Imamura Yuri 今村悠里

… Alternative Names

今村悠里イマムラユリ

IMAMURA Yuri 今村悠里

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Researcher Number	40633194
Other IDs
Affiliation (Current)	2025: 東京理科大学, 経営学部ビジネスエコノミクス学科, 准教授
Affiliation (based on the past Project Information) *help	2020 – 2023: 金沢大学, 数物科学系, 助教 2017: 立命館大学, 理工学部, 助教 2016 – 2017: 東京理科大学, 経営学部ビジネスエコノミクス学科, 助教 2013 – 2015: 立命館大学, 理工学部, 助教 2012: 立命館大学, 理工学部, 助手
Review Section/Research Field	Principal Investigator Basic Section 12040:Applied mathematics and statistics-related / Money/ Finance / General mathematics (including Probability theory/Statistical mathematics) Except Principal Investigator Money/ Finance
Keywords	Principal Investigator 確率微分方程式 / 拡散過程 / バリアーオプション / Ｐｕｔ－Ｃａｌｌ対称化 / 漸近展開 / タイミングリスク / 静的ヘッジ / Carr-Nadtochiy 変換 / 対称性 / 確率分布 … More / 数値計算 / 対称変換 / 分布の対称性 / 到達時間 / 確率過程 / Put-Call 対称性 / SABRモデル / パラメトリックス / Put-Call対称性 / parametrix / Put - Call 対称化 / 社債 / ノックアウトオプション / Put－Call対称化 / 数理ファイナンス … More Except Principal Investigator エキゾチックデリバティブ / 金利の期間構造 / 国際情報交換 / 国際研究者交流 / 構造型アプローチ / 熱核法 / 応用数学 / 金融論 / 確率論 / 拡散過程の対称化 / 連鎖倒産モデル / ラフボラティリティモデル / 連続時間マクロファイナンス / フラクショナルボラティリティ / 静的ヘッジ / タイミングリスク / フーリエ法 / 数理ファイナンス Less

拡散過程の到達時間分布と数理ファイナンスへの応用Principal Investigator
- Principal Investigator
  
  今村悠里
- Project Period (FY)
  2020 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 12040:Applied mathematics and statistics-related
- Research Institution
  Kanazawa University
Asymptotic static hedging of a timing riskPrincipal Investigator
- Principal Investigator
  
  Imamura Yuri
- Project Period (FY)
  2014 – 2017
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Money/ Finance
- Research Institution
  Tokyo University of Science
  Ritsumeikan University
Heat Kernel Approach in Financial Engineering of New Generation
- Principal Investigator
  
  Akahori Jiro
- Project Period (FY)
  2013 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Money/ Finance
- Research Institution
  Ritsumeikan University
Generalization of Put-Call Symmetry Method and Its ApplicationsPrincipal Investigator
- Principal Investigator
  
  IMAMURA Yuri
- Project Period (FY)
  2012 – 2013
- Research Category
  
  Grant-in-Aid for Research Activity Start-up
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Ritsumeikan University

All 2023 2022 2021 2020 2018 2017 2016 2015 2014 2013 Other

All Journal Article Presentation

[Journal Article] Hedging error as generalized timing risk2023
- Author(s)
  J. Akahori. F. Barsotti and Y. Imamura
- Journal Title
  
  Quantitative Finance
  
  Volume: 23 Issue: 4 Pages: 693-703
- DOI
  10.1080/14697688.2022.2154255
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666, KAKENHI-PROJECT-20K03731
[Journal Article] Portfolio optimization with conditional Value-at-Risk under CEV model2023
- Author(s)
  Imamura Yuri、Kosapong Benyanee
- Journal Title
  
  The Science Reports of Kanazawa University
  
  Volume: 66 Pages: 17-27
- DOI
  10.24517/0002000262
- ISSN
  2433-040X
- URL
  https://kanazawa-u.repo.nii.ac.jp/records/2000262
- Language
  English
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03731
[Journal Article] Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment2023
- Author(s)
  Punaluek Sutipon、Imamura Yuri
- Journal Title
  
  International Journal of Mathematics for Industry
  
  Volume: 15 Issue: 01
- DOI
  10.1142/s2661335223500107
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03731
[Journal Article] On the Convergence Order of a Binary Tree Approximation of Symmetrized Diffusion Processes2023
- Author(s)
  Jiro Akahori, Jie Yen Fan, Yuri Imamura
- Journal Title
  
  Mathematics and Computers in Simulation
  
  Volume: 1 Pages: 1-20
- DOI
  10.1016/j.matcom.2023.03.030
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666, KAKENHI-PROJECT-20K03731
[Journal Article] An Extension with Illustrations of the Azma-Yor Algorithm for Solving Skorokhod Embedding Problem2023
- Author(s)
  Imamura Yuri、Yen Ju-Yi
- Journal Title
  
  Peter Carr Gedenkschrift: Research Advances in Mathematical Finance
  
  Volume: 0 Pages: 821-841
- DOI
  10.1142/9789811280306_0023
- ISBN
  9789811280290, 9789811280306
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03731
[Journal Article] An application of risk theory to mortgage lending2022
- Author(s)
  Akahori J.、Constantinescu C.、Imamura Y.、Pham H. H.
- Journal Title
  
  Scandinavian Actuarial Journal
  
  Volume: 2022 Issue: 5 Pages: 447-469
- DOI
  10.1080/03461238.2021.1995781
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03731
[Journal Article] Carr-Nadtochiy’s weak reflection principle for Markov chains on Z^d2020
- Author(s)
  Yuri Imamura
- Journal Title
  
  Japan Journal of Industrial and Applied Mathematics
  
  Volume: 38 Issue: 1 Pages: 257-267
- DOI
  10.1007/s13160-020-00436-w
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20K03731
[Journal Article] Asymptotic Static Hedge via Symmetrization2018
- Author(s)
  J. Akahori, Barsotti, F., & Imamura, Y.
- Journal Title
  
  arXiv
  
  Volume: arXiv:1801.04045 [q-fin.PR]
- Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285102
[Journal Article] The Value of Timing Risk2017
- Author(s)
  Jiro Akahori, Flavia Barsotti, Yuri Imamura
- Journal Title
  
  arXiv:1701.05695
  
  Volume: NA
- Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285102
[Journal Article] Towards the exact simulation using hyperbolic Brownian motion2017
- Author(s)
  Yuuki Ida, Yuri Imamura
- Journal Title
  
  Japan Journal of Industrial and Applied Mathematics
  
  Volume: 34 Issue: 3 Pages: 833-843
- DOI
  10.1007/s13160-017-0265-9
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26780193
[Journal Article] A Numerical Scheme Based on Semi-Static Hedging Strategy2014
- Author(s)
  Yuri Imamura, Yuta Ishigaki and Toshiki Okumura
- Journal Title
  
  Monte Carlo Methods and Applications
  
  Volume: 10 Issue: 4 Pages: 223-235
- DOI
  10.1515/mcma-2014-0002
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26780193
[Journal Article] On a symmetrization of diffusion processes2014
- Author(s)
  Jiro Akahori and Yuri Imamura
- Journal Title
  
  Quantitative Finance
  
  Volume: 印刷中 Issue: 7 Pages: 1211-1216
- DOI
  10.1080/14697688.2013.825923
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25285102, KAKENHI-PROJECT-26780193
[Journal Article] Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion2013
- Author(s)
  Yuri Imamura, Katsuya Takagi
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 20 Issue: 1 Pages: 71-81
- DOI
  10.1007/s10690-012-9159-7
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25285102
[Journal Article] On a Symmetrization of Diffusion Processes2013
- Author(s)
  Jiro Akahori and Yuri Imamura
- Journal Title
  
  Quantitative Finance
  
  Volume: online first Pages: 0-0
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24840042
[Journal Article] Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion2013
- Author(s)
  Y.Imamura、K.Takagi
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 20 Pages: 71-81
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24840042
[Journal Article] On a Symmetrization of Diffusion Processes2013
- Author(s)
  J.Akahori、Y.Imamura
- Journal Title
  
  Quantitative Finance
  
  Volume: (Published online)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24840042
[Presentation] バリアーオプションの対称化 2 項モデル近似とその収束2023
- Author(s)
  今村悠里
- Organizer
  金融工学・数理計量ファイナンスの諸問題 2023
- Data Source
  KAKENHI-PROJECT-20K03731
[Presentation] 2023 Spring Central Sectional Meeting2023
- Author(s)
  Jiro Akahori, Jie Yen Fan, Yuri Imamura
- Organizer
  2023 Spring Central Sectional Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03731
[Presentation] A Discrete Scheme of semi-Static Hedging of Barrier Options2022
- Author(s)
  Yuri Imamura
- Organizer
  MATRIX program “Mathematics of Risk - 2022”
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03731
[Presentation] A Discrete Scheme of Static Hedging of Barrier Options2022
- Author(s)
  Yuri Imamura
- Organizer
  1st Seoul-London Workshop on Mathematical Finance
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03731
[Presentation] On the Convergence Order of a Binary Tree Approximation2022
- Author(s)
  Yuri Imamura
- Organizer
  Ajou Workshop on Financial Engineering
- Data Source
  KAKENHI-PROJECT-20K03731
[Presentation] Risk models for the Japanese double-debt problem2021
- Author(s)
  Y. Imamura
- Organizer
  4th KAFE-JAFEE International Symposium on Financial Engineering
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03731
[Presentation] An Insurance Risk Model with an Exponential Functional of Renewal-Reward Processes2020
- Author(s)
  今村　悠里
- Organizer
  日本応用数理学会 2020年研究部会連合発表会
- Data Source
  KAKENHI-PROJECT-20K03731
[Presentation] Towards the Exact Simulation Using Hyperbolic Brownian Motion2017
- Author(s)
  井田有紀, 今村悠里
- Organizer
  第46回　2016年度冬季JAFEE大会
- Place of Presentation
  武蔵大学
- Year and Date
  2017-02-18
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26780193
[Presentation] Static Hedge with a Generalized Reflection Principle2017
- Author(s)
  Yuri Imamura
- Organizer
  Dirichlet Forms and Stochastic Analysis
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26780193
[Presentation] The Value of Timing Risk2016
- Author(s)
  赤堀次郎, 今村悠里, Flavia Barsotti
- Organizer
  第45回　2016年度夏季JAFEE大会
- Place of Presentation
  成城大学
- Year and Date
  2016-08-09
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26780193
[Presentation] A New Numerical Scheme for the Price of Barrier Options Based on a Symmetrization of Diffusion Processes2016
- Author(s)
  Yuri Imamura
- Organizer
  Workshop on SDEs and Stochastic Processes
- Place of Presentation
  Nankai University
- Year and Date
  2016-04-29
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26780193
[Presentation] A Numerical Scheme Based on Semi-Static Hedging Strategy2016
- Author(s)
  Yuri Imamura
- Organizer
  2016年冬期淑明女子大学校数理ファイナンスセミナー
- Place of Presentation
  冬期淑明女子大学校 (韓国)
- Year and Date
  2016-01-18
- Data Source
  KAKENHI-PROJECT-26780193
[Presentation] A New Numerical Scheme for the Price of Barrier Options Based on a Symmetrization of Diffusion Processes2016
- Author(s)
  Yuri Imamura
- Organizer
  Workshop on SDEs and Stochastic Processes
- Place of Presentation
  the Chern Institute of Mathematics, Nankai University (中国)
- Year and Date
  2016-04-29
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26780193
[Presentation] Asymptotic Static Hedge via Symmetrization2016
- Author(s)
  赤堀次郎, 今村悠里, Flavia Barsotti
- Organizer
  金融工学・数理計量ファイナンスの諸問題 2016
- Place of Presentation
  大阪大学中之島センター
- Year and Date
  2016-12-02
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26780193
[Presentation] A New Numerical Scheme for the Price of Barrier Options Based on a Symmetrization of Diffusion Processes2015
- Author(s)
  Yuri Imamura
- Organizer
  Columbia-JAFEE Conference 2015
- Place of Presentation
  Columbia University (アメリカ合衆国)
- Year and Date
  2015-10-03
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26780193
[Presentation] Asymptotic and exact semi-static hedges2015
- Author(s)
  Yuri Imamura
- Organizer
  Probability Seminar
- Place of Presentation
  Institute of Mathematics, Academia Sinica (台湾)
- Year and Date
  2015-05-04
- Data Source
  KAKENHI-PROJECT-26780193
[Presentation] An Asymptotic Static Hedge of a Timing Risk2014
- Author(s)
  Yuri Imamura
- Organizer
  The Quantitative Methods in Finance 2014 Conference
- Place of Presentation
  Hilton SYDNEY Hotel　（Sydney, Australia）
- Year and Date
  2014-12-17
- Data Source
  KAKENHI-PROJECT-26780193
[Presentation] An Asymptotic Static Hedge of a Timing Risk2014
- Author(s)
  Jirô Akahori，Yuri Imamura，Flavia Barsotti
- Organizer
  International Workshop on Risk Analysis, Ruin and Extremes
- Place of Presentation
  Nankai University (Tianhin, China)
- Year and Date
  2014-07-14
- Data Source
  KAKENHI-PROJECT-26780193
[Presentation] An Asymptotic Static Hedge of a Corporate Defaultable Bond2013
- Author(s)
  Y.Imamura
- Organizer
  The Fifth Florence-Ritsumeikan Workshop on Stochastic Processes and Applications to Finance and Risk Management
- Place of Presentation
  フィレンツェ(イタリア)
- Year and Date
  2013-03-12
- Data Source
  KAKENHI-PROJECT-24840042
[Presentation] The Put-Call Symmetry Method by a Higher-Order Scheme2013
- Author(s)
  R.Akimoto、Y.Imamura、N.Shimizu
- Organizer
  The 45^<th> ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  琉球大学(沖縄県)
- Year and Date
  2013-11-01
- Data Source
  KAKENHI-PROJECT-24840042
[Presentation] タイミングリスクの静的ヘッジ2013
- Author(s)
  今村悠里
- Organizer
  日本応用数理学会2013年度年会
- Place of Presentation
  アクロス福岡(福岡県)
- Year and Date
  2013-09-11
- Data Source
  KAKENHI-PROJECT-24840042
[Presentation] Earthquake Insurance Reserves Implied by a Coherent Risk Measure2013
- Author(s)
  J.Akahori、Y.Imamura、H.Ohgaki、K.Uchida
- Organizer
  The 45^<th> ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  琉球大学(沖縄県)
- Year and Date
  2013-11-01
- Data Source
  KAKENHI-PROJECT-24840042
[Presentation] An Asymptotic Static Hedge of a Timing Risk and its Error2013
- Author(s)
  Y.Imamura
- Organizer
  Stochastic processes and their statistics in Finance
- Place of Presentation
  沖縄青年会館(沖縄県)
- Year and Date
  2013-11-01
- Data Source
  KAKENHI-PROJECT-24840042
[Presentation] Static hedging of timing risk2013
- Author(s)
  Y.Imamura
- Organizer
  The First International Workshop on Quantum Information Theory and Related Topics
- Place of Presentation
  ダナン(ベトナム)
- Year and Date
  2013-08-20
- Data Source
  KAKENHI-PROJECT-24840042
[Presentation] A diffusion approximation of a stochastic model of metastasis formation2013
- Author(s)
  J.Akahori、Y.Imamura、T. Nakai、A.Naganawa、T.Shibutani
- Organizer
  The 45th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
- Place of Presentation
  琉球大学(沖縄県)
- Year and Date
  2013-11-02
- Data Source
  KAKENHI-PROJECT-24840042
[Presentation] An Asymptotic Static Hedge of a Timing Risk and its Error
- Author(s)
  今村　悠里
- Organizer
  Stochastic processes and their statistics in Finance in Okinawa
- Place of Presentation
  沖縄青年会館（沖縄県）
- Data Source
  KAKENHI-PROJECT-24840042
[Presentation] タイミングリスクの静的ヘッジ
- Author(s)
  今村　悠里
- Organizer
  日本応用数理学会2013年度年会
- Place of Presentation
  アクロス福岡（福岡県）
- Data Source
  KAKENHI-PROJECT-24840042
[Presentation] An Asymptotic Static Hedge of a Timing Risk and its Error
- Author(s)
  Y. Imamura
- Organizer
  Stochastic processes and their statistics in Finance in Okinawa
- Place of Presentation
  沖縄青年会館(沖縄県)
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Static hedging of timing risk
- Author(s)
  Y. Imamura
- Organizer
  The First International Workshop on Quantum Information Theory and Related Topics
- Place of Presentation
  Danang, Vietnam
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Static hedging of timing risk
- Author(s)
  今村　悠里
- Organizer
  The First International Workshop on Quantum Information Theory and Related Topics
- Place of Presentation
  Duy Tan University (ベトナム，ダナン)
- Data Source
  KAKENHI-PROJECT-24840042
[Presentation] An Asymptotic Static Hedge of a Corporate Defaultable Bond
- Author(s)
  今村　悠里
- Organizer
  the Fifth Florence-Ritsumeikan Workshop on Stochastic Processes and Applications to Finance and Risk Management
- Place of Presentation
  フィレンツェ　イタリア
- Data Source
  KAKENHI-PROJECT-24840042

1. Akahori Jiro (50309100)

# of Collaborated Projects: 1 results

# of Collaborated Products: 5 results
2. 堀敬一 (50273561)

# of Collaborated Projects: 1 results

# of Collaborated Products: 3 results
3. Kohatsu・Higa A (80420412)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
4. 足立高徳 (60733722)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
5. 劉念麟 (90610923)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
6. KOHATSU-HIGA Arturo

# of Collaborated Projects: 0 results

# of Collaborated Products: 8 results

Imamura Yuri 今村 悠里

今村 悠里 イマムラ ユリ

IMAMURA Yuri 今村 悠里

Research Projects

Research Products

Co-Researchers

拡散過程の到達時間分布と数理ファイナンスへの応用Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Asymptotic static hedging of a timing riskPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Heat Kernel Approach in Financial Engineering of New Generation

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Generalization of Put-Call Symmetry Method and Its ApplicationsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] Hedging error as generalized timing risk2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Portfolio optimization with conditional Value-at-Risk under CEV model2023

Author(s)

Journal Title

DOI

ISSN

URL

Language

Data Source

[Journal Article] Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] On the Convergence Order of a Binary Tree Approximation of Symmetrized Diffusion Processes2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] An Extension with Illustrations of the Azma-Yor Algorithm for Solving Skorokhod Embedding Problem2023

Author(s)

Journal Title

DOI

ISBN

Data Source

[Journal Article] An application of risk theory to mortgage lending2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Carr-Nadtochiy’s weak reflection principle for Markov chains on Z^d2020

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Asymptotic Static Hedge via Symmetrization2018

Author(s)

Journal Title

Data Source

[Journal Article] The Value of Timing Risk2017

Author(s)

Journal Title

Data Source

[Journal Article] Towards the exact simulation using hyperbolic Brownian motion2017

Author(s)

Journal Title

Imamura Yuri 今村悠里

今村悠里イマムラユリ

IMAMURA Yuri 今村悠里