SHIRAKAWA Hiroshi 白川浩

Researcher Number	10216187
Affiliation (based on the past Project Information) *help	2001: 東京工業大学, 理財工学研究センター, 教授 1999 – 2000: 東京工業大学, 理財工学研究センター, 助教授 1999: 東京工業大学, 大学院・理財工学研究センター, 助教授 1998: 東京工業大学, 社会理工学研究科, 助教授 1996 – 1998: 東京工業大学, 大学院・社会理工学研究科, 助教授 … More 1994 – 1995: 東京工業大学, 工学部, 助教授 1990: Tokyo Inst. of Technology, Asst. Prof., 工学部・人文社会群, 助手 1990: 東工大, 工学部・人文社会群, 助手 1989: 東京工業大学, 工学部, 助手 Less
Review Section/Research Field	Principal Investigator Engineering fundamentals / 社会システム工学 Except Principal Investigator Engineering fundamentals / 社会システム工学 / 広領域 / General mathematics (including Probability theory/Statistical mathematics)
Keywords	Principal Investigator Call option / Delia hedge / Reproduction of option / Blach-Scholes type / Neural net work / Expectational growth rate aximization / Universal portfolio / Simulation / コール・オプション / デルタ・ヘッジ … More / オプションの複製 / ブラックシュールズ式 / ニューラルネットワーク / 期待成長率最大化 / ユニバーサル・ポートフォリオ / シミュレーション / マルチンゲ-ル測度 / 平均・分散モデル / 最適化アルゴリズム / 均衡分析 / 資産の価格付け / ポートフォリオ最適化 / オプション評価 / 取引コスト … More Except Principal Investigator ポートフォリオ最適化 / global optimization / MAD model / Skewness / Non-convex function / Portfolio theory / Quadratic programming / linear programming / Interior point method / Global optimization / 絶対値偏差(L_1)リスク / ポートフォリオ・モデル / 線形計画問題に対する線形オーダーの解法 / 線形相補性問題 / 2次計画問題 / 組合せ最適化 / オプション評価理論 / ポ-トフォリオ最適化 / パラメトリック・プログラミング / 一般化線形乗法計画 / 非凸型2次計画問題 / MADモデル / 歪度 / 非凸型関数 / ポ-トフォリオ理論 / 2次計画法 / 線形計画法 / 内点法 / 大域的最小化 / 金利期間構造モデル / 準乱数 / 準モンテカルロ法 / 金融リスク管理 / 低食い違い量列 / low-discrepancy sequence / 高次元数値積分 / 確率微分方程式の数値解法 / 拡散過程 / シミュレーション / 金融派生商品 / Option Pricing / Scoring / Financial Data / Small companies / Lodit Model / Faillure Probability / Semi-Definite Programming / Credit Risk / ニューラルネット / 判別分析 / 財務諸表分析 / 信用リスク / 最適化アルゴリズム / 国際分散投資 / 半生定値問題 / スコアリンング / スコアリング / 財務指標 / 中小企業 / 実証分析 / ロジットモデル / 倒産リスク評価 / 半定値問題 / 信用リスク分析 / additive functional / spectral gap / log Sobolev inequality / large deviation principle / Schrodinger operator / portfolio optimization / ergodic Bellman equation / risk-sensitive stochastic control / エルゴード型確率制御問題 / ベルマン方程式 / 特異極限 / 粘性解 / エルコンド型ベルマン方程式 / 対数ソポレフ不等式 / 加法的汎関数 / スペクトルギャップ / 対数ソボレフ不等式 / 大偏差原理 / シュレーディンガー作用素 / エルゴード型ベルマン方程式 / リスク鋭感的確率制御 / d.c.optimization / branch and bound / mean-absolute deviation model / portfolio management / transaction cost / 確率制御問題 / 大規模最適化 / コンパクト分解 / 平均・絶対偏差モデル / ユニバーサル・ポートフォリオ / 資産運用 / 動的最適化 / 取引コスト / Multi Beta Model / Currency Option / Term Structure / Path Dependent Option / Derivatives / CARCH Model / Time Series Analysis / Financial Management / 通過オプション / マルチベータモデル / 通貨オプション / 金利期間構造 / 経路依存型オプション / 派生証券 / GARCHモデル / 時系列解析 / 財務管理 / multi-objective optimization / Pareto optimal surface / nonconvex minimization / cutting plane / nonlinear programming / outer approximation / low rank nonconvex problems / 低ランク非凸性 / パラメトリック・アプローチ / 計算幾何学 / 凹型生産コスト・輸送問題 / 凸乗法計画問題 / 多目的最適化問題 / 大域的最適化法 / 多目的最適化 / パレート最適面 / 非凸型問題 / 切除平面法 / 非線形計画法 / 外部近似法 / 低ランク凹関数 / 大域的最適化 / Heuristic approach / Non-homogeneous investor / Hysteresis / Equilibrium / Real Option / Chaos / Investment / Capital Market / 数理計画 / 資本コスト / 時系列 / カオス / 最適化 / オプション / ポートフォリオ / ヒューリスティック・アプローチ / 非同質的投資説 / 履歴現象 / 均衡 / リアル・オプション / カオス理論 / 投資プロジェクト / 資本市場 Less

金融リスク評価システムの数理科学的研究
- Principal Investigator
  
  二宮祥一
- Project Period (FY)
  2000 – 2001
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Engineering fundamentals
- Research Institution
  Tokyo Institute of Technology
Quantitative Evaluation of Financial Risk
- Principal Investigator
  
  KONNO Hiroshi
- Project Period (FY)
  1999 – 2001
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  社会システム工学
- Research Institution
  CHUO UNIVERSITY
  Tokyo Institute of Technology
Risk-sensitive stochastic control and its singular limit
- Principal Investigator
  
  NAGAI Hideo
- Project Period (FY)
  1998 – 2000
- Research Category
  
  Grant-in-Aid for Scientific Research (B).
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  OSAKA UNIVERSITY
Algorithmic Studies on Portfolio Optimization and Asset Pricing and Transaction Cost
- Principal Investigator
  
  KONNO Hiroshi
- Project Period (FY)
  1997 – 1998
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  社会システム工学
- Research Institution
  Tokyo Institute of Technology
The option hedge which used the simulation and the optimization technique for the property to use operation and the neural net workPrincipal Investigator
- Principal Investigator
  
  SHIRAKAWA Hiroshi
- Project Period (FY)
  1997 – 1998
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Engineering fundamentals
- Research Institution
  Tokyo Institute of Technology
取引コストを考慮した資産の運用および価格付けに関する研究Principal Investigator
- Principal Investigator
  
  白川浩
- Project Period (FY)
  1996
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  社会システム工学
- Research Institution
  Tokyo Institute of Technology
Financial Engineering Research or Asset Management and Pricing
- Principal Investigator
  
  KONNO Hiroshi
- Project Period (FY)
  1996 – 1997
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Engineering fundamentals
- Research Institution
  Tokyo Institute of Technology
Research on Global Optimization Problems in Engineering Systems
- Principal Investigator
  
  KONNO Hiroshi
- Project Period (FY)
  1994 – 1995
- Research Category
  
  Grant-in-Aid for General Scientific Research (B)
- Research Field
  
  Engineering fundamentals
- Research Institution
  TOKYO INSTITUTE OF TECHNOLOGY
Analysis of Capital Markets and Envestmentusing engineering approach
- Principal Investigator
  
  FURUKAWA Kouichi
- Project Period (FY)
  1993 – 1995
- Research Category
  
  Grant-in-Aid for General Scientific Research (B)
- Research Field
  
  社会システム工学
- Research Institution
  TOKYO INSTITUTE OF TECHNOLOGY
Mathematical Programming Algorithms and Their Applications to Engineerring Problems
- Principal Investigator
  
  KONNO Hiroshi
- Project Period (FY)
  1988 – 1990
- Research Category
  
  Grant-in-Aid for General Scientific Research (B)
- Research Field
  
  広領域
- Research Institution
  Tokyo Institute of Technology

All 1999 1997

All Journal Article

[Journal Article] Evaluation of Yield Spread for Credit Risk1999
- Author(s)
  Hiroshi SHIRAKAWA
- Journal Title
  
  Advances inMathematical Economics 1
  
  Pages: 83-97
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-09650078
[Journal Article] The optimal log-utilityasset managemant under incomplete information1999
- Author(s)
  H. Ishijima, H. Shirakawa
- Journal Title
  
  (To appear in Asia-Pacific financial Markets)
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-09650078
[Journal Article] Evaluation of Yield Spread for Credit Risk1999
- Author(s)
  Hiroshi SHIRAKAWA
- Journal Title
  
  Advances in Mathematical Economics 1
  
  Pages: 83-97
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-09650078
[Journal Article] The optimal log-utility asset managemant under incomplete information1999
- Author(s)
  H. Ishijima, H. Shirakawa
- Journal Title
  
  Asia-Pacific financial Markets (To appear)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-09650078
[Journal Article] International Term Structure and Its Application to the Currency Option Pricing1997
- Author(s)
  Hiroshi SHIRAKAWA
- Journal Title
  
  Department of Industrial Engineering and Model Management 13
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-09650078
[Journal Article] Stochastic Analysis of. Continuous Time Universal Porfolio1997
- Author(s)
  Hiroshi SHIRAKAWA
- Journal Title
  
  Department of Industrial Engineering and Management 9
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-09650078
[Journal Article] Dynamic Portfolio Selection Proportional Transaction Costs1997
- Author(s)
  Hiroshi SHIRAKAWA
- Journal Title
  
  Department of Industrial Engineering and with Management 14
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-09650078
[Journal Article] International Term structure Model and Its Application to the Currency Option Pricing1997
- Author(s)
  Hiroshi SHIRAKAWA
- Journal Title
  
  Departmnent of Industrial Engineering and Management 13
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-09650078
[Journal Article] Stochastic Analvsis of Continuous Time Universal Porfolio1997
- Author(s)
  Hiroshi SHIRAKAWA
- Journal Title
  
  Department of Industrial Engineering and Management 9
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-09650078
[Journal Article] Dynamic Portfolio Selection with Proportional Transaction Costs1997
- Author(s)
  Hiroshi SHIRAKAWA
- Journal Title
  
  Department of Industrial Engineering and Management 14
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-09650078

1. KONNO Hiroshi (10015969)

# of Collaborated Projects: 9 results

# of Collaborated Products: 0 results
2. SUZUKI Kennichi (30262306)

# of Collaborated Projects: 5 results

# of Collaborated Products: 0 results
3. FURUKAWA Kouichi (20016455)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
4. YAZIMA Yasutoshi (80231645)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. KUSUOKA Shigeo (00114463)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
6. KUNO Takahito (00205113)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
7. SEKINE Jun (50314399)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
8. 二宮祥一 (70313377)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
9. NAKASATO Munenori (90207754)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. MORI Masao (80016568)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. THACH Phan Thien (10242299)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. TAKEHARA Hitoshi (70261782)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. NAGAI Hideo (70110848)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. TAKEDA Masayoshi (30179650)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
15. AIDA Shigeki (90222455)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
16. FUJIWARA Tsukasa (30199385)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
17. TAKANOBU Satoshi (40197124)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
18. WATANABE Norio (10182940)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
19. KAMAKURA Toshinari (40150031)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
20. UNO Takeaki (00302977)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
21. GOTOH Junya (40334031)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
22. TAMURA Akihito (50217189)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
23. MIZUNO Shinji (90174036)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
24. KOJIMA Masakazu (90092551)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
25. 蜂谷豊彦 (00251645)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
26. 亀山敦 (00243189)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
27. 中村佳正 (50172458)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
28. 亀高惟倫 (00047218)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
29. 比嘉邦彦 (50282877)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
30. 鈴木久敏 (10108219)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
31. 福田公明 (40156782)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
32. TAKAHASHI Akihiko

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

SHIRAKAWA Hiroshi 白川 浩

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The option hedge which used the simulation and the optimization technique for the property to use operation and the neural net workPrincipal Investigator

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取引コストを考慮した資産の運用および価格付けに関する研究Principal Investigator

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[Journal Article] Evaluation of Yield Spread for Credit Risk1999

Author(s)

Journal Title

Description

Data Source

[Journal Article] The optimal log-utilityasset managemant under incomplete information1999

Author(s)

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Description

Data Source

[Journal Article] Evaluation of Yield Spread for Credit Risk1999

Author(s)

Journal Title

Description

Data Source

[Journal Article] The optimal log-utility asset managemant under incomplete information1999

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Description

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[Journal Article] International Term Structure and Its Application to the Currency Option Pricing1997

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SHIRAKAWA Hiroshi 白川浩