AKAHORI Jiro 赤堀次郎

… Alternative Names

AKAHORI Jirou 赤堀次郎

赤堀次郎アカホリジロウ

Less

Researcher Number	50309100
Other IDs
External Links
Affiliation (Current)	2025: 立命館大学, 理工学部, 教授
Affiliation (based on the past Project Information) *help	2007 – 2024: Ritsumeikan University, College of Science and Engineering, Professor 2006: 立命館大学, 理工学部, 助教授 2001 – 2002: 立命館大学, 理工学部, 助教授 1999: 立命館大学, 理工学部, 専任講師
Review Section/Research Field	Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / Money/ Finance / Basic analysis Except Principal Investigator Basic Section 12010:Basic analysis-related / Money/ Finance / General mathematics (including Probability theory/Statistical mathematics) / Public finance/Monetary economics / Basic analysis / Public finance/Monetary economics
Keywords	Principal Investigator 数理ファイナンス / Mathematical Finance / 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 … More / 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 / マリアバン解析 / 佐藤グラスマン多様体 / 確率面積 / タウ関数 / ボゾン化 / フェルミオン / クリフォード代数 / 反対称マリアバン解析 … More Except Principal Investigator 確率微分方程式 / シミュレーション / 確率過程 / 無限次元解析 / ファイナンス / 停止時間 / 弱い微分 / 密度関数 / 企業金融 / 確率論 / 数値解析 / 確率変数 / Malliavin解析 / ジャンプ型モデル / 確率的の流れ / 反射付き確率微分方程式 / 部分積分公式 / 拡散課程 / 安定過程の最大 / 微分 / ジャンプ型確率微分方程式 / 最大 / 安定過程 / 拡散過程 / 漸近展開 / ジャンプ型確率過程 / ジャンプ / 停止された拡散過程 / 金融論 / 金融 / 資産価格 / 国際情報交換 / フーリエ法 / 金利の期間構造 / 統計的方法 / 高頻度データの分析 / 応用数学 / シミュレーション方法シミュレーション方法 / モデル化 / なめらかでない係数 / 確率解析 / 誤差のないシミュレーション / parametrix / 経営コード / 情報開示 / 資産価格形成 / 企業財務分析 / 数理ファイナンス / ネットワーク取引 / 実験経済学 / マイクロストラクチュア / 近似 / BSDE / Multi-levelモンテカルロ方法 / 契約理論 / 企業統治 / メインバンク / 非線形偏微分方程式 / 非線形 / 誤差評価 / リスク / ミュレーション / コーポレート・ガバナンス / 企業価値 Less

Weak derivatives of non-smooth stochastic flows and applications
- Principal Investigator
  
  Kohatsu・Higa A
- Project Period (FY)
  2024 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 12010:Basic analysis-related
- Research Institution
  Ritsumeikan University
Integration by parts formulas for non-smooth diffusion processes and their applications
- Principal Investigator
  
  Kohatsu・Higa A
- Project Period (FY)
  2020 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 12010:Basic analysis-related
- Research Institution
  Ritsumeikan University
Infinite dimensional analysis using the parametrix method
- Principal Investigator
  
  Kohatsu Higa Arturo
- Project Period (FY)
  2016 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Basic analysis
- Research Institution
  Ritsumeikan University
A Dynamic Analysis of Corporate Profitability and Risk Choices: Theory and Empirical Data from Japanese Firms
- Principal Investigator
  
  HORI Keiichi
- Project Period (FY)
  2016 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Money/ Finance
- Research Institution
  Kwansei Gakuin University
Heat Kernel Approach in Financial Engineering of New GenerationPrincipal Investigator
- 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
The comparison with multi-factors interest rate model
- Principal Investigator
  
  LIU NIEN-LIN
- Project Period (FY)
  2013 – 2016
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Money/ Finance
- Research Institution
  Ritsumeikan University
Non-smooth stochastic differential equations: Applications to numerical simulations
- Principal Investigator
  
  KOHATSU HIGA Arturo
- Project Period (FY)
  2012 – 2014
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Ritsumeikan University
Roles of Mainbanks in Japan Revisited
- Principal Investigator
  
  HORI Keiichi
- Project Period (FY)
  2011 – 2014
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Ritsumeikan University
Foundations of an anti-symmetric version of Malliavin calculusPrincipal Investigator
- Principal Investigator
  
  AKAHORI Jiro
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Challenging Exploratory Research
- Research Field
  
  Basic analysis
- Research Institution
  Ritsumeikan University
Numerical Analysis of Jump-Models and Applications of Malliavin Calculus in Finance
- Principal Investigator
  
  ARTURO Kohatsu-higa
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Ritsumeikan University
  Osaka University
Developing new methods for valuation of Japanese firms
- Principal Investigator
  
  HOR Keiichi (HORI Keiichi)
- Project Period (FY)
  2007 – 2010
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Ritsumeikan University
Mathematics of Quadratic Interest Rate ModelsPrincipal Investigator
- Principal Investigator
  
  AKAHORI Jiro
- Project Period (FY)
  2006 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Ritsumeikan University
実験による、情報開示と投資家の情報処理能力が資産価格形成に果たす役割の研究
- Principal Investigator
  
  松村勝弘, 井澤裕司
- Project Period (FY)
  1999 – 2002
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Ritsumeikan University

[Book] STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE2007
- Author(s)
  Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe
- Total Pages
  312
- Publisher
  World Scientific
- Data Source
  KAKENHI-PROJECT-18540146
[Book] STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE2007
- Author(s)
  Jiro Akahori, Shigeyoshi Ogawa and Shinzo Watanabe
- Total Pages
  312
- Publisher
  World Scientific
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[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] 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] Limit Theorems for Iterates of the Szasz-Mirakyan Operator in Probabilistic View2022
- Author(s)
  Akahori Jiro、Namba Ryuya、Semba Shunsuke
- Journal Title
  
  Journal of Theoretical Probability
  
  Volume: - Issue: 2 Pages: 1-18
- DOI
  10.1007/s10959-022-01199-5
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K23410, KAKENHI-PROJECT-20K03666
[Journal Article] Higher-order deep solver of non-linear PDEs implied by a non-linear discrete Clark-Ocone formula2022
- Author(s)
  Jiro Akahori, Yui Furuichi, Kaori Okuma
- Journal Title
  
  JSIAM Letters
  
  Volume: 14 Issue: 0 Pages: 9-12
- DOI
  10.14495/jsiaml.14.9
- NAID
  130008154507
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Completely solvable stochastic Hamiltonian system describing a continuous-time integrated climate-economy model2021
- Author(s)
  Akahori Jiro、Nagata Kensuke、Suzuki Kota
- Journal Title
  
  JSIAM Letters
  
  Volume: 13 Issue: 0 Pages: 5-8
- DOI
  10.14495/jsiaml.13.5
- NAID
  130007995834
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Generalizations of Ho-Lee's binomial interest rate model II: randomization2020
- Author(s)
  Jiro; Akahori, Yu Chiba
- Journal Title
  
  JSIAM Letters
  
  Volume: 12 Issue: 0 Pages: 57-60
- DOI
  10.14495/jsiaml.12.57
- NAID
  130007906274
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] Itô calculus for Cramér-Lundberg model2020
- Author(s)
  Akahori Jiro、Constantinescu Corina、Miyagi Kei
- Journal Title
  
  JSIAM Letters
  
  Volume: 12 Issue: 0 Pages: 25-28
- DOI
  10.14495/jsiaml.12.25
- NAID
  130007845768
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K03666
[Journal Article] p-conformal maps on the triangular lattice2019
- Author(s)
  Jiro Akahori, Yuuki Ida, Greg Markowsky
- Journal Title
  
  Statistics and Probability Letters
  
  Volume: 151 Pages: 42-48
- DOI
  10.1016/j.spl.2019.03.010
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K05215
[Journal Article] Bridge representation and modal-path approximation2019
- Author(s)
  Jiro Akahori, Xiaoming Song, Tai-Ho Wang
- Journal Title
  
  Stochastic Processes and their Applications
  
  Volume: 129 Issue: 1 Pages: 174-204
- DOI
  10.1016/j.spa.2018.02.013
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K05215, KAKENHI-PROJECT-16H03642
[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] Probability density of lognormal fractional SABR model2017
- Author(s)
  Jiro Akahori, Xiaoming Song, Tai-Ho Wang
- Journal Title
  
  arXiv:1702.08081
  
  Volume: NA
- Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285102
[Journal Article] Default Contagion with Domino Effect, A First Passage Time Approach2017
- Author(s)
  Jiro Akahori, Hai Ha Pham
- Journal Title
  
  arXiv
  
  Volume: arXiv:1708.08411 [q-fin.MF]
- 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] Bridge representation and modal-path approximation2016
- Author(s)
  Jiro Akahori, Xiaoming Song, Tai-Ho Wang
- Journal Title
  
  arXiv:1607.03074
  
  Volume: NA
- Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285102
[Journal Article] Attraction properties for general urn processes and applications to a class of interacting reinforced particle systems2016
- Author(s)
  Jiro Akahori, Andrea Collevecchio, Timothy Garoni, Kais Hamza
- Journal Title
  
  arXiv:1602.05677
  
  Volume: NA
- Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285102
[Journal Article] A Discrete-Time Clark-Ocone Formula and its Application to an Error Analysis2016
- Author(s)
  Jiro Akahori, Takafumi Amaba, Kaori Okuma
- Journal Title
  
  Journal of Theoretical Probability
  
  Volume: published online Issue: 3 Pages: 932-960
- DOI
  10.1007/s10959-016-0666-8
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25285102, KAKENHI-PROJECT-16H03642
[Journal Article] Some results on Parisian walks2014
- Author(s)
  J. Akahori and Y. Ida
- Journal Title
  
  JSIAM Letters
  
  Volume: 6 Issue: 0 Pages: 77-80
- DOI
  10.14495/jsiaml.6.77
- NAID
  130004706461
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-25285102
[Journal Article] Affine term structure as multi-soliton2014
- Author(s)
  Hidemi Aihara, Jiro Akahori, and Edouard Grenier
- Journal Title
  
  JSIAM Letters
  
  Volume: 6 Issue: 0 Pages: 17-20
- DOI
  10.14495/jsiaml.6.17
- NAID
  130004540626
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-23654056, KAKENHI-PROJECT-25285102
[Journal Article] A Heat Kernel Approach to Interest Rate Models2014
- Author(s)
  Jiro Akahori, Yuji Hishida, Josef Teichmann and Takahiro Tsuchiya
- Journal Title
  
  Japan Journal of Industrial and Applied Mathematics
  
  Volume: 31/2 Issue: 2 Pages: 419-439
- DOI
  10.1007/s13160-014-0147-3
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-25285102
[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] Tau functions of KP solitons realized in Wiener space2013
- Author(s)
  Hidemi Aihara, Jiro Akahori, Hiroko Fujii, Yasuhumi Nitta
- Journal Title
  
  Bulletin of the London Mathematical Society
  
  Volume: 45/6 Issue: 6 Pages: 1301-1309
- DOI
  10.1112/blms/bdt056
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-23654056, KAKENHI-PROJECT-25285102
[Journal Article] An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula2013
- Author(s)
  Jiro Akahori
- Journal Title
  
  Mathematical Journal of Okayama University
  
  Volume: 55 Pages: 167-190
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24340022
[Journal Article] An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula2013
- Author(s)
  Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi
- Journal Title
  
  Mathematical Journal of Okayama University
  
  Volume: 55 Pages: 167-190
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23654056
[Journal Article] An Algebraic Approach to the Cameron-Martin-Maruyama-Girsano v Formula2013
- Author(s)
  Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi
- Journal Title
  
  Mathematical Journal of Okayama University
  
  Volume: 55 Pages: 167-190
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23654056
[Journal Article] AN ALGEBRAIC APPROACH TO THE CAMERON-MARTIN-MARUYAMA-GIRSANOV FORMULA2013
- Author(s)
  Jiro Akahori, Takafumi Amaba and Sachiyo Uraguchi
- Journal Title
  
  Mathematical Journal of Okayama Univ
  
  Volume: 55 Pages: 167-190
- Data Source
  KAKENHI-PROJECT-23330109
[Journal Article] An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula2013
- Author(s)
  Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi
- Journal Title
  
  Mathematical Journal of Okayama University
  
  Volume: 55 Pages: 167-190
- Data Source
  KAKENHI-PROJECT-23330109
[Journal Article] An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula2013
- Author(s)
  Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi
- Journal Title
  
  Mathematical Journal of Okayama University
  
  Volume: 55 Pages: 167-190
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25285102
[Journal Article] Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes2012
- Author(s)
  Jiro Akahori, Andrea Macrina
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: 15/1 Issue: 01 Pages: 1-15
- DOI
  10.1142/s0219024911006553
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330109, KAKENHI-PROJECT-24340022
[Journal Article] Some Simulation Results on the Computation of Delta of Path-Dependent Options Using a Discrete Version of Clark-Ocone Formula2011
- Author(s)
  Jiro Akahori, Takafumi Amaba, Kaori Okuma
- Journal Title
  
  Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 132-137
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes2011
- Author(s)
  Jiro Akahori, Andrea Macrina
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: (to appear)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Heat Kernel Interest Rate Models with Time-Inhomogeneous Markoy Processes2011
- Author(s)
  Jiro Akahori, Andrea Macrina
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: (to appear)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330109
[Journal Article] Some Simulation Results on the Computation of Delta of Path-Dependent Options Using a Discrete Version of Clark-Ocone Formula2011
- Author(s)
  Jiro Akahori, Takafumi Amaba, Kaori Okuma
- Journal Title
  
  Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 132-137
- Data Source
  KAKENHI-PROJECT-23330109
[Journal Article] An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula2011
- Author(s)
  Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi
- Journal Title
  
  Mathematical Journal of Okayama University
  
  Volume: (to appear)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] On a Type I Error of a Random Walk Hypothesis on Interest Rates2011
- Author(s)
  Jiro Akahori, Nien-Lin Liu
- Journal Title
  
  International Journal of Innovative Computing, Information and Control
  
  Volume: 7/1 Pages: 151-131
- NAID
  130004604491
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] On a Type I Error of a Random Walk Hypothesis on Interest Rates2011
- Author(s)
  Jiro Akahori, Nien-Lin Liu
- Journal Title
  
  International Journal of Innovative Computing, Information and Control
  
  Volume: 7/1 Pages: 115-131
- NAID
  130004604491
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330109
[Journal Article] An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula2011
- Author(s)
  Jiro Akahori, Takafumi Amaba, Sachiyo Uraguchi
- Journal Title
  
  Mathematical Journal of Okayama University
  
  Volume: (to appear)
- Data Source
  KAKENHI-PROJECT-23330109
[Journal Article] On a Type I Error of a Random Walk Hypothesis on Interest Rates2011
- Author(s)
  Jiro Akahori, Nien-Lin Liu
- Journal Title
  
  International Journal of Innovative Computing, Information and Control
  
  Volume: 7/1 Pages: 115-131
- NAID
  130004604491
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19330072
[Journal Article] Static hedging for knock-in/out options written on the price ratios : A simple case2010
- Author(s)
  Jiro Akahori, Katsuya Takagi
- Journal Title
  
  Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 201-205
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] On a Stochastic Extension of Integrated Models for Climate Changes2010
- Author(s)
  Jiro Akahori, Takanobu Kosugi, Takafumi Kumazaki, Kenichi Oi
- Journal Title
  
  Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 229-264
- Data Source
  KAKENHI-PROJECT-19330072
[Journal Article] Around the Random Walk Hypothesis on Interest Rates2010
- Author(s)
  Jiro Akahori, Nienlin Liu
- Journal Title
  
  Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 206-210
- Data Source
  KAKENHI-PROJECT-19330072
[Journal Article] On the pricing of exotic warrant2010
- Author(s)
  Jiro Akahori, Ryutaro Akasaka
- Journal Title
  
  Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 241-245
- Data Source
  KAKENHI-PROJECT-19330072
[Journal Article] Static hedging for knock-in/out options written on the price ratios : A simple case2010
- Author(s)
  Jiro Akahori, Katsuya Takagi
- Journal Title
  
  Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 201-205
- Data Source
  KAKENHI-PROJECT-19330072
[Journal Article] Around the Random Walk Hypothesis on Interest Rates2010
- Author(s)
  Jiro Akahori, Nien-Lin Liu
- Journal Title
  
  Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 206-210
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] On the pricing of exotic warrant2010
- Author(s)
  Jiro Akahori, Ryutaro Akasaka
- Journal Title
  
  Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 241-245
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] On a Stochastic Extension of Integrated Models for Climate Changes2010
- Author(s)
  Jiro Akahori, Takanobu Kosugi, Takafumi Kumazaki, Ken-ichi Oi
- Journal Title
  
  Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 229-264
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Thermodynamicla approach to life insurance : discrete space-timeframework ; a toy model and its analysis2009
- Author(s)
  Jiro Akahori, Maho Nishida, Yousuke Seto
- Journal Title
  
  Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 360-365
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] On the pricing of options written on the last exit time2009
- Author(s)
  Jiro Akahori, Yuri Imamura, Yuko Yano
- Journal Title
  
  Methodology and Computing in Applied Probability 11/4
  
  Pages: 661-668
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19330072
[Journal Article] 確率システムのハミルトン系について2009
- Author(s)
  赤堀次郎
- Journal Title
  
  システム/制御/情報 53巻5号
  
  Pages: 184-188
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] Thermodynamicla approach to life insurance : discrete space-time framework ; a toy model and its analysis2009
- Author(s)
  Jiro Akahori, Maho Nishida, Yousuke Seto
- Journal Title
  
  Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Application
  
  Pages: 360-365
- Data Source
  KAKENHI-PROJECT-19330072
[Journal Article] On the pricing of iptions written on the last exit time2009
- Author(s)
  Jiro Akahori, Yuri Imamura, Yuko Yano
- Journal Title
  
  Methodology and Computing in Applied Probability 11巻4号
  
  Pages: 661-668
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21340024
[Journal Article] 確率システムのハミルトン系について2009
- Author(s)
  Akahori, J.
- Journal Title
  
  システム/制御/情報 53, No.5
  
  Pages: 184-188
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19330072
[Journal Article] On the pricing of options written on the last exit time2009
- Author(s)
  Akahori J., Y.Imamura, Y.Yano
- Journal Title
  
  Methodology and Computing in Applied Probability 11/4
  
  Pages: 661-668
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19330072
[Journal Article] Stochastic equations on compact groups in discrete negative time2008
- Author(s)
  Jiro Akahori,Chihiro Uenishi, Kouji Yano
- Journal Title
  
  Probability Theory and Related Fields 140/3-4
  
  Pages: 569-593
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] Stochastic equations on concompact groups in discrete negative time2008
- Author(s)
  Akahori, J., C.Uenishi and K.Yano
- Journal Title
  
  Probability Theory and Related Fields 140/3-4
  
  Pages: 569-593
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19330072
[Journal Article] Stochastic equations on compact groups in discrete negative time2008
- Author(s)
  J.Akahori, C.Uenishi and K.Yano
- Journal Title
  
  Probability Theory and Related Fields 140巻3-4合併号
  
  Pages: 569-593
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] Noises, Stochastic Flows, and E_0 semigroups2007
- Author(s)
  Jiro Akahori, Masaki Izumi, Shinzo Watanabe
- Journal Title
  
  Suugaku 59/3
  
  Pages: 243-263
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] ノイズ,確率的流れ,E_0半群2007
- Author(s)
  赤堀次郎, 泉正己, 渡辺信三
- Journal Title
  
  数学 59巻3号
  
  Pages: 243-263
- NAID
  10019541958
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] What is the Natural Scale for a Levy Process in Modelling Term Structure of Interest Rates?2007
- Author(s)
  J.Akahori, and T.Tsuchiya
- Journal Title
  
  Asia-Pacific Financial Markets 13巻4号
  
  Pages: 299-313
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] A discrete Ito calculus approach to He's framework for multi-factor discrete market2006
- Author(s)
  Jiro Akahori
- Journal Title
  
  Asia-Pacific Financial Markets 12巻3号
  
  Pages: 273-287
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] What is the Natural Scale for a Levy Process in Modelling Term Structure of Interest Rates2006
- Author(s)
  J.Akahori, and T.Tsuchiya
- Journal Title
  
  Asia-Pacific Financial Markets 13巻4号
  
  Pages: 299-313
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] Lifting Quadratic Term Structure Models to Infinite Dimension2006
- Author(s)
  Jiro Akahori, Keisuke Hara
- Journal Title
  
  Mathematical Finance 16/4
  
  Pages: 635-645
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] Generalizations of Ho-Lee's binomial interest rate model I:from one-to multi-factor2006
- Author(s)
  Akahori, Hiroki Aoki and Yoshihiko Nagata
- Journal Title
  
  Asia-Pacific Financial Markets 13巻2号
  
  Pages: 151-179
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] What is the Natural Scale for a Levy Process in Modelling Term Structure of Interest Rates?2006
- Author(s)
  Jiro Akahori, Takahiro Tsuchiya
- Journal Title
  
  Asia-Pacific Financial Markets 13/4
  
  Pages: 299-313
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] Generalizations of Ho-Lee's binomial interest tate model I : from one-to multi-factor2006
- Author(s)
  Jiro Akahori, Hiroki Aoki, Yoshihiko Nagata
- Journal Title
  
  Asia-Pacific Financial Markets 13巻2号(In Press)
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] Generalizations of Ho-Lee's binomial interest rate model I : from one-to multi-factor2006
- Author(s)
  Jiro Akahori, Hiroki Aoki, Yoshihiko Nagata
- Journal Title
  
  Asia-Pacific Financial Markets 13/2
  
  Pages: 151-179
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] Discrete Ito Formulas and Their Applications to Stochastic Numerics2006
- Author(s)
  Jiro Akahori
- Journal Title
  
  数理解析研究所講究録 1462
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] Discrete Ito Formulas and Their Applications to Stochastic Numerics2006
- Author(s)
  J.Akahori
- Journal Title
  
  数理解析研究所講究録 1462
  
  Pages: 202-210
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] Lifting Quadratic Term Structure Models to Infinite Dimension2006
- Author(s)
  J.Akahori, and Keisuke Hara
- Journal Title
  
  Mathematical Finance 16巻3号
  
  Pages: 635-645
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] Lifting Quadratic Term Structure Models to Infinite Dimension2006
- Author(s)
  Jiro Akahori, Keisuke Hara
- Journal Title
  
  Mathematical Finance 16巻3号
- Data Source
  KAKENHI-PROJECT-18540146
[Journal Article] A discrete Ito calculus approach to He's framework for multi-factor discrete market2005
- Author(s)
  J.Akahori
- Journal Title
  
  Asia-Pacific Financial Markets 12巻3号
  
  Pages: 273-287
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] Recent advances in Malliavin-Mancino's Fourier method for non-parametric estimation of volatility.2023
- Author(s)
  Jiro Akahori
- Organizer
  2023 Spring Probability Workshop in Taiwan
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Algebraic Stochastic Calculus2023
- Author(s)
  Jiro Akahori
- Organizer
  AMS Spring Central Sectional Meeting
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] On limit theorems of Mallivan-Mancino’s Fourier estimator2022
- Author(s)
  Jiro Akahori
- Organizer
  2022 SKKU International Conference: Trends in Digital Economy and Finance
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Algebraic Stochastic Calculus2022
- Author(s)
  Jiro Akahori
- Organizer
  AMS Spring Central Sectional Meeting
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Some thoughts on diffusion estimation2022
- Author(s)
  Jiro Akahori
- Organizer
  Risk Conference
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] On “rough” Quadratic Wiener Functionals2021
- Author(s)
  Jiro Akahori
- Organizer
  AIMS Ghana's Online Research Seminar Series
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] Thermodynamic Approach to Whole-Life Insurance: An Evaluation Method of Surrender Risk2020
- Author(s)
  Jiro Akahori
- Organizer
  IFAM seminar
- Invited
- Data Source
  KAKENHI-PROJECT-20K03666
[Presentation] On the Law of Square Integral of Fractional Brownian Motion2018
- Author(s)
  Jiro Akahori
- Organizer
  Stochastic processes with applications in finance and related fields
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03642
[Presentation] Polya Urn in Finance2018
- Author(s)
  Jiro Akahori
- Organizer
  Quantitative Methods in Finance 2018 Conference
- Invited
- Data Source
  KAKENHI-PROJECT-16K05215
[Presentation] Introduction to Malliavin-Mancino Fourier estimation method2018
- Author(s)
  Jiro Akahori
- Organizer
  Sookmyung Math Finance Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03642
[Presentation] Default Contagion with Domino Effect2018
- Author(s)
  Jiro Akahori
- Organizer
  4th Berlin-Princeton-Singapore Workshop on Quantitative Finance
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03642
[Presentation] Polya Urn in Finance2018
- Author(s)
  Jiro Akahori
- Organizer
  Quantitative Methods in Finance 2018 Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03642
[Presentation] Stochastic Calculus of General Equilibrium2018
- Author(s)
  Jiro Akahori
- Organizer
  Workshop on Stochastic Control and Related Issues
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03642
[Presentation] A Structural Model for Default Contagion2018
- Author(s)
  Jiro Akahori
- Organizer
  The Fifth Asian Quantitative Finance Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03642
[Presentation] Diffusion Estimation with Fourier Method2018
- Author(s)
  Jiro Akahori
- Organizer
  International Conference on Mathematical Finance & Symposium on the Role of Mathematical Finance on FinTech Business
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03642
[Presentation] Stochastic Calculus of General Equilibrium2018
- Author(s)
  Jiro Akahori
- Organizer
  Workshop on Stochastic Control and Related Issues
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Stochastic Volatility Models of Quadratic Volterra Gaussian Type2017
- Author(s)
  Jiro Akahori
- Organizer
  金融工学・数理計量ファイナンスの諸問題 2017
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Supersymmetry in Wiener Space2017
- Author(s)
  Jiro Akahori
- Organizer
  Stochastic Analysis and Related Fields
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] An Order-1 Markov Chain Approximation of Symmetrized Diffusion Processes2017
- Author(s)
  Jiro Akahori
- Organizer
  Osaka-UCL Workshop on Stochastics, Numerics and Risk
- Place of Presentation
  Osaka, Japan
- Year and Date
  2017-03-30
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Stochastic Volatility Models of Quadratic Volterra Gaussian Type2017
- Author(s)
  赤堀次郎
- Organizer
  金融工学・数理計量ファイナンスの諸問題2017
- Invited
- Data Source
  KAKENHI-PROJECT-16H03642
[Presentation] A Structural Model for Default Contagion2017
- Author(s)
  Jiro Akahori
- Organizer
  The Fifth Asian Quantitative Finance Conference
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Probabilistic Representation of Tau Functions2016
- Author(s)
  Jiro Akahori
- Organizer
  Workshop on SDEs and Stochastic Processes
- Place of Presentation
  Tianjin, China
- Year and Date
  2016-04-28
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Some Results on Fractional Brownian Motions2016
- Author(s)
  Jiro Akahori
- Organizer
  Sookmyung Women's University Financial Mathematics Seminar
- Place of Presentation
  Seoul, Korea
- Year and Date
  2016-12-09
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Statistical Estimation of Diffusion Processes2015
- Author(s)
  J. Akahori
- Organizer
  5th Ritsumeikan-Monash Symposium on Probability and Related Fields
- Place of Presentation
  Melbourne(Australia)
- Year and Date
  2015-03-27
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Asymptotic and Exact Semi-Static Hedges of Barrier Options2015
- Author(s)
  J.Akahori
- Organizer
  The Third Asian Quantitative Finance Conference
- Place of Presentation
  HONG KONG(P.R.CHINA)
- Year and Date
  2015-07-07
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Hedging Error as a Timing Risk and its Static Hedge2015
- Author(s)
  J. Akahori
- Organizer
  Columbia-JAFEE Conference 2015
- Place of Presentation
  NEW YORK(USA)
- Year and Date
  2015-10-02
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Asymptotic and Exact Semi-Static Hedges2015
- Author(s)
  J. Akahori
- Organizer
  WORKSHOP ON "MATHEMATICAL FINANCE AND RELATED ISSUES"
- Place of Presentation
  大阪大学(大阪府)
- Year and Date
  2015-03-16
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Parametrix of Static Hedge (of a Timing Risk)2014
- Author(s)
  J. Akahori
- Organizer
  2014 Actuarial Teachers' and Researchers' Conference
- Place of Presentation
  Edinburgh(Scotland)
- Year and Date
  2014-12-01
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] A Modification of the Fourier Method2014
- Author(s)
  Jiro Akahori
- Organizer
  Stochastic Processes and Mathematical Finance
- Place of Presentation
  関西大学(大阪府)
- Year and Date
  2014-02-25
- Data Source
  KAKENHI-PROJECT-23654056
[Presentation] Fourier estimation method with positive semi-definite estimators2014
- Author(s)
  J.Akahori
- Organizer
  The 8th International Conference on Computational and Financial Econometrics
- Place of Presentation
  Pisa(Italy)
- Year and Date
  2014-12-08
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Fourier estimation method with positive semi-definite estimators2014
- Author(s)
  Jiro AKAHORI
- Organizer
  8th international conference on computational and financial econometrics
- Place of Presentation
  Pisa, ITALY
- Year and Date
  2014-12-08
- Data Source
  KAKENHI-PROJECT-25780213
[Presentation] On a Generalization of Malliavin-Mancino's Fourier Estimation Method2014
- Author(s)
  J.Akahori
- Organizer
  The Quantitative Methods in Finance 2014 Conference
- Place of Presentation
  Sydney(Australia)
- Year and Date
  2014-12-20
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] On a Generalization of Malliavin-Mancino's Fourier Estimation Method2014
- Author(s)
  J. Akahori
- Organizer
  NUS-UTokyo Workshop on Quantitative Finance
- Place of Presentation
  東京大学(東京都)
- Year and Date
  2014-09-26
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] A multi-period coherent risk measure defined in terms of sample quantiles2014
- Author(s)
  J.Akahori
- Organizer
  International Workshop on Risk Analysis, Ruin and Extremes
- Place of Presentation
  天津(中華人民共和国)
- Year and Date
  2014-07-14
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Algebraic proof of anticipative Girsanov-Maruyama Formula2013
- Author(s)
  Jiro Akahori
- Organizer
  The First International Workshop on Quantum Information Theory and Related Topics
- Place of Presentation
  ダナン市(ベトナム)
- Year and Date
  2013-08-19
- Data Source
  KAKENHI-PROJECT-23654056
[Presentation] Solitons via Stochastic Areas2012
- Author(s)
  Jiro Akahori
- Organizer
  Rough Path解析とその周辺
- Place of Presentation
  名古屋大学（愛知県）
- Data Source
  KAKENHI-PROJECT-23654056
[Presentation] Solitons via Stochastic Areas2012
- Author(s)
  赤堀次郎
- Organizer
  Rough Path解析とその周辺
- Place of Presentation
  名古屋大学(愛知県)
- Year and Date
  2012-01-25
- Data Source
  KAKENHI-PROJECT-23330109
[Presentation] On a Symmetrization of Diffusion Processes2012
- Author(s)
  Jiro Akahori
- Organizer
  Quantitative Methods in Finance
- Place of Presentation
  ケアンズ、オーストラリア(招待講演)
- Year and Date
  2012-06-27
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] Solitons via Stochastic Areas2012
- Author(s)
  赤堀次郎
- Organizer
  Rough Path解析とその周辺
- Place of Presentation
  名古屋大学(愛知県)(招待講演)
- Year and Date
  2012-01-25
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] An Algebraic Approach to the Ramer-Kusuoka Formula2012
- Author(s)
  Jiro Akahori
- Organizer
  Perspectives in Analysis and Probability. Conference in Honor of Freddy Delbaen
- Place of Presentation
  Perspectives in Analysis and Probability. Conference in Honor of Freddy Delbaen (招待講演)
- Year and Date
  2012-09-24
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] Sato's Grassmanian in Wiener space2012
- Author(s)
  Jiro Akahori
- Organizer
  3rd Monash-Ritsumeikan Symposium on Probability and Related Fields
- Place of Presentation
  メルボルン、オーストラリア(招待講演)
- Year and Date
  2012-06-15
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] On the validity of principal component analysis applied to the term structure of interest rates2011
- Author(s)
  Jiro Akahori
- Organizer
  Parma Seminar on Economics and Finance
- Place of Presentation
  パルマ(イタリア)
- Year and Date
  2011-03-14
- Data Source
  KAKENHI-PROJECT-19330072
[Presentation] A Discrete Version of Clarck-Ocone Formula2011
- Author(s)
  Jiro Akahori
- Organizer
  Seminar on Financial Stochastic Models
- Place of Presentation
  エコール・ポリテクニーク(フランス)
- Year and Date
  2011-03-07
- Data Source
  KAKENHI-PROJECT-19330072
[Presentation] Pricing Kernel概説2011
- Author(s)
  赤堀次郎
- Organizer
  第二回デリバティブ部会セミナー
- Place of Presentation
  立命館東京キャンパス(東京都)(招待講演)
- Year and Date
  2011-09-08
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] 離散クラーク公式(ガウス型・ポアソン型)とその応用2011
- Author(s)
  赤堀次郎
- Organizer
  第一回数理ファイナンス合宿型セミナー
- Place of Presentation
  リフレフォーラム(東京都)(招待講演)
- Year and Date
  2011-11-06
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Fourier Analysis Applied to Finance2011
- Author(s)
  Jiro Akahori
- Organizer
  INTERNATIONAL CONFERENCE IN MATHEMA TICS AND APPLICATIONS
- Place of Presentation
  Vietnam, HoChiMiNH(招待講演)
- Year and Date
  2011-12-22
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Fourier Analysis Applied to Finance2011
- Author(s)
  赤堀次郎
- Organizer
  INTERNATIONAL CONFERENCE IN MATHEMATICS AND APPLICATIONS
- Place of Presentation
  Vietnam National University(タイ)
- Year and Date
  2011-12-18
- Data Source
  KAKENHI-PROJECT-23330109
[Presentation] A Discrete Version of Clarck-Ocone Formula2011
- Author(s)
  赤堀次郎
- Organizer
  Seminar on Financial Stochastic Models in Ecole Polytechnique
- Place of Presentation
  Ecole Polytechnique(フランス)
- Year and Date
  2011-03-07
- Data Source
  KAKENHI-PROJECT-23330109
[Presentation] 離散クラーク公式(ガウス型・ポアソン型)とその応用2011
- Author(s)
  赤堀次郎
- Organizer
  第一回数理ファイナンス合宿型セミナー
- Place of Presentation
  リフレフォーラム(東京都)
- Year and Date
  2011-11-06
- Data Source
  KAKENHI-PROJECT-23330109
[Presentation] Pricing Kernel概説2011
- Author(s)
  赤堀次郎
- Organizer
  第二回デリバティブ部会セミナー
- Place of Presentation
  立命館大学東京キャンパス(東京都)
- Year and Date
  2011-09-08
- Data Source
  KAKENHI-PROJECT-23330109
[Presentation] On a discrete version of the Clark-Ocone formula2010
- Author(s)
  Jiro Akahori
- Organizer
  Seminar on Mathematical Finance
- Place of Presentation
  University of Technology Sydney(オーストラリア)
- Year and Date
  2010-12-13
- Data Source
  KAKENHI-PROJECT-19330072
[Presentation] Heat Kernel Approach to Interest Rate Modelling2010
- Author(s)
  Jiro Akahori
- Organizer
  Quantitative Methods in Finance-2010 Conference
- Place of Presentation
  シドニー(オーストラリア)
- Year and Date
  2010-12-16
- Data Source
  KAKENHI-PROJECT-19330072
[Presentation] On a discrete version of the Clark-Ocone formula, Seminar on Mathematical Finance2010
- Author(s)
  Akahori J.
- Organizer
  University of Technology Sydney
- Place of Presentation
  シドニー、オーストラリア
- Year and Date
  2010-12-13
- Data Source
  KAKENHI-PROJECT-19330072
[Presentation] A Heat Kerneal Approach to Interest Rate Models2009
- Author(s)
  Jiro Akahori
- Organizer
  Congress : Stochastic Analysis for and from Finance
- Place of Presentation
  京都
- Year and Date
  2009-08-05
- Data Source
  KAKENHI-PROJECT-19330072
[Presentation] Action of affine Lie algebras on Wiener functionals2009
- Author(s)
  Jiro Akahori
- Organizer
  Workshop : "Computational Finance"
- Place of Presentation
  京都
- Year and Date
  2009-08-11
- Data Source
  KAKENHI-PROJECT-19330072
[Presentation] Action of affine Lie algebras on Wiener Functional2009
- Author(s)
  Jiro Akahori
- Organizer
  Workshop : Computational Finance
- Place of Presentation
  Kyoto Univ.
- Year and Date
  2009-08-11
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] A Heat Kerneal Approach to Interest Rate Models2009
- Author(s)
  Jiro Akahori
- Organizer
  Congress : Stochastic Analysis for and from Finance(SAFFF)
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2009-08-05
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] A Heat Kernel Approach to Interest Rate Models2009
- Author(s)
  赤堀次郎
- Organizer
  Stochastic Analysis for and from Finance
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2009-08-05
- Data Source
  KAKENHI-PROJECT-19330072
[Presentation] A Structural Approach to Transparency Risks2008
- Author(s)
  Jiro Akahori
- Organizer
  The 8th JAFEE-Columbia International Symposium, workshop at Tokyo
- Place of Presentation
  Tokyo, Japan
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] Remarks on principal component analysis of term structure of interest rates2008
- Author(s)
  赤堀次郎
- Organizer
  科研費研究集会「数理ファイナンスとその周辺」
- Place of Presentation
  東京大学大学院数理科学研究科
- Year and Date
  2008-01-25
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] OU過程の2次形式に対する主成分分析について2008
- Author(s)
  赤堀次郎, 石井郁美
- Organizer
  応用数理学会連合部会
- Place of Presentation
  首都大学東京
- Year and Date
  2008-03-08
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] Remarks on principal component analysis of term structure of interestrates2008
- Author(s)
  赤堀次郎
- Organizer
  科研費研究集会「数理ファイナンスとその周辺」
- Place of Presentation
  東京大学大学院数理科学研究科
- Year and Date
  2008-01-25
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] A Structural Approach to Transparency Risks2008
- Author(s)
  Jiro Akahori
- Organizer
  The 8th JAFEE-Columbia International Symposium, workshop at Tokyo
- Place of Presentation
  立命館大学東京キャンパス
- Year and Date
  2008-03-17
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] 信用リスクモデルとそのキャリブレーション2008
- Author(s)
  赤堀次郎
- Organizer
  第2回数理ファイナンス大規模シミュレーションセミナー
- Place of Presentation
  金沢大学大学院自然科学研究科
- Year and Date
  2008-02-13
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] Antisymmetric Malliavin calculus and its applications2007
- Author(s)
  Jiro Akahori
- Organizer
  Financial and Actuarial Mathematics at Vienna University of Technology
- Place of Presentation
  Vienna, Austria
- Year and Date
  2007-03-20
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] 反対称マリアヴァン解析によるソリトン解の構成について2007
- Author(s)
  赤堀次郎
- Organizer
  岡山大学秋の特別セミナー
- Place of Presentation
  岡山大学理学部
- Year and Date
  2007-10-26
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] Quadratic term structure models and related topics2007
- Author(s)
  Jiro Akahori
- Organizer
  Seminaire Bachelier
- Place of Presentation
  Paris, France
- Year and Date
  2007-03-09
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] 数理ファイナンスにおけるキャリブレーションについて2007
- Author(s)
  赤堀次郎
- Organizer
  第1回数理ファイナンス大規模シミュレーションセミナー
- Place of Presentation
  金沢大学大学院自然科学研究科
- Year and Date
  2007-09-05
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] Discrete Ito Formulas and Their Applications to Finance2006
- Author(s)
  Jiro Akahori
- Organizer
  15th MSJ International Research Institute and llth International Conference on Difference Equations and Applications
- Place of Presentation
  Kyoto, Japan
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18540146
[Presentation] On a Symmetrization of Diffusion Processes
- Author(s)
  Jiro Akahori
- Organizer
  Quantitative Methods in Finance
- Place of Presentation
  ケアンズ，オーストラリア
- Invited
- Data Source
  KAKENHI-PROJECT-23654056
[Presentation] An Algebraic Approach to the Ramer-Kusuoka Formula
- Author(s)
  Jiro Akahori
- Organizer
  Perspectives in Analysis and Probability. Conference in Honor of Freddy Delbaen
- Place of Presentation
  チューリッヒ，スイス
- Invited
- Data Source
  KAKENHI-PROJECT-23654056
[Presentation] Sato's Grassmanian in Wiener space
- Author(s)
  Jiro Akahori
- Organizer
  3rd Monash-Ritsumeikan Symposium on Probability and Related Fields
- Place of Presentation
  メルボルン，オーストラリア
- Invited
- Data Source
  KAKENHI-PROJECT-23654056
[Presentation] Algebraic proof of anticipative Girsanov-Maruyama formula
- Author(s)
  J. Akahori
- Organizer
  The First International Workshop on Quantum Information Theory and Related Topics
- Place of Presentation
  Danang, Vietnam
- Invited
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] A Modification of the Fourier Method
- Author(s)
  J.Akahori
- Organizer
  Stochastic Processes and Mathematical Finance
- Place of Presentation
  関西大学(大阪府)
- Data Source
  KAKENHI-PROJECT-23654056
[Presentation] A Modification of the Fourier Method
- Author(s)
  J.Akahori
- Organizer
  Stochastic Processes and Mathematical Finance
- Place of Presentation
  関西大学(大阪府)
- Data Source
  KAKENHI-PROJECT-25285102
[Presentation] Algebraic proof of anticipative Girsanov-Maruyama formula
- Author(s)
  Akahori jiro
- Organizer
  ON QUANTUM INFORMATION THEORY AND RELATED TOPICS
- Place of Presentation
  DUY TAN UNIVERSITY（Vietnam)
- Data Source
  KAKENHI-PROJECT-23330109
[Presentation] Algebraic proof of anticipative Girsanov-Maruyama formula
- Author(s)
  J. Akahori
- Organizer
  The First International Workshop on Quantum Information Theory and Related Topics
- Place of Presentation
  Danang, Vietnam
- Invited
- Data Source
  KAKENHI-PROJECT-23654056

1. ARTURO Kohatsu-higa (80420412)

# of Collaborated Projects: 7 results

# of Collaborated Products: 0 results
2. HOR Keiichi (50273561)

# of Collaborated Projects: 5 results

# of Collaborated Products: 68 results
3. KUSUOKA Sigeo (00114463)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
4. NINOMIYA Shoichi (70313377)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. TAKEUCHI Atsushi (30336755)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
6. YASUDA Kazuhiro (80509638)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
7. HARIMAYA Kozo (90347732)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
8. LIU NIEN-LIN (90610923)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
9. 松村勝弘 (40066733)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
10. OGAWA Shigeyoshi (80101137)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. JIE Qin (40329751)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. HIBARA Nobuhiko (10434698)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. YAMADA Toshio (10037749)

# of Collaborated Projects: 1 results

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

# 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. KAWAI Reiichirou (20464258)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
17. YAMAZATO Makoto (00015900)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
18. FUJISAKI Masatoshi (20047492)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
19. OGURA Yoshiaki (70423043)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
20. HAYASHI Masafumi (90532549)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
21. NAKATSU Tomonori (50732898)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
22. TANAKA Hideyuki (20732895)

# of Collaborated Projects: 1 results

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

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
24. 今村悠里 (40633194)

# of Collaborated Projects: 1 results

# of Collaborated Products: 3 results
25. 井澤裕司 (70222924)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
26. 大川隆夫 (10258494)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
27. 千代田邦夫 (20090277)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
28. 言美伊知朗 (10292137)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
29. 平田純一 (00143818)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
30. 浅井学 (90319484)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
31. 原啓介 (30298715)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
32. 青野幸平 (20513146)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
33. WANG Tai-Ho

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
34. AMABA Takafumi

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
35. MANCINO Maria Elvira

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
36. MAKHLOUF Azmi

# of Collaborated Projects: 1 results

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

# of Collaborated Projects: 0 results

# of Collaborated Products: 63 results
38. 難波隆弥

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results

AKAHORI Jiro 赤堀 次郎

AKAHORI Jirou 赤堀 次郎

赤堀 次郎 アカホリ ジロウ

Research Projects

Research Products

Co-Researchers

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Heat Kernel Approach in Financial Engineering of New GenerationPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Foundations of an anti-symmetric version of Malliavin calculusPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Mathematics of Quadratic Interest Rate ModelsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Book] STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE2007

Author(s)

Total Pages

Publisher

Data Source

[Book] STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE2007

AKAHORI Jiro 赤堀次郎

AKAHORI Jirou 赤堀次郎

赤堀次郎アカホリジロウ

[Journal Article] Generalizations of Ho-Lee's binomial interest rate model II: randomization2020