 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  1999.7 

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    Presentation type:Oral presentation (general)  

    Venue:東京大学大学院 数理科学研究科   Country:Japan  

  • 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 

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    Presentation type:Oral presentation (general)  

    Venue:東京大学大学院 数理科学研究科   Country:Japan  

  • 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  2000.7 

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    Presentation type:Oral presentation (general)  

    Venue:東京工業大学 理財工学研究センター   Country:Japan  

  • 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  2001.3 

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    Presentation type:Oral presentation (general)  

    Venue:東京大学大学院 数理科学研究科   Country:Japan  

  • 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  2003.7 

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    Presentation type:Oral presentation (general)  

    Venue:東京大学大学院 数理科学研究科   Country:Japan  

  • Optimal Portfolio of a Low Liquid Asset International conference

    Koichi Matsumoto

    "2003 Mathematical Economics" in Research Institute for Mathematical Sciences, Kyoto University  2003.11 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Liquidity Effects on the Optimal Strategy

    Koichi Matsumoto

    2004.11 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Influence of Liquidity on the Optimal Strategy

    Koichi Matsumoto

    2004.12 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Analysis of Liquidity Effects in the Merton Wealth Problem

    Koichi Matsumoto

    2005.2 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Portfolio Selection with Liquidity Risk International conference

    Koichi Matsumoto

    2005 Daiwa International Workshop on Financial Engineering  2005.7 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Optimal Growth Rate in a Random Trade Time Model

    Koichi Matsumoto

    2005.11 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Optimal Growth Rate with Liquidity Risk

    Koichi Matsumoto

    2005.12 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Liquidity Effects in the Optimal Growth Rate Problem

    Koichi Matsumoto

    2006.1 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Optimal Growth Rate with Liquidity Risk International conference

    Koichi Matsumoto

    Fourth World Congress of the Bachelier Finance Society  2006.8 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Portfolio Insurance in a Random Trade Time Model International conference

    Koichi Matsumoto

    Quantitative Methods in Finance Conference (QMF) 2006  2006.12 

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    Presentation type:Oral presentation (general)  

    Country:Australia  

  • Mean-Variance Hedging in an Illiquid Market International conference

    Koichi Matsumoto

    Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finance  2007.9 

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    Presentation type:Oral presentation (general)  

    Country:Austria  

  • Optimal Strategy with Uncertain Trade Execution

    Koichi Matsumoto

    2007.11 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Mean-Variance Hedging in Random Discrete Trade Time International conference

    Koichi Matsumoto

    Quantitative Methods in Finance Conference (QMF) 2007  2007.12 

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    Presentation type:Oral presentation (general)  

    Country:Australia  

  • Mean-Variance Hedging with Partial Execution Risk

    Koichi Matsumoto

    2008.1 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Optimal Hedging with Execution Risk

    Koichi Matsumoto

    2008.5 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk International conference

    Koichi Matsumoto

    Bachelier Finance Society Fifth World Congress  2008.7 

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    Country:United Kingdom  

  • Mean-Variance Hedging in Discrete Time with Execution Uncertainty Invited International conference

    Koichi Matsumoto

    WORKSHOP ON "FINANCE AND RELATED MATHEMATICAL AND STATISTICAL ISSUES"  2008.9 

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    Country:Japan  

  • Optimal Hedging with Partial Execution Risk International conference

    Koichi Matsumoto

    Quantitative Methods in Finance Conference (QMF) 2008  2008.12 

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    Presentation type:Oral presentation (general)  

    Country:Australia  

  • Simple Improvement Method of Upper Bound of American Options International conference

    Koichi Matsumoto (joint work with Mika Fujii, Kengo Tsubota)

    Optimal Stopping with Applications 2009  2009.6 

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    Presentation type:Oral presentation (general)  

    Country:Finland  

  • Improvement in Upper Bound of American Options Invited International conference

    Koichi Matsumoto (joint work with Mika Fujii, Kengo Tsubota)

    Mathematical Finance and Related Topics in Economics and Engineering  2009.8 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Option Replication in Discrete Time with Liquidity Risk International conference

    Koichi Matsumoto

    Quantitative Methods in Finance Conference (QMF) 2009  2009.12 

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    Presentation type:Oral presentation (general)  

    Country:Australia  

  • Weak Time Consistency and Multi-period Tail VaR Measures Invited International conference

    Koichi Matsumoto (joint work with Yuta Katsuki)

    2010 Workshop & Spring School on Stochastic Calculus and Applications  2010.4 

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    Presentation type:Oral presentation (general)  

    Country:Taiwan, Province of China  

  • Simple Improvement Method for Upper Bound of American Option International conference

    Koichi Matsumoto (joint work with Mika Fujii, Kengo Tsubota)

    6th World Congress of the Bachelier Finance Society  2010.6 

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    Presentation type:Oral presentation (general)  

    Country:Canada  

  • Weak Time Consistency Conditions for Tail VaR Measures Invited International conference

    Koichi Matsumoto (joint work with Yuta Katsuki)

    Workshop on Mathematical Finance and Related Issues  2010.9 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Tail VaR Measures in a Multi-period Setting International conference

    Koichi Matsumoto (joint work with Yuta Katsuki)

    Quantitative Methods in Finance Conference (QMF) 2010  2010.12 

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    Presentation type:Oral presentation (general)  

    Country:Australia  

  • Multi-period Coherent Acceptability Measures in Discrete Time Invited

    Koichi Matsumoto (joint work with Yuta Katsuki)

    2011.1 

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    Presentation type:Oral presentation (general)  

    Country:Japan  

  • Hedging Derivatives with Model Risk International conference

    Koichi Matsumoto

    Quantitative Methods in Finance Conference (QMF) 2011  2011.12 

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    Presentation type:Oral presentation (general)  

    Country:Australia  

  • Model Risk and Partial Super-hedging of Derivatives International conference

    Koichi Matsumoto

    7th World Congress of the Bachelier Finance Society  2012.6 

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    Presentation type:Oral presentation (general)  

    Country:Australia  

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MISC

  • 富士銀行のクレジットモデル

    松本 浩一

    日経金融新聞   2001.6

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    Publishing type:Article, review, commentary, editorial, etc. (scientific journal)  

  • 富士銀行のマーケットモデル活用法

    松本 浩一

    日経金融新聞   2000.7

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    Language:Japanese   Publishing type:Article, review, commentary, editorial, etc. (scientific journal)  

Professional Memberships

  • Society of Political Economy, Kyushu University

  • The Japanese Association of Financial Econometrics and Engineering

  • Mathematical Society of Japan

Committee Memberships

  • 日本金融・証券計量・工学学会(JAFEE)   代議員   Domestic

    2023.8 - 2025.8   

  • 日本金融・証券計量・工学学会(JAFEE)   代議員   Domestic

    2021.7 - 2023.7   

  • 日本金融・証券計量・工学学会(JAFEE)   代議員   Domestic

    2019.7 - 2021.7   

  • 日本金融・証券計量・工学学会(JAFEE)   代議員   Domestic

    2017.7 - 2019.7   

  • Councilor   Domestic

    2013.7 - 2017.7   

Academic Activities

  • Screening of academic papers

    Role(s): Peer review

    2023

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    Type:Peer review 

    Number of peer-reviewed articles in foreign language journals:1

  • 司会(Moderator) International contribution

    ( オンライン ) 2022.6

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    Type:Competition, symposium, etc. 

  • Screening of academic papers

    Role(s): Peer review

    2022

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    Type:Peer review 

    Number of peer-reviewed articles in foreign language journals:3

  • Screening of academic papers

    Role(s): Peer review

    2021

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    Type:Peer review 

    Number of peer-reviewed articles in foreign language journals:1

  • Screening of academic papers

    Role(s): Peer review

    2020

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    Type:Peer review 

    Number of peer-reviewed articles in foreign language journals:2

  • Screening of academic papers

    Role(s): Peer review

    2019

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    Type:Peer review 

    Number of peer-reviewed articles in foreign language journals:3

  • Screening of academic papers

    Role(s): Peer review

    2018

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    Type:Peer review 

    Number of peer-reviewed articles in foreign language journals:2

  • 司会(Moderator) International contribution

    2017.12

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    Type:Competition, symposium, etc. 

  • Screening of academic papers

    Role(s): Peer review

    2017

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    Type:Peer review 

    Number of peer-reviewed articles in foreign language journals:4

  • 司会(Moderator) International contribution

    The 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (SSS’15)  2015.12

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    Type:Competition, symposium, etc. 

  • 司会(Moderator)

    第四回数理ファイナンス合宿型セミナー  ( 慶応義塾大学 日吉キャンパス ) 2014.11

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    Type:Competition, symposium, etc. 

  • 幹事

    第四回数理ファイナンス合宿型セミナー  2014.11

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    Type:Competition, symposium, etc. 

  • 座長(Chairmanship)

    ( 明治大学 駿河台キャンパス ) 2013.8

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    Type:Competition, symposium, etc. 

  • 司会(Moderator)

    科研費研究集会「数理ファイナンスとその周辺」  ( 名古屋大学 ベンチャー・ビジネス・ラボラトリー ) 2010.1

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    Type:Competition, symposium, etc. 

  • 司会(Moderator)

    科研費研究集会「数理ファイナンスとその周辺」  ( 九州大学西新プラザ ) 2009.1

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    Type:Competition, symposium, etc. 

  • 世話人

    科研費研究集会「数理ファイナンスとその周辺」  ( 九州大学西新プラザ ) 2009.1

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    Type:Competition, symposium, etc. 

  • 司会(Moderator) International contribution

    2007.9

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    Type:Competition, symposium, etc. 

  • 司会(Moderator) International contribution

    2006.12

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    Type:Competition, symposium, etc. 

  • 司会(Moderator) International contribution

    ( 一橋大学 ) 2006.8

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    Type:Competition, symposium, etc. 

  • 司会(Moderator)

    科研費研究会「数理ファイナンスとその周辺」  ( 一橋大学 ) 2006.1

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    Type:Competition, symposium, etc. 

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Research Projects

  • 多元的モデル集合によるリスク管理問題の研究

    Grant number:20K01771  2020 - 2024

    日本学術振興会  科学研究費助成事業  基盤研究(C)

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    Authorship:Principal investigator  Grant type:Scientific research funding

  • 多期間・多資産モデルにおけるモデルリスク管理方法の研究

    Grant number:15K03544  2015 - 2019

    日本学術振興会  科学研究費助成事業  基盤研究(C)

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    Authorship:Principal investigator  Grant type:Scientific research funding

  • 不完全制御と不確定モデルによるリスク管理問題の研究

    Grant number:23740080  2011 - 2014

    科学研究費助成事業  若手研究(B)

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    Authorship:Principal investigator  Grant type:Scientific research funding

  • 学力低下問題に対応するための新入生数学基礎学力調査

    2009 - 2010

    九州大学教育研究プログラム・研究拠点形成プロジェクト

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    Authorship:Coinvestigator(s)  Grant type:On-campus funds, funds, etc.

  • 確率的取引時刻による資産流動性の研究

    Grant number:19740051  2007 - 2010

    科学研究費助成事業  若手研究(B)

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    Authorship:Principal investigator  Grant type:Scientific research funding

  • 評価を考慮した多段決定問題の最適解に関する研究

    Grant number:19510150  2007 - 2008

    日本学術振興会  科学研究費助成事業  基盤研究(C)

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    Authorship:Coinvestigator(s)  Grant type:Scientific research funding

  • 平成18年度問題に対応するための新入生数学・理科科目の基礎学力調査

    2006 - 2007

    九州大学教育研究プログラム・研究拠点形成プロジェクト

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    Authorship:Coinvestigator(s)  Grant type:On-campus funds, funds, etc.

  • 確率的取引時刻による投資問題の研究

    2006

    経済学研究院重点個別研究補助金

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    Authorship:Principal investigator  Grant type:On-campus funds, funds, etc.

  • 動的計画法による制御積分方程式と数理ファイナンスの研究

    Grant number:4103  2005 - 2008

    日本学術振興会  科学研究費助成事業  基盤研究(B)

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    Authorship:Coinvestigator(s)  Grant type:Scientific research funding

  • 金融資産の流動性に関する研究

    2005

    経済学研究院重点個別研究補助金

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    Authorship:Principal investigator  Grant type:On-campus funds, funds, etc.

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Class subject

  • 微分積分学II

    2023.10 - 2024.3   Second semester

  • 数理ファイナンス

    2023.10 - 2024.3   Second semester

  • 確率モデル解析特研Ⅱ

    2023.10 - 2024.3   Second semester

  • 経済工学演習

    2023.4 - 2024.3   Full year

  • 確率モデル解析特研Ⅰ

    2023.4 - 2023.9   First semester

  • 微分積分学Ⅰ

    2023.4 - 2023.9   First semester

  • 微分積分学II

    2022.10 - 2023.3   Second semester

  • 数理ファイナンス

    2022.10 - 2023.3   Second semester

  • 確率モデル解析特研Ⅱ

    2022.10 - 2023.3   Second semester

  • 経済工学演習

    2022.4 - 2023.3   Full year

  • 微分積分学Ⅰ

    2022.4 - 2022.9   First semester

  • 確率モデル解析特研Ⅰ

    2022.4 - 2022.9   First semester

  • 線形代数II

    2021.10 - 2022.3   Second semester

  • 数理ファイナンス

    2021.10 - 2022.3   Second semester

  • 確率モデル解析特研Ⅱ

    2021.10 - 2022.3   Second semester

  • 経済工学演習

    2021.4 - 2022.3   Full year

  • 確率モデル解析特研Ⅰ

    2021.4 - 2021.9   First semester

  • 応用数理Ⅰ

    2021.4 - 2021.9   First semester

  • 数理ファイナンス

    2020.10 - 2021.3   Second semester

  • 確率モデル解析特研Ⅱ

    2020.10 - 2021.3   Second semester

  • 経済工学演習

    2020.4 - 2021.3   Full year

  • 微分積分A

    2020.4 - 2020.9   First semester

  • 確率モデル解析特研Ⅰ

    2020.4 - 2020.9   First semester

  • 数理ファイナンス

    2018.10 - 2019.3   Second semester

  • 確率モデル解析特研Ⅱ

    2018.10 - 2019.3   Second semester

  • 経済工学基本演習

    2018.10 - 2019.3   Second semester

  • 経済工学演習

    2018.4 - 2019.3   Full year

  • 確率モデル解析特研Ⅰ

    2018.4 - 2018.9   First semester

  • 微分積分A

    2018.4 - 2018.9   First semester

  • 確率モデル解析特研Ⅱ

    2017.10 - 2018.3   Second semester

  • 経済工学基本演習

    2017.10 - 2018.3   Second semester

  • 数理ファイナンス

    2017.10 - 2018.3   Second semester

  • 経済工学演習

    2017.4 - 2018.3   Full year

  • 応用数理Ⅰ

    2017.4 - 2017.9   First semester

  • 微分積分A

    2017.4 - 2017.9   First semester

  • 確率モデル解析特研Ⅰ

    2017.4 - 2017.9   First semester

  • 確率モデル解析特研Ⅱ

    2016.10 - 2017.3   Second semester

  • 経済工学基本演習

    2016.10 - 2017.3   Second semester

  • 数理ファイナンス

    2016.10 - 2017.3   Second semester

  • 経済工学演習

    2016.4 - 2017.3   Full year

  • 確率モデル解析特研Ⅰ

    2016.4 - 2016.9   First semester

  • 微分積分A

    2016.4 - 2016.9   First semester

  • 確率モデル解析特研Ⅱ

    2015.10 - 2016.3   Second semester

  • 経済工学基本演習

    2015.10 - 2016.3   Second semester

  • 数理ファイナンス

    2015.10 - 2016.3   Second semester

  • 経済工学演習

    2015.4 - 2016.3   Full year

  • 確率モデル解析特研Ⅰ

    2015.4 - 2015.9   First semester

  • 微分積分A

    2015.4 - 2015.9   First semester

  • 確率モデル解析特研Ⅱ

    2014.10 - 2015.3   Second semester

  • 経済工学基本演習

    2014.10 - 2015.3   Second semester

  • 数理ファイナンス

    2014.10 - 2015.3   Second semester

  • 経済工学演習

    2014.4 - 2015.3   Full year

  • 確率モデル解析特研Ⅰ

    2014.4 - 2014.9   First semester

  • 微分積分A

    2014.4 - 2014.9   First semester

  • 確率モデル解析特研Ⅱ

    2013.10 - 2014.3   Second semester

  • 経済工学基本演習

    2013.10 - 2014.3   Second semester

  • 数理ファイナンス

    2013.10 - 2014.3   Second semester

  • 経済工学演習

    2013.4 - 2014.3   Full year

  • 応用数理Ⅰ

    2013.4 - 2013.9   First semester

  • 微分積分A

    2013.4 - 2013.9   First semester

  • 確率モデル解析特研Ⅰ

    2013.4 - 2013.9   First semester

  • 確率モデル解析特研Ⅱ

    2012.10 - 2013.3   Second semester

  • 数理ファイナンス

    2012.10 - 2013.3   Second semester

  • 経済工学基本演習

    2012.10 - 2013.3   Second semester

  • 経済工学演習

    2012.4 - 2013.3   Full year

  • 確率モデル解析特研Ⅰ

    2012.4 - 2012.9   First semester

  • 微分積分A

    2012.4 - 2012.9   First semester

  • 確率モデル解析特研Ⅱ

    2011.10 - 2012.3   Second semester

  • 微分積分B

    2011.10 - 2012.3   Second semester

  • 数理ファイナンス

    2011.10 - 2012.3   Second semester

  • 経済工学演習

    2011.4 - 2012.3   Full year

  • 確率モデル解析特研Ⅰ

    2011.4 - 2011.9   First semester

  • 微分積分A

    2011.4 - 2011.9   First semester

  • 確率モデル解析特研Ⅱ

    2010.10 - 2011.3   Second semester

  • 経済工学基本演習

    2010.10 - 2011.3   Second semester

  • 数理ファイナンス

    2010.10 - 2011.3   Second semester

  • 経済工学演習

    2010.4 - 2011.3   Full year

  • 確率モデル解析特研Ⅰ

    2010.4 - 2010.9   First semester

  • 微分積分A

    2010.4 - 2010.9   First semester

  • 確率モデル解析特研Ⅱ

    2009.10 - 2010.3   Second semester

  • 経済工学基本演習

    2009.10 - 2010.3   Second semester

  • 数理ファイナンス

    2009.10 - 2010.3   Second semester

  • 経済工学演習

    2009.4 - 2010.3   Full year

  • 確率モデル解析特研Ⅰ

    2009.4 - 2009.9   First semester

  • 線形代数A

    2009.4 - 2009.9   First semester

  • 確率モデル解析特研Ⅱ

    2008.10 - 2009.3   Second semester

  • 数理ファイナンス

    2008.10 - 2009.3   Second semester

  • 経済工学演習

    2008.4 - 2009.3   Full year

  • 確率モデル解析特研Ⅰ

    2008.4 - 2008.9   First semester

  • 線形代数A

    2008.4 - 2008.9   First semester

  • コアセミナー

    2008.4 - 2008.9   First semester

  • 確率モデル解析特研Ⅱ

    2007.10 - 2008.3   Second semester

  • 経済工学基本演習

    2007.10 - 2008.3   Second semester

  • 応用数理Ⅰ

    2007.10 - 2008.3   Second semester

  • 経済工学演習

    2007.4 - 2008.3   Full year

  • 確率モデル解析特研Ⅰ

    2007.4 - 2007.9   First semester

  • 統計解析

    2007.4 - 2007.9   First semester

  • 線形代数A

    2007.4 - 2007.9   First semester

  • 確率モデル解析特研Ⅱ

    2006.10 - 2007.3   Second semester

  • 経済工学基本演習

    2006.10 - 2007.3   Second semester

  • 経済工学演習

    2006.4 - 2007.3   Full year

  • 確率モデル解析特研Ⅰ

    2006.4 - 2006.9   First semester

  • 統計解析

    2006.4 - 2006.9   First semester

  • 微分積分A

    2006.4 - 2006.9   First semester

  • 確率モデル解析特研Ⅱ

    2005.10 - 2006.3   Second semester

  • 経済工学基本演習

    2005.10 - 2006.3   Second semester

  • 経済工学演習

    2005.4 - 2006.3   Full year

  • 確率モデル解析特研Ⅰ

    2005.4 - 2005.9   First semester

  • 統計解析

    2005.4 - 2005.9   First semester

  • 微分積分A

    2005.4 - 2005.9   First semester

  • 確率モデル解析特研Ⅱ

    2004.10 - 2005.3   Second semester

  • 経済工学演習

    2004.4 - 2005.3   Full year

  • 確率モデル解析特研Ⅰ

    2004.4 - 2004.9   First semester

  • 統計解析

    2004.4 - 2004.9   First semester

  • 微分積分A

    2004.4 - 2004.9   First semester

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FD Participation

  • 2023.11   Role:Participation   Title:九州大学の研究データ管理サービス

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2023.2   Role:Participation   Title:教育の機会均等と合理的配慮の「適当性」

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2022.10   Role:Participation   Title:2021年度学生・教員アンケ-トの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2021.9   Role:Participation   Title:2020年度学生・教員アンケートの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2020.7   Role:Participation   Title:2019年度学生・教員アンケートの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2020.6   Role:Participation   Title:基幹教育セミナーFD

    Organizer:University-wide

  • 2018.6   Role:Participation   Title:2017年度学生・教員アンケートの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2017.6   Role:Participation   Title:トビタテ!留学 Japan ― 九州大学における戦略

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2017.6   Role:Participation   Title:2016年度学生・教員アンケートの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2016.10   Role:Participation   Title:男女共同参画に関わるFD

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2016.6   Role:Participation   Title:2015年度学生・教員アンケートの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2015.11   Role:Participation   Title:信仰・信条による差別やハラスメントの防止と対策

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2015.11   Role:Participation   Title:2016卒、就職活動スケジュール変更に伴う企業の採用動向と学生の動き

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2015.6   Role:Participation   Title:2014年度学生・教員アンケートの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2014.7   Role:Participation   Title:2013年度学生・教員アンケートの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2014.7   Role:Participation   Title:改定したGPA制度実施のためのFD

    Organizer:University-wide

  • 2013.6   Role:Participation   Title:2012年度学生・教員アンケートの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2012.7   Role:Participation   Title:2011年度学生・教員アンケートの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2011.11   Role:Participation   Title:FD研修会

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2011.6   Role:Participation   Title:平成22年度学生・教員アンケートの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2010.9   Role:Participation   Title:平成23年度科学研究費応募に向けての部局内講習会兼FD研修(経済学研究院)

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2010.6   Role:Planning   Title:FD研修会

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2009.11   Role:Planning   Title:FD研修会

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2009.4   Role:Planning   Title:2008年度第3回兼2009年度第1回FD研修会

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2008.7   Role:Participation   Title:平成19年度FDアンケートの分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2007.11   Role:Participation   Title:平成19年度第2回FD研修会

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2007.9   Role:Participation   Title:平成19年度 第2回 全学FD

    Organizer:University-wide

  • 2007.3   Role:Participation   Title:授業活性化のためのヒューマンスキル

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2005.4   Role:Participation   Title:平成16年度 学生・教員アンケート分析と提言

    Organizer:[Undergraduate school/graduate school/graduate faculty]

  • 2004.4   Role:Participation   Title:平成16年度第一回全学FD

    Organizer:University-wide

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Other educational activity and Special note

  • 2008  Class Teacher 

  • 2008  Class Teacher 

Media Coverage

  • 富士銀行のクレジットモデル Newspaper, magazine

    日経金融新聞  2001.6

     More details

    富士銀行のクレジットモデル

  • 富士銀行のマーケットモデル活用法 Newspaper, magazine

    日経金融新聞  2000.7

     More details

    富士銀行のマーケットモデル活用法

Travel Abroad

  • 2019.3 - 2020.3

    Staying countory name 1:United Kingdom   Staying institution name 1:Imperial College London