Namekawa Mitsuhiro 滑川光裕

… Alternative Names

滑川光裕ナメカワミツヒロ

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Researcher Number	60289931
Affiliation (Current)	2025: 嘉悦大学, 経営経済学部, 教授
Affiliation (based on the past Project Information) *help	2019 – 2023: 嘉悦大学, 経営経済学部, 教授
Review Section/Research Field	Except Principal Investigator Basic Section 12040:Applied mathematics and statistics-related
Keywords	Except Principal Investigator ポアソン過程 / 株価収益率 / Goodness of Fit Test / Black-Scholes Model / Poisson Process / Historical Volatility / Jump Diffusion / Volatility / ヒストリカルボラティリティ / ボラティリティ推定 … More / 超準解析 / 日経225平均株価指数 / 確率微分方程式 / 株価数理モデル / 非線形連立微分方程式 / ファジィ数 / 適合度検定 / Mertonモデル / ジャンプ拡散過程モデル / ヒストリカル・ボラティリティ / 株価ボラティリティ / ジャンプ型拡散過程 / ダウ平均株価指数 / 日経平均株価指数 / stochastic volatility / compound Poisson process / Black-Scholes model / Merton model / stock market index / ジャンプ拡散過程 / 複合ポアソン過程 / Levy過程 / ボラティリティ Less

A new type of volatility estimator defined by jump diffusion model
- Principal Investigator
  
  Kanagawa Shuya
- Project Period (FY)
  2018 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 12040:Applied mathematics and statistics-related
- Research Institution
  Tokyo City University

All 2023 2019

All Journal Article Presentation

[Journal Article] Optimal historical volatility for the Dow-Jones industrial average and its application2023
- Author(s)
  Shuya Kanagawa, Kimiaki Shinkai and Mitsuhiro Namekawa
- Journal Title
  
  Proceedings of the 25th International Congress on Modelling and Simulation, Darwin, NT, Australia
  
  Volume: - Pages: 420-425
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-18K03431
[Journal Article] An improvement of jump diffusion model for Japan Nikkei 225 indexes and its application to estimating the stochastic volatility2019
- Author(s)
  S. Kanagawa, M. Namekawa and K. Shinkai
- Journal Title
  
  Proc. 23rd International Congress on Modeling and Simulation
  
  Volume: 23 Pages: 505-511
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K03431
[Presentation] Optimal volatility estimation scheme for stock indexes induced from an improved jump diffusion model2023
- Author(s)
  S. Kanagawa, M. Namekawa and K. Shinkai
- Organizer
  The 25th International Congress on Modelling and Simulation (MODSIM2023)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K03431
[Presentation] An improvement of jump diffusion model for Japan Nikkei 225 indexes and its application to estimating the stochastic volatility2019
- Author(s)
  S. Kanagawa, M. Namekawa and K. Shinkai
- Organizer
  The 23rd International Congress on Modelling and Simulation (MODSIM2019)
- Invited
- Data Source
  KAKENHI-PROJECT-18K03431

1. Kanagawa Shuya (50185899)

# of Collaborated Projects: 1 results

# of Collaborated Products: 4 results
2. 前園宜彦 (30173701)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
3. 税所康正 (70195973)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
4. 細野泰彦 (40157029)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
5. 上江洲弘明 (60350401)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
6. 新海公昭 (10612137)

# of Collaborated Projects: 1 results

# of Collaborated Products: 4 results

Namekawa Mitsuhiro 滑川光裕

滑川光裕ナメカワミツヒロ

Research Projects

Research Products

Co-Researchers

A new type of volatility estimator defined by jump diffusion model

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

[Journal Article] Optimal historical volatility for the Dow-Jones industrial average and its application2023

Author(s)

Journal Title

Data Source

[Journal Article] An improvement of jump diffusion model for Japan Nikkei 225 indexes and its application to estimating the stochastic volatility2019

Author(s)

Journal Title

Data Source

[Presentation] Optimal volatility estimation scheme for stock indexes induced from an improved jump diffusion model2023

Author(s)

Organizer

Data Source

[Presentation] An improvement of jump diffusion model for Japan Nikkei 225 indexes and its application to estimating the stochastic volatility2019

Author(s)

Organizer

Data Source

Namekawa Mitsuhiro 滑川 光裕

滑川 光裕 ナメカワ ミツヒロ

Research Projects

Research Products

Co-Researchers

A new type of volatility estimator defined by jump diffusion model

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

[Journal Article] Optimal historical volatility for the Dow-Jones industrial average and its application2023

Author(s)

Journal Title

Data Source

[Journal Article] An improvement of jump diffusion model for Japan Nikkei 225 indexes and its application to estimating the stochastic volatility2019

Author(s)

Journal Title

Data Source

[Presentation] Optimal volatility estimation scheme for stock indexes induced from an improved jump diffusion model2023

Author(s)

Organizer

Data Source

[Presentation] An improvement of jump diffusion model for Japan Nikkei 225 indexes and its application to estimating the stochastic volatility2019

Author(s)

Organizer

Data Source

Namekawa Mitsuhiro 滑川光裕

滑川光裕ナメカワミツヒロ