Egami Masahiko 江上雅彦

… Alternative Names

EGAMI Masahiko 江上雅彦

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Researcher Number	40467395
Other IDs
Affiliation (Current)	2025: 京都大学, 経済学研究科, 教授
Affiliation (based on the past Project Information) *help	2017 – 2023: 京都大学, 経済学研究科, 教授 2012 – 2016: 京都大学, 経済学研究科(研究院), 教授 2011: 京都大学, 大学院・経済学研究科, 准教授 2011: 京都大学, 経済学研究所, 教授 2010: Kyoto University, 経済学研究科, 教授 2008 – 2010: Kyoto University, 経済学研究科, 准教授
Review Section/Research Field	Principal Investigator Basic Section 07060:Money and finance-related / Money/ Finance / Public finance/Monetary economics / Business administration Except Principal Investigator Public finance/Monetary economics
Keywords	Principal Investigator 最終通過時刻 / マルコフ過程 / 変位理論 / クレジットリスク / レジームスイッチ / 相関係数 / 資産価格理論 / 構造変化 / ファイナンス工学 / デフォルト時の資産-負債比率 … More / グリーン関数 / Loss-given default / 動学的最適化 / 派生証券 / オプション価格 / レジームスイッチモデル / CAT bond / 回収不能債権 / ローン損失率 / ポワソン過程 / 消失時刻 / CATボンド / 時間反転 / 最適停止問題 / 拡散過程 / 最適ポートフォリオ / ジャンプ過程 / マルコフモデル / ＲＥＩＴ / 金融論 / レバレッジ比率 / 債権証券化 / 証券化プログラム / REIT / 効率的ポートフォリオ / 相関 / 行動学的分析 / ファイナンス / ジャンプモデル / ファンドマネージメント / 流動性 / 行動学的要因 / 資産価格相関 / 設備投資問題 / 再保険問題 / ジョブサーチ理論 / 配当政策 / 最適スイッチ戦略 / 転換社債 / ゲームオプション / 経営戦略 / リアルオプション … More Except Principal Investigator レビーモデル / イヴェント・スタディー / 銀行監督 / 金融危機 / 動学的最適化問題 / リクス管理 / ソルベンシーリスク / イベントスタディー / 証券化 / 金融契約理論 / 東日本大震災 / 金融破綻 / 外部資金制約 / 二重債務問題 / 社会的厚生 / 最適停止問題 / 早期是正措置 / リスク管理 Less

The last passage time of Markov process and its application to financial problemsPrincipal Investigator
- Principal Investigator
  
  江上雅彦
- Project Period (FY)
  2023 – 2025
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Kyoto University
Advances in stochastic optimization and derivatives pricing in financial engineeringPrincipal Investigator
- Principal Investigator
  
  Egami Masahiko
- Project Period (FY)
  2018 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Kyoto University
Detecting structural changes in the capital markets and its application to the investment theoryPrincipal Investigator
- Principal Investigator
  
  Egami Masahiko
- Project Period (FY)
  2014 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Money/ Finance
- Research Institution
  Kyoto University
An behavior finance approach to asset price correlations and applications to financial engineeringPrincipal Investigator
- Principal Investigator
  
  EGAMI Masahiko
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Kyoto University
Development of financial risk management and supervision as an application of dynamic optimization theory
- Principal Investigator
  
  HOSONO Kaoru
- Project Period (FY)
  2010 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Gakushuin University
Dynamic Analysis of Management Strategies via Complex Real Options TheoryPrincipal Investigator
- Principal Investigator
  
  EGAMI Masahiko
- Project Period (FY)
  2008 – 2010
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Business administration
- Research Institution
  Kyoto University

All 2022 2020 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Other

All Journal Article Presentation

[Journal Article] A Direct Solution Method for Pricing Options in Regime-switching Models2020
- Author(s)
  M. Egami and R. Kevkhishvili
- Journal Title
  
  Mathematical Finance
  
  Volume: 30 (2) Issue: 2 Pages: 547-576
- DOI
  10.1111/mafi.12220
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01683, KAKENHI-PROJECT-17J06948
[Journal Article] Time reversal and last passage time of diffusions with applications to credit risk management2020
- Author(s)
  Masahiko Egami, Rusudan Kevkhishvili
- Journal Title
  
  Finance and Stochastics
  
  Volume: 24 Issue: 3 Pages: 795-825
- DOI
  10.1007/s00780-020-00423-6
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17J06948, KAKENHI-PROJECT-18K01683
[Journal Article] A Direct Solution Method for Pricing Options involving the Maximum Process2017
- Author(s)
  M. Egami and T. Oryu
- Journal Title
  
  Finance and Stochastics
  
  Volume: 21 Issue: 4 Pages: 967-993
- DOI
  10.1007/s00780-017-0343-5
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26285069
[Journal Article] An Analysis of Simultaneous Company Defaults Using a Shot Noise Process2017
- Author(s)
  M. Egami and R. Kevkhishvili
- Journal Title
  
  Journal of Banking and Finance
  
  Volume: 80 Pages: 135-161
- DOI
  10.1016/j.jbankfin.2017.04.007
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26285069, KAKENHI-PROJECT-17J06948
[Journal Article] 証券化による発行者の資産リスクの変動と資本市場の評価2015
- Author(s)
  江上雅彦・細野薫
- Journal Title
  
  学習院大学経済経営研究所　年報
  
  Volume: 29 Pages: 19-28
- Data Source
  KAKENHI-PROJECT-26285069
[Journal Article] An Excursion-theoretic Approach to Regulator's Bank Reorganization Problem2015
- Author(s)
  Masahiko Egami and Tadao Oryu
- Journal Title
  
  Operations Research
  
  Volume: 63 Pages: 523-539
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26285069
[Journal Article] An excursion-theoretic approach to regualtor's bank reorganization problem2015
- Author(s)
  Masahiko Egami and Tadao Oryu
- Journal Title
  
  Operations Research
  
  Volume: 未定
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26285069
[Journal Article] On the continuous and smooth fit principle for optimal stopping problem in spectrally negative Levy modeles2014
- Author(s)
  M.Egami and K.Yamazaki
- Journal Title
  
  Advances in Applied Probability
  
  Volume: 46(1) Issue: 1 Pages: 139-167
- DOI
  10.1239/aap/1396360107
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330104
[Journal Article] On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Levy models2014
- Author(s)
  M. Egami and K. Yamazaki
- Journal Title
  
  Advances in Applied Probability
  
  Volume: 46 (1) Pages: 139-167
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330104
[Journal Article] The change of correlation structure across industries : An analysis in the regime switching framework2014
- Author(s)
  M.Egami, Y.Shigeta, and K.Wakai
- Journal Title
  
  京都大学経済学部ディスカッションペーパー
- URL
  http://www.econ.kyoto-u.ac.jp/projectcenter/Paper/e-14-002.pdf
- Data Source
  KAKENHI-PROJECT-23330104
[Journal Article] 銀行規制当局による最適介入プログラムについて2013
- Author(s)
  江上雅彦、細野薫
- Journal Title
  
  学習院大学経済論集
  
  Volume: 50巻 Pages: 19-30
- NAID
  110009559596
- URL
  http://www.gakushuin.ac.jp/univ/eco/gakkai/pdf_files/keizai_ronsyuu/contents/contents2013/5001/5001egami/5001egami.pdf
- Data Source
  KAKENHI-PROJECT-22330098
[Journal Article] 銀行規制当局による最適介入プログラムについて2013
- Author(s)
  江上　雅彦、細野　薫
- Journal Title
  
  学習院大学　経済論集
  
  Volume: 50 Pages: 19-30
- NAID
  110009559596
- Data Source
  KAKENHI-PROJECT-22330098
[Journal Article] Precautionary Measures for Credit Risk Management in Jump Models2013
- Author(s)
  Masahiko Egami and Kazutoshi Yamazaki
- Journal Title
  
  Stochastics
  
  Volume: 85(1) Pages: 111-143
- URL
  http://www.tandfonline.com/doi/full/10.1080/17442508.2011.653566#.UacxpJSCizk
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22330098
[Journal Article] An analysis of CDS market liquidity by the Hawkes process2013
- Author(s)
  M.Egami, Y.Kato, and T.Sawaki
- Journal Title
  
  京都大学経済学部ディスカッションペーパー
- URL
  http://www.econ.kyoto-u.ac.jp/projectcenter/Paper/e-13-001.pdf
- Data Source
  KAKENHI-PROJECT-23330104
[Journal Article] Precautionary Measures for Credit Risk Management in Jump Models2012
- Author(s)
  M.Egami, K.Yamazaki
- Journal Title
  
  Stochastics
  
  Volume: (掲載決定) Issue: 1 Pages: 111-143
- DOI
  10.1080/17442508.2011.653566
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22330098, KAKENHI-PROJECT-22710143, KAKENHI-PROJECT-23310103
[Journal Article] Optimal stopping problems for asset management2012
- Author(s)
  S.Dayanik and M. Egami
- Journal Title
  
  Advances in Applied Probability
  
  Volume: 44 (3) Issue: 3 Pages: 655-677
- DOI
  10.1239/aap/1346955259
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330104
[Journal Article] Optimal Stopping when the Absorbing Boundary is Following After2012
- Author(s)
  Masahiko Egami and Tadao Oryu
- Journal Title
  
  京都大学経済学部 Discussion Paper
- URL
  http://www.econ.kyoto-u.ac.jp/~egami/excursion.pdf
- Data Source
  KAKENHI-PROJECT-22330098
[Journal Article] 銀行の最適資産証券化プログラムについて2010
- Author(s)
  江上雅彦・細野薫
- Journal Title
  
  学習院大学経済経営研究所年報
  
  Volume: 24 Pages: 97-112
- NAID
  110007989759
- Data Source
  KAKENHI-PROJECT-22330098
[Journal Article] On the one-dimensional optimal switching problems2010
- Author(s)
  E.Bayraktar, M.Egami
- Journal Title
  
  Mathematics of Operations Research 35
  
  Pages: 140-159
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] A Unified Treatment of Dividend Payment Problems Under Fixed Cost and Implementation Delays2010
- Author(s)
  Bayraktar, E., M.Egami
- Journal Title
  
  Mathematical Methods of Operations Research 71
  
  Pages: 325-351
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] A game options approach to the investment problem with convertible debt financing.2010
- Author(s)
  M.Egami
- Journal Title
  
  Journal of Economic Dynamics and Control
  
  Volume: 34 Pages: 1456-1470
- NAID
  120002426872
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] 銀行の最適証券化プログラムについて2010
- Author(s)
  江上雅彦、細野薫
- Journal Title
  
  学習院経済経営研究所年報
  
  Volume: 24巻 Pages: 97-112
- Data Source
  KAKENHI-PROJECT-22330098
[Journal Article] On the one-dimensional optimal switching problems2010
- Author(s)
  Bayraktar, E., M.Egami
- Journal Title
  
  Mathematics of Operations Research 35
  
  Pages: 140-159
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] A unifiedtreatment of dividend payment problems under fixed cost and mplementation delays2010
- Author(s)
  E.Bayraktar, M.Egami
- Journal Title
  
  Mathematical Methods of Operations Research 71
  
  Pages: 325-351
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] A game options approach to the investment problem with convertible debt financing2010
- Author(s)
  M.Egami
- Journal Title
  
  Journal of Economic Dynamics and Control 34
  
  Pages: 1456-1470
- NAID
  120002426872
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] search model with job switch and jumps2009
- Author(s)
  M.Egami, M.Xu
- Journal Title
  
  Mathematical Methods of Operations Research 70
  
  Pages: 241-267
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] Optimal reinsurance strategy under fixed cost and delay2009
- Author(s)
  Egami, M, V. R. Young
- Journal Title
  
  Stochastic Processes and Their Applications 119
  
  Pages: 1015-1034
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] A framework for the study of expansion options, loan commitments and agency costs2009
- Author(s)
  M.Egami
- Journal Title
  
  Journal of Corporate Finance 15
  
  Pages: 345-357
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] Optimal reinsurance strategy under fixed cost and delay2009
- Author(s)
  M.Egami, V.R.Young
- Journal Title
  
  Stochastic Processes and Their Applications 119
  
  Pages: 1015-1103
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] A Framework for the Study of Expansion Options, Loan Commitments and Agency Costs2009
- Author(s)
  Egami, M.
- Journal Title
  
  Journal of Corporate Finance 15
  
  Pages: 345-357
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] A Continuous-Time Search Model with Job Switch and Jumps2009
- Author(s)
  Egami, M., M.Xu
- Journal Title
  
  Mathematical Methos of Operations Research 70
  
  Pages: 241-267
- NAID
  120001712072
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] An Analysis of Monotone Follower Problems for Diffusion Processes2008
- Author(s)
  Bayraktar, E., M. Egami
- Journal Title
  
  Mathematics of Operations Research 33
  
  Pages: 336-350
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] A direct solution method for stochastic impulse control problems of one-dimensional diffusions2008
- Author(s)
  M.Egami
- Journal Title
  
  SIAM Journal on Control and Optimization 47
  
  Pages: 1191-1218
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] An analysis of monotone follower problems for diffusion processes2008
- Author(s)
  E.Bayraktar, M.Egami
- Journal Title
  
  Mathematics of Operations Research 33
  
  Pages: 336-350
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] Indifference Prices of Structured Catashtrophe (CAT) Bonds2008
- Author(s)
  Egami, M, V. R. Young
- Journal Title
  
  Insurance : Mathematics and Economics 42
  
  Pages: 771-778
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] Indifference prices of structured catastrophe (CAT) bonds2008
- Author(s)
  M.Egami, V.R.Young
- Journal Title
  
  Insurance : Mathematicsand Economics 42
  
  Pages: 771-778
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions2008
- Author(s)
  Egami, M
- Journal Title
  
  SIAM Journal on Control and Optimization 47
  
  Pages: 1191-1218
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530340
[Journal Article] Optimal Stopping Problems for Asset Management
- Author(s)
  Savas Dayanik, Masahiko Egami
- Journal Title
  
  Advances in Applied Probability
  
  Volume: (掲載確定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] A new approach to estimating loss-given-default distribution2022
- Author(s)
  江上雅彦
- Organizer
  Bachelier Finance Society, 11th World Congress
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01683
[Presentation] An application of time reversal to credit risk mamangement2018
- Author(s)
  江上雅彦
- Organizer
  一橋大学経済統計ワークショップ
- Invited
- Data Source
  KAKENHI-PROJECT-18K01683
[Presentation] An application of time reversal to credit risk mamangement2018
- Author(s)
  Masahiko Egami
- Organizer
  Bachelier Finance Society, 10th World Congress
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01683
[Presentation] 拡散過程とその最大値に関する最適停止問題の変位理論による解法について2016
- Author(s)
  江上雅彦
- Organizer
  日本オペレーションズ・リサーチ学会2016春季研究発表会
- Place of Presentation
  慶応義塾大学　矢上キャンパス、横浜市
- Year and Date
  2016-03-17
- Data Source
  KAKENHI-PROJECT-26285069
[Presentation] Explicit Solutions for Optimal Stopping of Maximum Process with Absorbing Boundary2016
- Author(s)
  江上雅彦
- Organizer
  Ｂａｃｈｅｌｉｅｒ　Ｆｉｎａｎｃｅ　Ｓｏｃｉｅｔｙ，　９ｔｈ　Ｗｏｒｌｄ　Ｃｏｎｇｒｅｓｓ
- Place of Presentation
  Ｎｅｗ　Ｙｏｒｋ，　ＮＹ
- Year and Date
  2016-07-15
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26285069
[Presentation] An excursion-theoretic approach to leveraged finance2014
- Author(s)
  江上雅彦
- Organizer
  International Conference on Portfolio Selection and Asset Pricing in Financial Markets
- Place of Presentation
  京都大学
- Invited
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] An excursion-theoretic approach to leveraged finance2014
- Author(s)
  江上雅彦, 尾立唯生
- Organizer
  International conference on portfolio selection and asset pricing in financial markets
- Place of Presentation
  京都大学経済研究所
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] An analysis of CDS market liquidity by the Hawkes process2013
- Author(s)
  澤木智史（江上雅彦の共著者）
- Organizer
  日本ファイナンス学会
- Place of Presentation
  武蔵大学江古田キャンパス
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] An excursion-theoretic approach to financial decisions2013
- Author(s)
  江上雅彦, 尾立唯生
- Organizer
  横浜国大, 南山大学共同ファイナンスワークショップ
- Place of Presentation
  横浜国立大学
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] An analysis of CDS market liquidity by the Hawkes process2013
- Author(s)
  江上雅彦, 加藤康之, 澤木智史
- Organizer
  日本ファイナンス学会第21回大会
- Place of Presentation
  武蔵大学
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] An excursion-theoretic approach to financial decisions2013
- Author(s)
  江上雅彦
- Organizer
  横浜国立大学・南山大学共同ファイナンス・ワークショップ2013
- Place of Presentation
  横浜国立大学
- Invited
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] The change of correlation structure across industries: Ａn analysis in the regime switching frameworｋ2013
- Author(s)
  重田雄樹（江上雅彦・若井克俊の共著者）
- Organizer
  日本ファイナンス学会２１回大会
- Place of Presentation
  武蔵大学江古田キャンパス
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] The change of correlation structure across industries2013
- Author(s)
  江上雅彦, 重田雄樹, 若井克俊
- Organizer
  日本ファイナンス学会第21回大会
- Place of Presentation
  武蔵大学
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] An excursion-theoretic approach to financial decisions2013
- Author(s)
  江上雅彦, 尾立唯生
- Organizer
  ワークショップ「金融工学, 数理計量ファイナンスの諸問題2013」
- Place of Presentation
  大阪大学
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] An excursion-theoretic approach to financial decisions2013
- Author(s)
  江上雅彦
- Organizer
  ワークショップ「金融工学・数理計量ファイナンスの諸問題2013」
- Place of Presentation
  大阪大学
- Invited
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] Optimal Stopping when the Absorbing Boundary is Following After2012
- Author(s)
  江上雅彦
- Organizer
  大阪大学CSFIセミナー
- Place of Presentation
  大阪大学
- Year and Date
  2012-09-07
- Data Source
  KAKENHI-PROJECT-22330098
[Presentation] On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Levy Models2012
- Author(s)
  Masahiko Egami
- Organizer
  Bachelier Finance Society
- Place of Presentation
  Sydney, Australia
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] レヴィーモデルにおける自己資本管理問題とその解法2011
- Author(s)
  江上雅彦
- Organizer
  日本オペレーションズ学会2011年秋季研究発表会
- Place of Presentation
  甲南大学
- Year and Date
  2011-09-16
- Data Source
  KAKENHI-PROJECT-22330098
[Presentation] Precautionary Measures for Credit Risk Management in Jump Models2010
- Author(s)
  江上雅彦
- Organizer
  2010 CREST and Sakigake, International Symposium on "Asymptotic Statistics, Risk and Computation in Finance and Insurance
- Place of Presentation
  東京工業大学
- Year and Date
  2010-12-18
- Data Source
  KAKENHI-PROJECT-20530340
[Presentation] 転換社債ファイナンスによる投資問題へのゲームオプション的アプローチ2009
- Author(s)
  江上雅彦
- Organizer
  日本オペレーションズ学会
- Place of Presentation
  大阪大学
- Year and Date
  2009-07-18
- Data Source
  KAKENHI-PROJECT-20530340
[Presentation] 転換社債ファイナンスによる投資問題へのゲーム・オプション的アプローチ2009
- Author(s)
  江上雅彦
- Organizer
  日本オペレーションズ学会春季研究発表会
- Place of Presentation
  筑波大学春日キャンパス
- Year and Date
  2009-03-17
- Data Source
  KAKENHI-PROJECT-20530340
[Presentation] A Game Options Approach to the Investment Problem with Convertible Debt Financing2009
- Author(s)
  江上雅彦
- Organizer
  KIER-TMU International Workshop on Financial Engineering 2009
- Place of Presentation
  大手町サンケイプラザ
- Year and Date
  2009-08-04
- Data Source
  KAKENHI-PROJECT-20530340
[Presentation] On the one-dimensional optimal switching problem2008
- Author(s)
  江上雅彦
- Organizer
  研究集会「経済の数理解析」京都大学数理解析研究所
- Place of Presentation
  京都大学京大会館
- Year and Date
  2008-11-30
- Data Source
  KAKENHI-PROJECT-20530340
[Presentation] Optimal Stopping when the Absorbing Boundary is Following After
- Author(s)
  江上雅彦
- Organizer
  大阪大学ＣＳＦＩセミナー
- Place of Presentation
  大阪大学
- Data Source
  KAKENHI-PROJECT-22330098

1. WAKAI Katsutoshi (80455708)

# of Collaborated Projects: 2 results

# of Collaborated Products: 3 results
2. HOSONO Kaoru (80282945)

# of Collaborated Projects: 1 results

# of Collaborated Products: 4 results
3. KEVKHISHVILI RUSUDAN

# of Collaborated Projects: 0 results

# of Collaborated Products: 2 results

Egami Masahiko 江上 雅彦

EGAMI Masahiko 江上 雅彦

Research Projects

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The last passage time of Markov process and its application to financial problemsPrincipal Investigator

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Advances in stochastic optimization and derivatives pricing in financial engineeringPrincipal Investigator

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Detecting structural changes in the capital markets and its application to the investment theoryPrincipal Investigator

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An behavior finance approach to asset price correlations and applications to financial engineeringPrincipal Investigator

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Development of financial risk management and supervision as an application of dynamic optimization theory

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Dynamic Analysis of Management Strategies via Complex Real Options TheoryPrincipal Investigator

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[Journal Article] A Direct Solution Method for Pricing Options in Regime-switching Models2020

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[Journal Article] Time reversal and last passage time of diffusions with applications to credit risk management2020

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[Journal Article] A Direct Solution Method for Pricing Options involving the Maximum Process2017

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[Journal Article] An Analysis of Simultaneous Company Defaults Using a Shot Noise Process2017

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[Journal Article] 証券化による発行者の資産リスクの変動と資本市場の評価2015

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[Journal Article] An Excursion-theoretic Approach to Regulator's Bank Reorganization Problem2015

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[Journal Article] An excursion-theoretic approach to regualtor's bank reorganization problem2015

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[Journal Article] On the continuous and smooth fit principle for optimal stopping problem in spectrally negative Levy modeles2014

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[Journal Article] On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Levy models2014

Author(s)

Egami Masahiko 江上雅彦

EGAMI Masahiko 江上雅彦