MATSUMOTO Koichi 松本浩一

Researcher Number	30380687
Affiliation (Current)	2023: 九州大学, 経済学研究院, 教授
Affiliation (based on the past Project Information) *help	2016 – 2021: 九州大学, 経済学研究院, 教授 2011 – 2015: 九州大学, 経済学研究科(研究院), 准教授 2007 – 2010: Kyushu University, 大学院・経済学研究院, 准教授
Review Section/Research Field	Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / Money/ Finance / Basic Section 07060:Money and finance-related Except Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / Social systems engineering/Safety system
Keywords	Principal Investigator 数理ファイナンス / 金融工学 / リスク管理 / デリバティブ / モデルリスク / リスク測度 / 流動性 / 投資問題 / 金融派生商品 Except Principal Investigator 動的計画法 … More / 数理ファイナンス / ベルマン方程式 / 非決定性 / 制御積分方程式 / 黄金最適解 / フィボナッチ最適解 / 黄金相補双対 / フィボナッチ相補双対 / 1次解・2次解 / 停止時刻 / 非決定性最適化 / ポートフォリオ / 黄金最適 / フィボナッチ相補双対性 / 積分方程式 / 動的評価 / 不変埋没原理 / 最適化 / 多段決定問題 / マルコフ決定過程 / カーネル法 / 遺伝的アルゴリズム / 動的計画性 / 非決定的動的システム / 漸近展開 / フィボナッチ相補相対 Less

多元的モデル集合によるリスク管理問題の研究Principal Investigator
- Principal Investigator
  
  松本浩一
- Project Period (FY)
  2020 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Kyushu University
Study on model risk management method in multi-period and multi-asset modelsPrincipal Investigator
- Principal Investigator
  
  Matsumoto Koichi
- Project Period (FY)
  2015 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  Kyushu University
Study on risk management with an imperfect trading strategy based on a uncertain market modelPrincipal Investigator
- Principal Investigator
  
  MATSUMOTO Koichi
- Project Period (FY)
  2011 – 2014
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Kyushu University
Studies on optimal values of sequential decision problems regarding to estimations
- Principal Investigator
  
  NAKAI Toru
- Project Period (FY)
  2007 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Chiba University
  Kyushu University
Study on illiquid assets with stochastic trade timesPrincipal Investigator
- Principal Investigator
  
  MATSUMOTO Koichi
- Project Period (FY)
  2007 – 2010
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Kyushu University
STUDY OF CONTROLLED INTEGRAL EQUATIONS AND MATHEMATICAL FINANCE THROUGH DYNAMIC PROGRAMMING
- Principal Investigator
  
  IWAMOTO Seiichi
- Project Period (FY)
  2005 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Kyushu University

[Journal Article] Hedging Derivatives with Recalibration and Model Risk2021
- Author(s)
  Mark DAVIS, Seiya GOTO, Koichi MATSUMOTO
- Journal Title
  
  Discussion Paper Series, Graduate School of Economics, Kyushu University
  
  Volume: 2021-1 Pages: 1-25
- NAID
  40022495773
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K01771
[Journal Article] Hedging Derivatives on Two Assets with Model Risk2020
- Author(s)
  Koichi Matsumoto, Keita Shimizu
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 27, 1 Pages: 83-95
- DOI
  10.1007/s10690-019-09283-3
- NAID
  40021872271
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03544
[Journal Article] Hedging Derivatives on Two Assets with Model Risk2019
- Author(s)
  Koichi Matsumoto, Keita Shimizu
- Journal Title
  
  Discussion Paper Series, Graduate School of Economics, Kyushu University
  
  Volume: 2019-1 Pages: 1-12
- NAID
  40021872271
- Data Source
  KAKENHI-PROJECT-15K03544
[Journal Article] Partial super-hedging of derivatives with model risk2017
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Japan Journal of Industrial and Applied Mathematics
  
  Volume: 34 Issue: 3 Pages: 811-831
- DOI
  10.1007/s13160-017-0267-7
- NAID
  210000171300
- ISSN
  0916-7005, 1868-937X
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03544
[Journal Article] Mean-variance hedging with model risk2017
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  International Journal of Financial Engineering
  
  Volume: 04
- DOI
  10.1142/s2424786317500426
- NAID
  40020654577
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03544
[Journal Article] Model Risk of two Assets Derivatives2016
- Author(s)
  Koichi Matsumoto, Maki Ichikawa
- Journal Title
  
  Proceedings of the 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
  
  Volume: 1 Pages: 144-153
- NAID
  130005277607
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-15K03544
[Journal Article] Pricing Interest Rate Derivatives with Model Risk2015
- Author(s)
  Koichi Matsumoto, Satoshi Hosokawa
- Journal Title
  
  Journal of Financial Engineering
  
  Volume: 2
- DOI
  10.1142/s2345768615500038
- NAID
  40019631538
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-23740080
[Journal Article] Mean-Variance Hedging with Model Risk2015
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Discussion Paper Series, Graduate School of Economics, Kyushu University
  
  Volume: 2015-4 Pages: 1-20
- NAID
  40020654577
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-15K03544
[Journal Article] Tail VaR Measures in a Multi-period Setting2014
- Author(s)
  Koichi Matsumoto, Yuta Katsuki
- Journal Title
  
  Applied Mathematical Finance
  
  Volume: 印刷中
- DOI
  10.1080/1350486x.2013.851449
- NAID
  40017031335
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740080
[Journal Article] Pricing Derivatives on Two Assets with Model Risk2014
- Author(s)
  Koichi Matsumoto, Maki Ichikawa
- Journal Title
  
  Discussion Paper Series, Graduate School of Economics, Kyushu University
  
  Volume: 2014-2 Pages: 1-20
- NAID
  40020096163
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-23740080
[Journal Article] Option Replication in Discrete Time with Illiquidity2013
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Applied Mathematical Finance
  
  Volume: 20 Pages: 167-190
- NAID
  40016726158
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740080
[Journal Article] Pricing Interest Rate Derivatives with Model Risk2013
- Author(s)
  Koichi Matsumoto, Satoshi Hosokawa
- Journal Title
  
  Discussion Paper Series, Graduate School of Economics, Kyushu University
  
  Volume: 2013-3 Pages: 1-17
- NAID
  40019631538
- Data Source
  KAKENHI-PROJECT-23740080
[Journal Article] Simple Improvement Method for Upper Bound of American Option2011
- Author(s)
  Koichi Matsumoto, Mika Fuji, Kengo Tsubota
- Journal Title
  
  An International Journal of Probability and Stochastic Processes
  
  Volume: 83 Pages: 449-466
- NAID
  40016782881
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23740080
[Journal Article] Hedging Derivatives with Model Risk2011
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Discussion Paper Series, Graduate School of Economics, Kyushu University
  
  Volume: 2011-9 Pages: 1-20
- NAID
  40019041653
- Data Source
  KAKENHI-PROJECT-23740080
[Journal Article] Tail VaR Measures in a Multi-period Setting2010
- Author(s)
  Koichi Matsumoto, Yuta Katsuki
- Journal Title
  
  Discussion Paper Series, Graduate School of Economics, Kyushu University 2010-3
  
  Pages: 1-22
- NAID
  40017031335
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] アメリカンオプション価格の上方境界の改善2009
- Author(s)
  松本浩一, 坪田健吾
- Journal Title
  
  Discussion Paper Series, Graduate School of Econ omics, Kyushu University 2009-3
  
  Pages: 1-16
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Mean-Variance Hedging with Uncertain Trade Execution2009
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Applied Mathematical Finance 16, 3
  
  Pages: 219-252
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Simple Improvement Method for Upper Bound of American Option2009
- Author(s)
  Koichi Matsumoto, Mika Fujii, Kengo Tsubota
- Journal Title
  
  Discussion Paper Series, Graduate School of Economics, Kyushu University 2009-8
  
  Pages: 1-14
- NAID
  40016782881
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk2009
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Review of Derivatives Research 12
  
  Pages: 29-53
- NAID
  40015906703
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Option Replication in Discrete Time with Illiquidity2009
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Discussion Paper Series, Graduate School of Economics, Kyushu University 2009-6
  
  Pages: 1-23
- NAID
  40016726158
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Optimal Growth Rate in Random Trade Time2009
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Advances in Mathematical Economics 12
  
  Pages: 129-152
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Mean-Variance Hedging with Uncertain Trade Execution2009
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Applied Mathematical Finance 16,3
  
  Pages: 219-252
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Optimal Growth Rate in Random Trade Time2009
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Advances in Mathematical Economics (印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk2008
- Author(s)
  Koichi, Matsumoto
- Journal Title
  
  Discussion Paper Series, Graduate Scholl of Economics, Kyushu University 2008-3
  
  Pages: 1-23
- NAID
  40015906703
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Optimal Strategy with Uncertain Trade Execution2008
- Author(s)
  K. Matsumoto
- Journal Title
  
  京都大学数理解析研究所講究録 1580
  
  Pages: 136-149
- Data Source
  KAKENHI-PROJECT-19510150
[Journal Article] Optimal Strategy with Uncertain Trade Execution2008
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  京都大学数理解析研究所講究録 (掲載決定)
- Data Source
  KAKENHI-PROJECT-19510150
[Journal Article] Optimal Strategy with Uncertain Trade Execution2008
- Author(s)
  Koichi, Matsumoto
- Journal Title
  
  京都大学数理解析研究所講究録 1580
  
  Pages: 136-149
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Portfolio Insurance with Liquidity Risk2008
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Asia-Pacific Financial Markets 14
  
  Pages: 363-386
- NAID
  40007307602
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Portfolio Insurance with Liquidity Risk2007
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Asia-Pacific Financial Markets 14,4
  
  Pages: 363-386
- NAID
  40007307602
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Mean-Variance Hedging in Random Discrete Discrete Trade Time2007
- Author(s)
  Koichi, Matsumoto
- Journal Title
  
  Discussion Paper Series, Graduate Scholl of Economics, Kyushu University 2007-2
  
  Pages: 1-27
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Portfolio Insurance with Liquidity Risk2007
- Author(s)
  K. Matsumoto
- Journal Title
  
  Asia-Pacific Financial Markets 14, No. 4
  
  Pages: 363-386
- NAID
  40007307602
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510150
[Journal Article] Portfolio Insurance with Liquidity Risk2007
- Author(s)
  Koichi Matsumoto
- Journal Title
  
  Asia-Pacific Financial Markets 14, 4
  
  Pages: 363-386
- NAID
  40007307602
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Simple Improvement Method for Upper Bound of American Option
- Author(s)
  Koichi Matsumoto, M.Fujii, K.Tsubota
- Journal Title
  
  Stochastics : An International Journal of Probability and Stochastic Processes 印刷中
- NAID
  40016782881
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19740051
[Journal Article] Simple Improvement Method for Upper Bound of American Option
- Author(s)
  Koichi Matsumoto, Mika Fujii, Kengo Tsubota
- Journal Title
  
  Stochastics : An International Journal of Probability and Stochastic Processes
  
  Volume: (印刷中)
- NAID
  40016782881
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Recalibration and Hedging with Model Risk2021
- Author(s)
  Koichi Matsumoto (joint work with Mark Davis and Seiya Goto)
- Organizer
  金融工学・数理計量ファイナンスの諸問題2021
- Invited
- Data Source
  KAKENHI-PROJECT-20K01771
[Presentation] Hedging Derivatives with Recalibration and Model Risk in a Multi-period Framework2020
- Author(s)
  Koichi Matsumoto (joint work with Mark Davis and Seiya Goto)
- Organizer
  Finance and Stochastics Seminar (Imperial College London)
- Data Source
  KAKENHI-PROJECT-15K03544
[Presentation] 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2018
- Author(s)
  Koichi Matsumoto, Keita Shimizu
- Organizer
  第48回日本金融・証券計量・工学学会（JAFEE）大会（2017年度冬季）
- Data Source
  KAKENHI-PROJECT-15K03544
[Presentation] Mean-Variance Hedging of Two-Asset Derivatives with Model Risk2017
- Author(s)
  Koichi Matsumoto, Keita Shimizu
- Organizer
  Quantitative Methods in Finance Conference (QMF) 2017
- Data Source
  KAKENHI-PROJECT-15K03544
[Presentation] Optimal Hedging Strategy in an Uncertain Model2017
- Author(s)
  Koichi Matsumoto
- Organizer
  Winter Workshop on Operations Research (WWOR), Finance and Mathematics 2017
- Place of Presentation
  Sapporo, Hokkaido, Japan
- Year and Date
  2017-02-21
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03544
[Presentation] Mean-Variance Hedging with Model Risk2016
- Author(s)
  Koichi Matsumoto
- Organizer
  Quantitative Methods in Finance Conference (QMF) 2016
- Place of Presentation
  Sydney, Australia
- Year and Date
  2016-12-14
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03544
[Presentation] Scenario Sets for Multi-period Risk Measurement with an Application to Tail VaR measures2015
- Author(s)
  Koichi Matsumoto (joint work with Y. Katsuki)
- Organizer
  JARIPフォーラム2015
- Place of Presentation
  日本大学（東京都世田谷区）
- Year and Date
  2015-03-30
- Invited
- Data Source
  KAKENHI-PROJECT-23740080
[Presentation] Model Risk of two Assets Derivatives2015
- Author(s)
  Koichi Matsumoto, Maki Ichikawa
- Organizer
  The 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (SSS’15)
- Place of Presentation
  Honolulu, United States
- Year and Date
  2015-12-05
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03544
[Presentation] Weak Time Consistency and its Application to Tail VaR Measures2014
- Author(s)
  Koichi Matsumoto (joint work with Y. Katsuki)
- Organizer
  九州確率論セミナー
- Place of Presentation
  九州大学（福岡県福岡市）
- Year and Date
  2014-04-11
- Data Source
  KAKENHI-PROJECT-23740080
[Presentation] Multi-period Tail VaR Measures2014
- Author(s)
  Koichi Matsumoto
- Organizer
  第3回数理ファイナンス合宿型セミナー
- Place of Presentation
  Shizuoka, Japan
- Data Source
  KAKENHI-PROJECT-23740080
[Presentation] Pricing Derivatives on Two Assets with Model Risk2014
- Author(s)
  Koichi Matsumoto (joint work with M. Ichikawa)
- Organizer
  Quantitative Methods in Finance Conference (QMF) 2014
- Place of Presentation
  Sydney, Australia
- Year and Date
  2014-12-17
- Data Source
  KAKENHI-PROJECT-23740080
[Presentation] Model Risk in Pricing Interest Rate Derivatives2014
- Author(s)
  Koichi Matsumoto (joint work with S. Hosokawa)
- Organizer
  8th World Congress of the Bachelier Finance Society
- Place of Presentation
  Burussels, Belgium
- Year and Date
  2014-06-14
- Data Source
  KAKENHI-PROJECT-23740080
[Presentation] Pricing Interest Rate Derivatives with Model Risk2013
- Author(s)
  Koichi Matsumoto
- Organizer
  Quantitative Methods in Finance Conference (QMF) 2013
- Place of Presentation
  Sydney, Australia
- Data Source
  KAKENHI-PROJECT-23740080
[Presentation] Model Risk and Partial Super-hedging of Derivatives2012
- Author(s)
  Koichi Matsumoto
- Organizer
  7th World Congress of the Bachelier Finance Society
- Place of Presentation
  Sydney, Australia
- Data Source
  KAKENHI-PROJECT-23740080
[Presentation] Trinomial Models for Model Risk2012
- Author(s)
  Koichi Matsumoto
- Organizer
  第2回数理ファイナンス合宿型セミナー
- Place of Presentation
  Tokyo, Japan
- Data Source
  KAKENHI-PROJECT-23740080
[Presentation] Multi-period Coherent Acceptability Measures in Discrete Time2011
- Author(s)
  Koichi Matsumoto
- Organizer
  研究集会「数理ファイナンスとその周辺」, 東京大学大学院経済学研究科学術交流棟
- Place of Presentation
  Tokyo, Japan
- Year and Date
  2011-01-28
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Hedging Derivatives with Model Risk2011
- Author(s)
  Koichi Matsumoto
- Organizer
  Quantitative Methods in Finance Conference (QMF) 2011
- Place of Presentation
  Sydney, Australia
- Data Source
  KAKENHI-PROJECT-23740080
[Presentation] Multi-period Coherent Acceptability Measures in Discrete Time2011
- Author(s)
  Koichi Matsumoto
- Organizer
  研究集会「数理ファイナンスとその周辺」
- Place of Presentation
  東京大学
- Year and Date
  2011-01-28
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Weak Time Consistency Conditions for Tail VaR Measures2010
- Author(s)
  Koichi Matsumoto
- Organizer
  Workshop on Mathematical Finance and Related Issues
- Place of Presentation
  Kyoto Research Park
- Year and Date
  2010-09-13
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Simple Improvement Method for Upper Bound of American Option2010
- Author(s)
  Koichi Matsumoto
- Organizer
  6th World Congress of the Bachelier Finance Society
- Place of Presentation
  Hilton Hotel, Toronto, Canada
- Year and Date
  2010-06-23
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Weak Time Consistency and Multi-period Tail VaR Measures2010
- Author(s)
  Koichi Matsumoto
- Organizer
  2010 Workshop & Spring School on Stochastic Calculus and Applications
- Place of Presentation
  Academia Sinica in National Taiwan University, Taipei, Taiwan
- Year and Date
  2010-04-16
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Tail VaR Measures in a Multi-period Setting2010
- Author(s)
  Koichi Matsumoto
- Organizer
  Quantitative Methods in Finance Conference (QMF) 2010
- Place of Presentation
  Sydney, Australia
- Year and Date
  2010-12-16
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Weak Time Consistency and Multi-period Tail VaR Measures2010
- Author(s)
  Koichi Matsumoto
- Organizer
  2010 Workshop & Spring School on Stochastic Calculus and Applications
- Place of Presentation
  Taipei, Taiwan
- Year and Date
  2010-04-16
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] 条件付バリュー・アット・リスクの多期間化2010
- Author(s)
  香月佑太, 松本浩一
- Organizer
  科研費研究集会「数理ファイナンスとその周辺」
- Place of Presentation
  名古屋大学
- Year and Date
  2010-01-22
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Simple Improvement Method for Upper Bound of American Option2010
- Author(s)
  Koichi Matsumoto
- Organizer
  6th World Congress of the Bachelier Finance Society
- Place of Presentation
  Toronto, Canada
- Year and Date
  2010-06-23
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Tail VaR Measures in a Multi-period Setting2010
- Author(s)
  Koichi Matsumoto
- Organizer
  Quantitative Methods in Finance Conference 2010
- Place of Presentation
  Hilton Sydney Hotel, Sydney, Australia
- Year and Date
  2010-12-16
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Weak Time Consistency Conditions for Tail VaR Measures2010
- Author(s)
  Koichi Matsumoto
- Organizer
  Workshop on Mathematical Finance and Related Issues
- Place of Presentation
  Kyoto Research Park, Kyoto, Japan
- Year and Date
  2010-09-13
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Simple Improvement Method of Upper Bound of American Options2009
- Author(s)
  Koichi Matsumoto
- Organizer
  OPTIMAL STOPPING WITH APPLICATIONS
- Place of Presentation
  Abo Akademi University, Abo/Turku, Finland
- Year and Date
  2009-06-24
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Option Replication in Discrete Time with Liquidity Risk2009
- Author(s)
  Koichi Matsumoto
- Organizer
  Quantitative Methods in Finance Conference (QMF) 2009
- Place of Presentation
  Sydney, Australia
- Year and Date
  2009-12-17
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Option Replication in Discrete Time with Liquidity Risk2009
- Author(s)
  Koichi Matsumoto
- Organizer
  Quantitative Methods in Finance Conference 2009
- Place of Presentation
  Amora Hotel, Sydney, Australia
- Year and Date
  2009-12-17
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Improvement in Upper Bound of American Options2009
- Author(s)
  Koichi Matsumoto
- Organizer
  Mathematical Finance and Related Topics in Economics and Engineering
- Place of Presentation
  Kansai Seminar House
- Year and Date
  2009-08-13
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] 流動性リスクの数理モデル〜Cetin, Jarrow, Protterモデルの紹介-2009
- Author(s)
  松本浩一
- Organizer
  科研費研究集会「数理ファイナンスとその周辺」
- Place of Presentation
  九州大学
- Year and Date
  2009-01-23
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Improvement in Upper Bound of American Options2009
- Author(s)
  Koichi Matsumoto
- Organizer
  Mathematical Finance and Related Topics in Economics and Engineering
- Place of Presentation
  Kansai Seminar House, Kyoto, Japan
- Year and Date
  2009-08-13
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] アメリカンオプションの上方境界の改善手法2009
- Author(s)
  坪田健吾, 松本浩一
- Organizer
  科研費研究集会「数理ファイナンスとその周辺」
- Place of Presentation
  九州大学
- Year and Date
  2009-01-23
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Simple Improvement Method of Upper Bound of American Options2009
- Author(s)
  Koichi Matsumoto
- Organizer
  OPTIMAL STOPPING WITH APPLICATIONS
- Place of Presentation
  Turku, Finland
- Year and Date
  2009-06-24
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Mean-Variance Hedging with Partial Ececution Risk2008
- Author(s)
  松本浩一
- Organizer
  数理ファイナンスとその周辺
- Place of Presentation
  東京大学
- Year and Date
  2008-01-24
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Mean-Variance Hedging with Partial Execution Risk2008
- Author(s)
  Koichi Matsumoto
- Organizer
  科研費研究集会「数理ファイナンスとその周辺」, 東京大学大学院数理科学研究科
- Place of Presentation
  Tokyo, Japan
- Year and Date
  2008-01-24
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk2008
- Author(s)
  Koichi Matsumoto
- Organizer
  Bachelier Finance Society, Fifth World Congress
- Place of Presentation
  Imperial College
- Year and Date
  2008-07-18
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Optimal Hedging with Execution Risk2008
- Author(s)
  Koichi Matsumoto
- Organizer
  九州確率論セミナー
- Place of Presentation
  九州大学
- Year and Date
  2008-05-16
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk2008
- Author(s)
  Koichi Matsumoto
- Organizer
  Bachelier Finance Society Fifth World Congress
- Place of Presentation
  Imperial College, London, the United Kingdom
- Year and Date
  2008-07-18
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Optimal Hedging with Partial Execution Risk2008
- Author(s)
  Koichi Matsumoto
- Organizer
  Quantitative Methods in Finance Conference 2008
- Place of Presentation
  Amora Hotel, Sydney, Australia
- Year and Date
  2008-12-19
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Optimal Hedging with Partial Execution Risk2008
- Author(s)
  Koichi Matsumoto
- Organizer
  Quantitative Methods in Finance Conference(QMF)2008
- Place of Presentation
  Sydney
- Year and Date
  2008-12-19
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Mean-Variance Hedging in Discrete Time with Execution2008
- Author(s)
  Koichi Matsumoto
- Organizer
  WORKSHOP ON "FINANCE AND RELATED MATHEMATICAL AND STATISTICAL ISSUES
- Place of Presentation
  Kyoto Research Park, Kyoto, Japan
- Year and Date
  2008-09-04
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Mean-Variance Hedging in Discrete Time with Execution Uncertainty2008
- Author(s)
  Koichi Matsumoto
- Organizer
  WORKSHOP ON "FINANCE AND RELATED MA THEMATICAL AND STATISTICAL ISSUES"
- Place of Presentation
  Kyoto Research Park
- Year and Date
  2008-09-04
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Mean-Variance Hedging in Random Discrete Trade Time2007
- Author(s)
  Koichi Matsumoto
- Organizer
  Quantitative Methods in Finance Conference 2007
- Place of Presentation
  Amora Hotel, Sydney, Australia
- Year and Date
  2007-12-13
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Mean-Variance Hedging in Random Discrete Trade Time2007
- Author(s)
  Koichi, Matsumoto
- Organizer
  Quantitative Methods in Finance Conference(QMF) 2007
- Place of Presentation
  Sydney
- Year and Date
  2007-12-13
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Mean-Variance Hedging in an Illiquid Market2007
- Author(s)
  Koichi, Matsumoto
- Organizer
  Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finace
- Place of Presentation
  Vienna University of Technology
- Year and Date
  2007-09-19
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Optimal Strategy with Uncertain Trade Execution2007
- Author(s)
  松本浩一
- Organizer
  ファイナンスの数理解析とその応用
- Place of Presentation
  京都大学
- Year and Date
  2007-11-20
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Mean-Variance Hedging in an Illiquid Market2007
- Author(s)
  Koichi Matsumoto
- Organizer
  Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finance
- Place of Presentation
  Vienna University of Technology, Vienna, Austria
- Year and Date
  2007-09-19
- Data Source
  KAKENHI-PROJECT-19740051
[Presentation] Optimal Strategy with Uncertain Trade Execution2007
- Author(s)
  Koichi Matsumoto
- Organizer
  「ファイナンスの数理解析とその応用」研究集会
- Place of Presentation
  京都大学数理解析研究所, Kyoto, Japan
- Year and Date
  2007-11-20
- Data Source
  KAKENHI-PROJECT-19740051

1. MAESONO Yoshihiko (30173701)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
2. TOKINAGA Syozo (30124134)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
3. IWAMOTO Seiichi (90037284)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
4. NAKAI Toru (20145808)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. YASUDA Masami (00041244)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
6. KAWASAKI Hidefumi (90161306)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. MARUYAMA Yukihiro (30229629)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. TSURUSAKI Kazuyoshi (50336145)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. FUJITA Toshiharu (60295003)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. SNIEDOVICH Moshe

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

MATSUMOTO Koichi 松本 浩一

Research Projects

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多元的モデル集合によるリスク管理問題の研究Principal Investigator

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Study on model risk management method in multi-period and multi-asset modelsPrincipal Investigator

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Study on risk management with an imperfect trading strategy based on a uncertain market modelPrincipal Investigator

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Studies on optimal values of sequential decision problems regarding to estimations

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Study on illiquid assets with stochastic trade timesPrincipal Investigator

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STUDY OF CONTROLLED INTEGRAL EQUATIONS AND MATHEMATICAL FINANCE THROUGH DYNAMIC PROGRAMMING

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[Journal Article] Hedging Derivatives with Recalibration and Model Risk2021

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[Journal Article] Hedging Derivatives on Two Assets with Model Risk2020

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[Journal Article] Hedging Derivatives on Two Assets with Model Risk2019

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[Journal Article] Partial super-hedging of derivatives with model risk2017

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[Journal Article] Mean-variance hedging with model risk2017

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[Journal Article] Model Risk of two Assets Derivatives2016

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[Journal Article] Pricing Interest Rate Derivatives with Model Risk2015

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MATSUMOTO Koichi 松本浩一