Sekine Jun 関根順

… Alternative Names

関根順セキネジユン

SEKINE Jun 関根順

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Researcher Number	50314399
Other IDs
Affiliation (Current)	2025: 大阪大学, 大学院基礎工学研究科, 教授
Affiliation (based on the past Project Information) *help	2023: 大阪大学, 大学院基礎工学研究科, 教授 2015 – 2021: 大阪大学, 基礎工学研究科, 教授 2010 – 2013: 大阪大学, 基礎工学研究科, 教授 2012: 大阪大学, 大学院・基礎工学研究科, 教授 2010: Kyoto University, 大学院・基礎工学研究科, 教授 … More 2008 – 2009: Kyoto University, 経済研究所, 教授 2007: 京都大学, 経済研究所, 准教授 2005: 京都大学, 経済研究所, 助教授 2002 – 2004: Osaka University, Graduate school of Engineering Science, Associate Professor, 大学院・基礎工学研究科, 助教授 2003: 大阪大学, 基礎工学研究科, 助教授 1999 – 2002: 大阪大学, 大学院・基礎工学研究科, 講師 2000 – 2001: Graduate School of Engineering Science, OSAKA UNIVERSITY Lecturer, 基礎工学研究科, 講師 Less
Review Section/Research Field	Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / Basic Section 07060:Money and finance-related / Basic Section 12040:Applied mathematics and statistics-related / Money/ Finance / General mathematics (including Probability theory/Statistical mathematics) Except Principal Investigator Basic analysis / General mathematics (including Probability theory/Statistical mathematics) / Basic analysis / General mathematics (including Probability theory/Statistical mathematics) / Engineering fundamentals
Keywords	Principal Investigator 後退確率差分方程式 / 後退確率微分方程式 / 動的効用最大化 / フロアー制約 / 最適停止問題 / 大偏差制御 / 低下制約 / リスク鋭感的ポートフォリオ最適化 / 凸双対法 / 非完備市場 … More / 再帰的効用 / Nash均衡 / 動的計画方程式 / 最適投資消費問題 / 確率微分ゲーム / 確率微分効用 / 再帰型効用 / Deep BSDE / 時間整合性 / 歪曲確率 / マルコフ連鎖近似 / 結晶格子 / 部分積分公式 / ランダムウォーク近似 / スパースグリッド / 弱時間整合性 / 非線形最適停止問題 / 非線形マルコフ連鎖 / 非線形条件付き期待値 / 動的リスク尺度 / XVA / フィルトレーション拡大 / 自由境界 / ドローダウン制約 / 動的ポートフォリオ最適化 / 確率アルゴリズム / BSSファクターモデル / 期待効用最大化 / ファクターモデル / Factor Model / Optimal Stopping / Dual Approach / Floor Constraint / Portfolio Insurance / Portfolio Optimization / Wishart型自己回帰過程 / 長時間最適化 / Wishart型ファクターモデル / 長期間双曲的成長率 / BSDE / 非線形富過程 / 効用無差別価格 / 効用最大化 / 条件付き線形モデル / 鞍点法 / Lugannani RIce formula / Wishart factor model / drawdown constraint / floor constraint / downside risk / long term investment / ダイナミックプロテクション / アメリカ型OBPI / ポートフォリオインシュランス / 長時間ポートフォリオ最適化 / Information-based asset pricin / 確率フィルタリング / 最大値過程 / リスク鋭感的制御 / 長時間最適投資問題 / Kushner-Stratonovic方程式 / 橋過程 / Wishart型確率過程 / ロバスト極限 / リスク回避的極限 / エルゴード型HJB方程式 / 長時間大偏差制御 / 微分ゲーム / リスク回避極限 / 床制約 / 部分情報 / 優複製問題 / 確率最適制御 / 数理ファイナンス / ポートフォリオ最適化 / デリバティブの優複製 / リスク測度 / 後ろ向き確率微分方程式 / 最適化問題 … More Except Principal Investigator 対数ソボレフ不等式 / スペクトルギャップ / シュレーディンガー作用素 / 粘性解 / viscosity solutions / ハミルトン・ヤコビ方程式 / リスク鋭感的確率制御 / ポートフォリオ最適化 / 大偏差原理 / 数理ファイナンス / 拡散過程 / ベルマン方程式 / large deviation control / numerical analysis / ergodic problem / homogenizations / mathematical finances / Hamilton-Jacobi-Bellman equation / optimal stochastic control / nonlinear partial differential equations / ラプラスの方法 / 準古典極限 / ループ空間 / Schrodinger operator / 加法的汎関数 / エルゴード型ベルマン方程式 / ハルナック不等式 / ダウンサイドリスク最小化 / 期待効用最大化 / エルゴード型H-J-B方程式 / 双対性定理 / 大偏差確率制御 / 数値解析 / ラフパス / 熱核 / マリアバン解析 / 確率微分方程式 / 確率解析 / 確率制御 / ファクターモデル / 期待効用最大化問題 / ロバストネス / H-J-B- Isaacs 方程式 / 最適消費・投資問題 / エルゴード型 H-J-B 方程式 / モデルの不確かさ / 最適投資・消費問題 / 双対型定理 / 大偏差確率 / ダウンサイドリスク最小化リスク最小化 / optimal consumption / duality theorems / H-J-B equations / Hamilton-Jacobi equation / insider trading / transaction costs / quasi-variational inequalities / expected utility maximization problems / ブラウン運動 / Hamilton-Jacobi-Bellman方程式 / 最小エントロピー / 指数型ウィナー汎関数 / 最適制御 / べき型期待効用最大化 / 最小エントロピー測度 / HJB方程式 / スペクトル理論 / モーメント問題 / 密度関数推定 / super kernel / リスク鋭感的ポートフォリオ最大化 / 線形ガウス型市場モデル / インサイダー取引 / 取引費用 / 準変分不等式 / Quantum_field theory / Path integral / Log-Sobolev inequality / Witten Laplacian / Rough path analysis / Stochastic analysis / Semi-classical limit / ラブラスの方法 / 弱ポアンカレ不等式 / 推移確率 / 径路積分表示 / 場の量子論 / 径路積分 / Wittenラプラシアン / ラフパス解析 / 確率解析と非線形偏微分方程式の関わり / 非線形偏微分方程式の数値解析 / 変分法の数理生物学への応用 / 界面の発展方程式 / ハミルトンャコビベルマン方程式の数理ファイナンスへの応用 / ショックの現れる非線形一階偏微分方程式の解の存在と一意性 / 非線形熱方程式の解の安定性 / 非線形退化楕円型方程式の解の平滑性 / 偏微分方程式の数値解析 / エルゴード問題 / 最適制御理論 / 非完備金融市場モデル / 多重スケールモデル / ホモジェニゼイション / 粘性解理論 / semi-classical limits / Critical surface models / Viscosity solutions / Exponential hedge / Log Sobolev inequalities / Maximum principle / Portfolio optimization / Bellman equations / ファインマン・カッツ汎関数 / 非完備市場 / ウィーナー空間 / 最適戦略 / コルモゴロフ方程式 / 緩和現象 / ポートフェリオ最適化 / 準古典的極限 / 界面モデル / 指数ヘッジ / 最大値原理 / Runge-KUtta Method / Stochastic Differential Equations / Free Lie Algebra / Malliavin Calculus / Numerical Analysis / Risk measures / Derivatives / Mathematical Finance / 特性関数 / 加法過程 / ヨーロピアンオプション / アメリカンオプション / モンテカルロ法 / リー環 / ルンゲ・クッタ / フィルトレーション / 連続極限 / 多期間モデル / 法則不変 / リスク / ファイナンス / 生命保険 / アクチュアリー / ルンゲ・クッタ法 / 自由リー環 / 数値計算 / リスク尺度 / デリバティブ / 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 / シミュレーション / 金融派生商品 / rough path / heat kernel / Semiclassical limit / Logarithmic Sobolev inequality / 超縮小性 / 準古典的近似 / シュレーディンガー作用書 / Loop Space / Spectral Gap / Logarithmic Soboles inequality / ギッブス測度 / ディソクレ形式 / 対数リボレフ不等式 / additive functional / spectral gap / log Sobolev inequality / large deviation principle / portfolio optimization / ergodic Bellman equation / risk-sensitive stochastic control / エルゴード型確率制御問題 / 特異極限 / エルコンド型ベルマン方程式 / 対数ソポレフ不等式 / 弱近似 / リスク鋭感的制御 / ダウンサイドリスク / 局所最大値原理 / インサイダー取引モデル / 価値尺度 / H-J-B方程式 / ポートフォリオ最適化、大偏差確率制御 / リスク鋭感的価値尺度 / インサイダー取引市場モデル / ロバスト性 / エルゴード型確率制御 / デリバティブの価値評価 / H-J-B 方程式 / シュレディンガー作用素 / ウィナー空間 / 第一固有値 / フラクタル / マルコフ連鎖 / 一般化逆ガウス分布 / 多様体 / 安定過程 / ベッセル過程 / ディリクレ形式 / 流体力学的極限 / ラプラシアン / フィルタリング / 大偏差確率最大化 / べき型期待効用最大化問題 / Einstein Relation / 格子気体モデル / Wonhamフィルター / リスク鋭感型準変分不等式 Less

Progress of Recursive Utility Maximization Theory and Its ApplicationsPrincipal Investigator
- Principal Investigator
  
  関根順
- Project Period (FY)
  2023 – 2026
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Osaka University
Study on Applications of Backward Stochastic Differential EquationsPrincipal Investigator
- Principal Investigator
  
  Sekine Jun
- Project Period (FY)
  2019 – 2021
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 12040:Applied mathematics and statistics-related
- Research Institution
  Osaka University
Study on Dynamic Portfolio Insurance and Related TopicsPrincipal Investigator
- Principal Investigator
  
  Sekine Jun
- Project Period (FY)
  2015 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  Osaka University
Stochastic control on a long term and its applications
- Principal Investigator
  
  NAGAI Hideo
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Basic analysis
- Research Institution
  Kansai University
Study on Large Deviations ControlPrincipal Investigator
- Principal Investigator
  
  SEKINE Jun
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Osaka University
Development of the methods of stochastic control and filtering in mathematical finance
- Principal Investigator
  
  NAGAI Hideo
- Project Period (FY)
  2008 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Kansai University
  Osaka University
Study of long-term risk-sensitive portfolio optimization in non-standard settingsPrincipal Investigator
- Principal Investigator
  
  SEKINE Jun
- Project Period (FY)
  2008 – 2010
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Kyoto University
Theory of stochastic analysis and its applications
- Principal Investigator
  
  MATSUMOTO Hiroyuki
- Project Period (FY)
  2007 – 2010
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Basic analysis
- Research Institution
  Yamagata University
  Nagoya University
Max-Plus代数を用いた期待効用最大化問題の最適戦略の数値解析
- Principal Investigator
  
  NAGAI Hideo
- Project Period (FY)
  2004 – 2005
- Research Category
  
  Grant-in-Aid for Exploratory Research
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Osaka University
Expected utility maximiaation problems and stochastic control
- Principal Investigator
  
  NAGAI HIideo
- Project Period (FY)
  2004 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Osaka University
Stochastic analysis and semi-classical problem in infinite dimensional spaces
- Principal Investigator
  
  AIDA Shigeki
- Project Period (FY)
  2003 – 2005
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Basic analysis
- Research Institution
  Osaka University
Nonlinear elliptic and parabolic PDEs, theories and applications
- Principal Investigator
  
  ARISAWA Mariko
- Project Period (FY)
  2002 – 2003
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Basic analysis
- Research Institution
  Tohoku University
数理ファイナンス、及び関連した確率論・数値解析学の研究Principal Investigator
- Principal Investigator
  
  関根順
- Project Period (FY)
  2001 – 2002
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Osaka University
RESEARCH on PRICING DERIVATIVES BASED ON RISK MEASURES
- Principal Investigator
  
  KUSUOKA Shigeo
- Project Period (FY)
  2001 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  THE UNIVERSITY OF TOKYO
BELLMAN EQUATIONS OF RISK-SENRSITIVE STOCHASTIC AND THEIR APPLICATIONS
- Principal Investigator
  
  NAGAI Hideo
- Project Period (FY)
  2001 – 2003
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Osaka University
Stochastic analysis on loop space
- Principal Investigator
  
  AIDA Shigeki
- Project Period (FY)
  2000 – 2002
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Basic analysis
- Research Institution
  Osaka University
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
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
Siochastic Analysis on loop spaces
- Principal Investigator
  
  AIDA Shigeki
- Project Period (FY)
  1998 – 1999
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Basic analysis
- Research Institution
  Osaka University
  Tohoku University

[Book] 応用数理ハンドブック (数理ファイナンス・動的ヘッジングの項)2013
- Author(s)
  日本応用数理学会（監修）、関根順
- Total Pages
  6
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-23540133
[Book] 応用数理ハンドブック (数理ファイナンス・動的ヘッジングの項), 日本応用数理学会監修2013
- Author(s)
  関根順
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-23540133
[Book] 朝倉数学ハンドブック [応用編] (第III編：数理ファイナンス)2011
- Author(s)
  関根順
- Total Pages
  42
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-23540133
[Book] 朝倉数学ハンドブック[応用編]2011
- Author(s)
  関根順・飯高茂・楠岡成雄・室田一雄
- Publisher
  朝倉書店(発刊予定)
- Data Source
  KAKENHI-PROJECT-20540115
[Book] 朝倉数学ハンドブック [応用編] (第III編 : 数理ファイナンス)2011
- Author(s)
  関根順
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-23540133
[Book] 数理ファイナンス2007
- Author(s)
  関根順
- Total Pages
  286
- Publisher
  培風館
- Data Source
  KAKENHI-PROJECT-19204010
[Journal Article] Notes on Backward Stochastic Differential Equations for Computing XVA2022
- Author(s)
  Jun Sekine and Akihiro Tanaka
- Journal Title
  
  Mathematics for Industry (Cheng, J., Dinghua, X., Saeki, O., Shirai, T. (eds) Proceedings of the Forum "Math-for-Industry" 2018)
  
  Volume: 35 Pages: 15-50
- DOI
  10.1007/978-981-16-5576-0_2
- ISBN
  9789811655753, 9789811655760
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K03636
[Journal Article] On optimal thresholds for pairs trading in a one-dimensional diffusion model2021
- Author(s)
  Masaaki Fukasawa, Hitomi Maeda, and Jun Sekine
- Journal Title
  
  The ANZIAM Journal, Special Issue for Financial Mathematics, Probability and Statistics
  
  Volume: 63 Pages: 104-122
- DOI
  10.21914/anziamj.v63.15437
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K03636
[Journal Article] Stochastic modelling with randomized Markov bridges2019
- Author(s)
  Andrea Macrina and Jun Sekine
- Journal Title
  
  Stochastics
  
  Volume: Online Publication Issue: 1 Pages: 1-33
- DOI
  10.1080/17442508.2019.1703988
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K03636
[Journal Article] Backward Stochastic Differential Equations and Their Applications (III)2019
- Author(s)
  関根　順
- Journal Title
  
  Bulletin of the Japan Society for Industrial and Applied Mathematics
  
  Volume: 29 Issue: 3 Pages: 28-33
- DOI
  10.11540/bjsiam.29.3_28
- NAID
  130007775874
- ISSN
  2432-1982
- Year and Date
  2019-09-25
- Language
  Japanese
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K03636
[Journal Article] Backward Stochastic Differential Equations and Their Applications (II)2019
- Author(s)
  関根　順
- Journal Title
  
  Bulletin of the Japan Society for Industrial and Applied Mathematics
  
  Volume: 29 Issue: 2 Pages: 31-36
- DOI
  10.11540/bjsiam.29.2_31
- NAID
  130007720867
- ISSN
  2432-1982
- Year and Date
  2019-06-25
- Language
  Japanese
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K03636
[Journal Article] Backward Stochastic Differential Equations and Their Applications (IV)2019
- Author(s)
  関根　順
- Journal Title
  
  Bulletin of the Japan Society for Industrial and Applied Mathematics
  
  Volume: 29 Issue: 4 Pages: 30-35
- DOI
  10.11540/bjsiam.29.4_30
- NAID
  130007823836
- ISSN
  2432-1982
- Year and Date
  2019-12-20
- Language
  Japanese
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K03636
[Journal Article] Backward Stochastic Differential Equations and Their Applications (I)2019
- Author(s)
  関根　順
- Journal Title
  
  Bulletin of the Japan Society for Industrial and Applied Mathematics
  
  Volume: 29 Issue: 1 Pages: 35-40
- DOI
  10.11540/bjsiam.29.1_35
- NAID
  130007670619
- ISSN
  2432-1982
- Year and Date
  2019-03-26
- Language
  Japanese
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K03636
[Journal Article] Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps2017
- Author(s)
  Hata Hiroaki、Sekine Jun
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 24 Issue: 3 Pages: 221-252
- DOI
  10.1007/s10690-017-9231-4
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03540
[Journal Article] Order estimates for the exact Lugannani-Rice expansion2016
- Author(s)
  Takashi Kato, Jun Sekine and Kenichi Yoshikawa
- Journal Title
  
  Japan Journal of Industrial and Applied Mathematics
  
  Volume: 33 (1) Issue: 1 Pages: 25-61
- DOI
  10.1007/s13160-015-0199-z
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-15K03540
[Journal Article] A one-factor conditionally linear commodity pricing model under partial information2014
- Author(s)
  Takashi Kato, Jun Sekine and Hiromitsu Yamamoto
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 21(2) Issue: 2 Pages: 151-174
- DOI
  10.1007/s10690-014-9182-y
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] A one-factor conditionally linear commodity pricing model under partial information2014
- Author(s)
  Takashi Kato, Jun Sekine, and Hiromitsu Yamamoto
- Journal Title
  
  Asia Pacific Financial Markets
  
  Volume: 21(2) Pages: 151-174
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] "On dynamic portfolio insurance techniques". In Real Option, Ambiguity, Risk and Insurance2013
- Author(s)
  Jun Sekine
- Journal Title
  
  IOS Press, Ebooks Series : Studies in Probability, Optimization, and Statistics, Editors : Alain Bensoussan, Shige Peng, Jaeyoung Sung
  
  Volume: vol.5 Pages: 232-254
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] Risk-sensitive asset management with Wishart autoregressive type factor model2013
- Author(s)
  H.Hata and J.Sekine
- Journal Title
  
  Journal of Mathematical Finance
  
  Volume: 3(1A) Issue: 01 Pages: 222-229
- DOI
  10.4236/jmf.2013.31a021
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019
[Journal Article] Risk-sensitive asset management under a Wishart autoregressive factor model2013
- Author(s)
  Hiroaki Hata and Jun Sekine
- Journal Title
  
  Journal of Mathematical Finance
  
  Volume: 3(1A) Pages: 222-229
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] On dynamic portfolio insurance techniques2013
- Author(s)
  Jun Sekine
- Journal Title
  
  Real Option, Ambiguity, Risk and Insurance, IOS Press, Ebooks Series: Studies in Probability, Optimization, and Statistics
  
  Volume: 5 Pages: 232-254
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] Long-term optimal investment with a generalized drawdown constraint2013
- Author(s)
  Jun Sekine
- Journal Title
  
  SIAM Journal on Financial Mathematics
  
  Volume: 4(1) Pages: 452-473
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] Bayesian optimal power-utility grohyperbolically in the long run2012
- Author(s)
  Hideaki Miyata and Jun Sekine
- Journal Title
  
  RIMS Kôkyûroku "Mathematical Economics"
  
  Volume: 1788 Pages: 62-82
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] Bayesian optimal power-utility grows hyperbolically in the long run.2012
- Author(s)
  Hideaki Miyata and Jun Sekine
- Journal Title
  
  京都大学数理解析研究所「経済の数理解析」（掲載確定）
  
  Volume: 未定 Pages: 21-21
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] Bayesian optimal power-utility grows hyperbolically in the long run2012
- Author(s)
  Hideaki Miyata and Jun Sekine
- Journal Title
  
  京都大学数理解析研究所講究録
  
  Volume: 1788
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] Long-term optimal portfolios with floor2012
- Author(s)
  Jun Sekine
- Journal Title
  
  Finance and Stochastics
  
  Volume: 16(3) Pages: 369-401
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] Optimal portfolio for a highly risk-averse investor: a differential game interpretation2012
- Author(s)
  Hidehiro Kaisa and Jun Sekine
- Journal Title
  
  Risk and Decision Analysis
  
  Volume: 3 Issue: 3 Pages: 211-222
- DOI
  10.3233/rda-2011-0059
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] Optimal portfolio for a highly risk-averse investor : a differential game interpretation2012
- Author(s)
  Hidehiro Kaise and Jun Sekine
- Journal Title
  
  Risk and Decision Analysis
  
  Volume: 3 Pages: 211-222
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] Long-term optimal portfolios with floor2011
- Author(s)
  Jun Sekine
- Journal Title
  
  Finance and Stochastics In press
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Journal Article] Risk-sensitive portfolio optimization with two-factor model having a memory effect2011
- Author(s)
  Tadashi Hayashi and Jun Sekine
- Journal Title
  
  Asia Pacific Financial Markets
  
  Volume: 18(4) Pages: 385-403
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] 長期間金利のロバストな表現について2011
- Author(s)
  関根順
- Journal Title
  
  MTECジャーナル
  
  Volume: 23 Pages: 3-32
- Data Source
  KAKENHI-PROJECT-23540133
[Journal Article] Optimal portfolio for a highly risk-averse investor : a differential game interpretation2011
- Author(s)
  Hidehiro Kaise, Jun Sekine
- Journal Title
  
  Risk and Decision Analysis In press
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Journal Article] Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem.2010
- Author(s)
  H.Hata, J.Sekine
- Journal Title
  
  Appl.Math.Optim. Vol.62,No.3
  
  Pages: 341-380
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19204010
[Journal Article] Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem2010
- Author(s)
  Hiriaki Hata, Jun Sekine
- Journal Title
  
  Applied mathematics and Optimization 62(3)
  
  Pages: 341-380
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Journal Article] Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem2010
- Author(s)
  Hiroaki Hata, Jun Sekine
- Journal Title
  
  Applied Mathematics and Optimizations
  
  Volume: 62(3) Pages: 341-380
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Journal Article] Marginal distribution of some path-dependent stochastic volatility model2008
- Author(s)
  Jun Sekine
- Journal Title
  
  Statistics and Probability Letters 78
  
  Pages: 1846-1850
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Journal Article] Marginal Distribution of Some Path-Dependent Stochastic Volatility Model2008
- Author(s)
  Jun Sekine
- Journal Title
  
  Statistics and Probability Letters 78
  
  Pages: 1846-1850
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Journal Article] On a large deviations control for a linear-quadratic model : the complete dual solution, Gakuto International Series2008
- Author(s)
  Jun Sekine
- Journal Title
  
  Mathematica Sciences and Application : Proceedings of 4^<th> JSIAM-SIMAI meeting 28
  
  Pages: 322-333
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Journal Article] On a Large Deviations Control for a Linear-Quadratic Control : The Complete Dual Solution2008
- Author(s)
  Jun Sekine
- Journal Title
  
  Gakuto International Series on Mathematical Sciences and Applications 28
  
  Pages: 322-333
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Journal Article] A Note on the Risk-Premium Process in an Equilibrium2008
- Author(s)
  Jun Sekine
- Journal Title
  
  International Journal on Theoretical and Applied Finance 11(7)
  
  Pages: 705-716
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Journal Article] A note on the risk-premium process in an equilibrium2008
- Author(s)
  Jun Sekine
- Journal Title
  
  International Journal of Theoretical and Applied Finance 11(7)
  
  Pages: 705-716
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20540115
[Journal Article] A note on the risk-premium process in an equilibrium2008
- Author(s)
  Jun Sekine
- Journal Title
  
  International Journal of Theoretical and Applied Finance 11
  
  Pages: 705-716
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20340019
[Journal Article] Dynamic minimization of worst conditional expectation of shortfall2004
- Author(s)
  Jun SEKINE
- Journal Title
  
  Mathematical Finance 14/4
  
  Pages: 605-618
- Data Source
  KAKENHI-PROJECT-16654022
[Journal Article] Dynamic minimization of worst conditional expectation of shortfall2004
- Author(s)
  Jun SEKINE
- Journal Title
  
  Mathematical Finance 14/4
  
  Pages: 605-618
- Data Source
  KAKENHI-PROJECT-16340025
[Presentation] Many-player Stochasic Games under Epstein-Zin Prefernces and Relative Performance Criteria2023
- Author(s)
  Jun Sekine
- Organizer
  JAFEE-ISM International Symposium on Quantitative Finance
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K01450
[Presentation] Backward stochastic difference equation driven by multidimensional random walk on a lattice: convergence analysis via Wasserstein central limit theorem2021
- Author(s)
  Jun Sekine
- Organizer
  Centre for Financial Mathematics Seminar, University of Wollongong, Australia
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K03636
[Presentation] 条件付歪曲期待値の時間整合性：非均一な分散構造を持つモデルの解析2020
- Author(s)
  関根　順
- Organizer
  日本応用数理学会第16回研究部会連合発表会
- Data Source
  KAKENHI-PROJECT-19K03636
[Presentation] Remarks on Arbitrages in Bilateral Derivative Trading with Repo Markets2020
- Author(s)
  Jun Sekine
- Organizer
  The Second International Symposium on Partial Differential Equations & Stochastic Analysis in Mathematical Finance (Tsinghua International Mathematics Conference Center, Sanya, China)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K03636
[Presentation] 複合Hawkes型リスクモデルを用いた破産確率評価2019
- Author(s)
  関根順
- Organizer
  産学共同研究集会（日本アクチュアリー会、JARIP共催）
- Invited
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] The XVA issues and related BSDEs2019
- Author(s)
  Jun Sekine
- Organizer
  SIAM Conference on Control and Optimization
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K03636
[Presentation] 仮想通貨、スマートコントラクト、リスクの計量化：数理ファイナンスの立場から2018
- Author(s)
  関根　順
- Organizer
  日本応用数理学会年会（於名古屋大学）
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] On Optimal Thresholds for Pairs Trading in One-Dimensional Diffusion Model2018
- Author(s)
  Jun Sekine
- Organizer
  Workshop on Finance, Insurance and Economics, Daejoen, Korea
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] The XVA Issues and Related BSDEs2018
- Author(s)
  Jun Sekine
- Organizer
  Forum on Mathematics for Industry, Fudan Univ, China
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] Optimal investment and consumption in an infinite dimensional factor model with delay2018
- Author(s)
  Jun Sekine
- Organizer
  Workshop on Stochastic Control and Related Issues, Kansai University, 2018, March
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] スマートコントラクトのモデルについて2018
- Author(s)
  関根　順
- Organizer
  首都大学東京シンポジウム
- Invited
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] On Optimal Thresholds for Pairs Trading in One-Dimensional Diffusion Model2018
- Author(s)
  関根　順
- Organizer
  日本応用数理学会年会（於名古屋大学）
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] Optimal Investment and Consumption in an Infinite Dimensional Factor Model with Delay2018
- Author(s)
  Jun Sekine
- Organizer
  Workshop on Stochastic Control and Related Issues, Kansai Univ, Osaka
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] Optimal investment and consumption in an infinite dimensional factor model with delay2017
- Author(s)
  Jun Sekine
- Organizer
  The Fifth Asia Quantitative Finance Conference, Seoul, Korea, 2017, April
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] Stochastic Modeling with Randomized Markov Bridges and Conditioned Stochastic Differential Equations2017
- Author(s)
  Jun Sekine
- Organizer
  Mathematics of Risk, MATRIX, University of Melbourne, November, 2017
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] Optimal investment and consumption in an infinite dimensional factor model with delay2017
- Author(s)
  Jun Sekine
- Organizer
  Seminar on Probability, National Central University, Taiwan, 2017, September
- Invited
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] Prediction with noisy anticipation and its application to asset pricing2016
- Author(s)
  Jun Sekine
- Organizer
  The 4th Asia Quantitative Finance Conference
- Place of Presentation
  大阪大学中ノ島センター, 大阪市, 大阪府
- Year and Date
  2016-02-22
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] Optimal investment and consumption in an infinite dimensional factor model with delay2016
- Author(s)
  Jun Sekine
- Organizer
  Workshop on Stochastic Analysis and Mathematical Finance
- Place of Presentation
  山東大学青島キャンパス、中華人民共和国
- Year and Date
  2016-08-31
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] A filtration enlargement with noisy anticipation for asset pricing2016
- Author(s)
  Jun Sekine
- Organizer
  6th International IMS-FIPS Workshop
- Place of Presentation
  Edmonton, Canada
- Year and Date
  2016-07-08
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] Prediction with noisy anticipation and its application to asset pricing2016
- Author(s)
  Jun Sekine
- Organizer
  Sahoro Winter Workshop on Operations Research
- Place of Presentation
  サホロリゾートホテル, 十勝市, 北海道
- Year and Date
  2016-02-15
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] A filtration enlargement with noisy anticipation for asset pricing2016
- Author(s)
  Jun Sekine
- Organizer
  Ritsumeikan-UCL Workshop
- Place of Presentation
  立命館大学びわこキャンパス
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] Utility maximization with floor constraint: constructing optimal solution2015
- Author(s)
  Jun Sekine
- Organizer
  Seminar of Academia Sinica
- Place of Presentation
  Academia Sinica, Taipei, Taiwan
- Year and Date
  2015-08-31
- Invited
- Data Source
  KAKENHI-PROJECT-15K03540
[Presentation] Wishart型行列ファクター過程モデルに関する動的ポートフォリオ最適化2014
- Author(s)
  Jun Sekine
- Organizer
  ワークショップ「正定対称行列をめぐるモデリング・数理・アルゴリズムの世界」
- Place of Presentation
  政策研究大学院大学
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Wishart 型行列ファクター過程モデルに関する動的ポートフォリオ最適化2014
- Author(s)
  関根順
- Organizer
  ワークショップ「正定対称行列をめぐるモデリング・数理・アルゴリズムの世界」
- Place of Presentation
  政策研究大学院大学
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Utility maximization with floor constraint : a dual approach2014
- Author(s)
  Jun Sekine
- Organizer
  International Conference on Portfolio Selection and Asset Pricing
- Place of Presentation
  Kyoto University
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Utility maximization with floor constraint: a dual approach2014
- Author(s)
  Jun Sekine
- Organizer
  Stochastic Processes and Mathematical Finance
- Place of Presentation
  関西大学
- Invited
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Utility maximization with floor constraint: a dual approach2014
- Author(s)
  Jun Sekine
- Organizer
  International Conference on Portfolio Selection and Asset Pricing
- Place of Presentation
  京都大学
- Invited
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Utility maximization with floor constraint : a dual approach2014
- Author(s)
  Jun Sekine
- Organizer
  Stochastic Processes and Mathematical Finance
- Place of Presentation
  Kansai University
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] 効用最大化に関するサーベイ2013
- Author(s)
  関根順
- Organizer
  確率論早春セミナー
- Place of Presentation
  関西大学
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Long-term optimal investment with drawdown constraint2013
- Author(s)
  Jun Sekine
- Organizer
  Seminar on Financial Mathematics, Libera Universita Internazionale Degli Studi Sociali
- Place of Presentation
  Roma
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Long-term optimal investment with drawdown constraint2013
- Author(s)
  Jun Sekine
- Organizer
  Seminar on Financial Mathematics
- Place of Presentation
  , Libera Universita Internazionale Degli Studi Sociali, Roma
- Invited
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Utility maximization with floor constraint2013
- Author(s)
  関根順
- Organizer
  数理経済学会研究集会「経済の数理解析」
- Place of Presentation
  慶應義塾大学
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Sensitivity analysis for utility maximization via an associated FB-system of SDE2013
- Author(s)
  Jun Sekine
- Organizer
  Workshop on Finance, Stochastics and Asymptotic Analysis,
- Place of Presentation
  Osaka University, Japan
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] An approximation for utility maximization via an associated FB-system of SDE2013
- Author(s)
  Jun Sekine
- Organizer
  The First Asian Quantitative Finance Conference
- Place of Presentation
  NUS, Singapore
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Utility maximization with floor constraint2013
- Author(s)
  Jun Sekine
- Organizer
  Stochastic Processes and Their Statistics in Finance
- Place of Presentation
  沖縄, 那覇
- Invited
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Utility maximization with floor constraint2013
- Author(s)
  Jun Sekine
- Organizer
  Stochastic Processes and Their Statistics
- Place of Presentation
  Finance in Okinawa
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Sensitivity analysis for utility maximization via an associated FB-system of SDE2013
- Author(s)
  Jun Sekine
- Organizer
  Workshop on Finance, Stochastics and Asymptotic Analysis
- Place of Presentation
  CSFI, Osaka Univ
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Long-term optimal portfolios with drawdown constraint2013
- Author(s)
  関根順
- Organizer
  京都大学数理解析研究所談話会
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Utility maximization for a derivative security with discrete stopping time horizon2013
- Author(s)
  Jun Sekine
- Organizer
  59th World Statistics Congress
- Place of Presentation
  Hong-Kong
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Long-term optimal portfolios with drawdown constraint2013
- Author(s)
  Jun Sekine
- Organizer
  京都大学数理解析研究所談話会
- Place of Presentation
  京都大学
- Invited
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] An approximation for utility maximization via an associated FBSDE2012
- Author(s)
  Jun Sekine
- Organizer
  Analysis and Control of Stochastic Partial Differential Equations
- Place of Presentation
  Shanghai, Fudan University
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] On hyperbolic growth of long-term Bayesian optimal power-utility2012
- Author(s)
  Jun Sekine
- Organizer
  Workshop on Stochastic Processes and Their Applications, NCTS, Hsinchu
- Place of Presentation
  Taiwan
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Long-term optimal investment with a generalized drawdown constraint2012
- Author(s)
  Jun Sekine
- Organizer
  Winter workshop on Finance 2012(招待講演)
- Place of Presentation
  北海道大学、札幌
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] On hyperbolic growth of long-term Bayesian optimal power-utility2012
- Author(s)
  Jun Sekine
- Organizer
  Workshop on Stochastic Processes and Their Applications, NCTS, Hsinchu,(招待講演)
- Place of Presentation
  National Tsing-Hua University, Hsinchu, Taiwan
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] An approximation for utility maximization via an associated FBSDE2012
- Author(s)
  Jun Sekine
- Organizer
  Analysis and Control of Stochastic Partial Differential Equations, Shanghai,
- Place of Presentation
  Fudan University, China
- Invited
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Nearly optimal strategies for risk-sensitive portfolio optimization on infinite horizon2012
- Author(s)
  Jun Sekine
- Organizer
  Conference in Honer of Freddy Delbaen
- Place of Presentation
  ETH Zürich
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] From quantile hedging to large deviations controls in the long run2012
- Author(s)
  Jun Sekine
- Organizer
  Seminar in Department of Mathematics of NCU
- Place of Presentation
  Taiwan
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] 非線形富過程を用いた価格付けと期待効用最大化に対するFBSDEアプローチについて2012
- Author(s)
  関根順
- Organizer
  第二回数理ファイナンス合宿型セミナー
- Place of Presentation
  大橋会館
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] From quantile hedging to large deviations controls in the long run2012
- Author(s)
  Jun Sekine
- Organizer
  Seminar in Department of Mathematics of NCU, Taiwan(招待講演)
- Place of Presentation
  National Central University, Taiwan
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Long-term optimal investment with a generalized drawdown constraint2012
- Author(s)
  Jun Sekine
- Organizer
  Winter Workshop on Finance 2012
- Place of Presentation
  Hokkaido University
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Nearly optimal strategies for risk-sensitive portfolio optimization on infinite horizon2012
- Author(s)
  Jun Sekine
- Organizer
  Conference in Honer of Freddy Delbaen
- Place of Presentation
  ETH Zurich, Switzerland
- Invited
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] From quantile hedging to large deviations controls with long horizon2011
- Author(s)
  Jun Sekine
- Organizer
  APS Conference, KTH, Stockholm(招待講演)
- Place of Presentation
  KTH, Stockholm, Sweden
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] 長期金利のロバストな表現について2011
- Author(s)
  関根順
- Organizer
  数理経済学会研究集会「経済の数理解析」
- Place of Presentation
  同志社大学
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Long-term optimal portfolios with state constraints2011
- Author(s)
  Jun Sekine
- Organizer
  SIAM Conference on Control & Its Applications.(招待講演)
- Place of Presentation
  Baltimore, USA
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Risk-sensitive Portfolio Optimization with Small-noise and Large-risk-aversion2011
- Author(s)
  関根順
- Organizer
  5^<th>, Bachelier Colloquium
- Place of Presentation
  Metabief, France
- Year and Date
  2011-01-20
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Long-term Optimal Portfolios with Floor2011
- Author(s)
  関根順
- Organizer
  4^<th> Financial Risks International Forum
- Place of Presentation
  Chambre de commerce et d'institurie de Paris, France
- Year and Date
  2011-03-10
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] From quantile hedging to large deviations controls with long horizon2011
- Author(s)
  Jun Sekine
- Organizer
  APS Conference, KTH
- Place of Presentation
  Stockholm
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] 長期金利のロバストな表現について2011
- Author(s)
  関根順
- Organizer
  経済の数理解析(招待講演)
- Place of Presentation
  同志社大学、京都
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Wishart 自己回帰型ファクターモデルを用いた動的ポートフォリオ最適化2011
- Author(s)
  関根順
- Organizer
  日本応用数理学会2011年度年会
- Place of Presentation
  同志社大学
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Long-term optimal portfolios with state constraints2011
- Author(s)
  Jun Sekine
- Organizer
  SIAM Conference on Control & Its Applications
- Place of Presentation
  Baltimore
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Risk-sensitive Portfolio Optimization with Small-noise and Large Risk-aversion2011
- Author(s)
  Jun Sekine
- Organizer
  5^<th>, Bachelier Colloquium
- Place of Presentation
  Metabief, France(招待講演)
- Year and Date
  2011-01-20
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Long-term optimal portfolios with state constraints2011
- Author(s)
  Jun Sekine
- Organizer
  2nd NTH Workshop on Finance and Insurancwe Mathematics
- Place of Presentation
  Braunschweig
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Long-term optimal portfolios with state constraints2011
- Author(s)
  Jun Sekine
- Organizer
  2nd NTH Workshop on Finance and Insurance Mathematics, Braunschweig,(招待講演)
- Place of Presentation
  Braunschweig, Germany
- Data Source
  KAKENHI-PROJECT-23540133
[Presentation] Long-term Optimal Portfolio with Floor2011
- Author(s)
  Jun Sekine
- Organizer
  4^<th> Financial Risks Interenational Forum
- Place of Presentation
  Chambre de commerce et d'institurie de Paris, France(招待講演)
- Year and Date
  2011-03-10
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] From Quantile Hedging to Large Deviations Controls with Long Horizon2010
- Author(s)
  関根順
- Organizer
  AJOU Conference on Control Theory, Financial Mathematics and Financial Engineering, In honor of Professor Alain Bensoussan
- Place of Presentation
  AJOU University, Suwon, Korea
- Year and Date
  2010-07-10
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Nearly Optimal Strategies for Risk-sensitive Portfolio Optimization on Infinite Horizon2010
- Author(s)
  Jun Sekine
- Organizer
  Stochastic Processes and Their Applications
- Place of Presentation
  大阪千里ライフサイエンスビル(招待講演)
- Year and Date
  2010-09-08
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] ポートフォリオインシュランスと長期間最適化2010
- Author(s)
  関根順
- Organizer
  数理ファイナンスとその周辺、科研費研究集会
- Place of Presentation
  名古屋大学ベンチャー・ビジネス・ラボラトリ
- Year and Date
  2010-01-22
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] From Quantile Hedging to Large Deviations Controls with Long Horizon2010
- Author(s)
  Jun Sekine
- Organizer
  AJOU Conference on Control Theory, Financial Mathematics and Financial Engineering in honor of Professor Alain Bensoussan
- Place of Presentation
  AJOU University, Suwon, Korea(招待講演)
- Year and Date
  2010-07-09
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Risk-sensitive Portfolio Optimization with Small-noise and Large Risk-aversion2010
- Author(s)
  Jun Sekine
- Organizer
  International Research Forum
- Place of Presentation
  Hong Kong Polytechnic University, China(招待講演)
- Year and Date
  2010-12-15
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] From quantile hedging to large deviations controls with long horizon.2010
- Author(s)
  関根順
- Organizer
  International Workshop on Mathematical Finance,"Topics on Leadging-edge of Numerical procedures and models",東京工業大学CRAFT、総務省未来工学研究所主催
- Place of Presentation
  TKP,虎ノ門ビジネスセンター,東京.
- Year and Date
  2010-02-16
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Nearly Optimal Strategies for Risk-sensitive Portfolio Optimization on Infinite Horizon2010
- Author(s)
  関根順
- Organizer
  Stochastic Processes and Their Applications
- Place of Presentation
  大阪千里ライフサイエンスビル
- Year and Date
  2010-09-08
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Risk-sensitive Portfolio Optimization with Small-noise and Large-risk-aversion2010
- Author(s)
  関根順
- Organizer
  International Research Forum
- Place of Presentation
  Polytechnic University, Hong Kong
- Year and Date
  2010-12-17
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Portfolio insurance for long-term optimal investment2010
- Author(s)
  関根順
- Organizer
  広島大学確率論・力学系セミナー
- Place of Presentation
  広島大学
- Year and Date
  2010-02-21
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] ポートフォリオインシュランスと長期間最適化2010
- Author(s)
  関根順
- Organizer
  科研費研究集会「数理ファイナンスとその周辺」
- Place of Presentation
  名古屋大学ベンチャー・ビジネス・ラボラトリー
- Year and Date
  2010-01-18
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] From Quantile Hedging to Large Deviations Controls with Long-horizon"2010
- Author(s)
  関根順
- Organizer
  International Workshop on Mathematical Finance "Topics on Leading-edge Numerical Procedures and Models"
- Place of Presentation
  TKP-新虎ノ門ビジネスセンター,JAPAN
- Year and Date
  2010-02-15
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Dynamic protection of baysian optimal portfolios2009
- Author(s)
  関根順
- Organizer
  第2回金融工学教育国際会議
- Place of Presentation
  一橋大学
- Year and Date
  2009-01-06
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Large Deviations Controls for Long-term Investment, Workshop on Risk Measures and Robust Optimization in Finance, Research Program "Financial Mathematics"2009
- Author(s)
  関根順
- Organizer
  Institute of Mathematical Sciences
- Place of Presentation
  National University of Singapore, Singapore
- Year and Date
  2009-11-19
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Some asymptotic results for probability maximizing/minimizing portfolios2009
- Author(s)
  関根順
- Organizer
  RIMS International Research Project"Mathematical Finance"Congress : Stochastic Analysis for and from Finance
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2009-08-07
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Large deviations controls for long-term investment2009
- Author(s)
  J. Sekine
- Organizer
  Workshop on Risk Measures and Robust Optimization in Finance Nov. 19, 2009 Institute of Mathematical Sciences
- Place of Presentation
  National University of Singapore,Singapore
- Year and Date
  2009-11-19
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Some Asymptotic Results for Probability Maximizing/Minimizing Portfolios2009
- Author(s)
  関根順
- Organizer
  RIMS International Research Project "Mathematical Finance" Congress : Stochastic Analysis for and from Finance
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2009-08-10
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Some basic aspects on dynaimc utility maximization2009
- Author(s)
  関根順
- Organizer
  科研費研究集会「数理ファイナンスとその周辺」
- Place of Presentation
  九州大学西新プラザ
- Year and Date
  2009-02-23
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Some asymptotic results for probabnity maximizing/minimizing portfbhos2009
- Author(s)
  J.Sekine
- Organizer
  Congress : Stochastic Analysis for and from Finance
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2009-08-07
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Mathematical finance and related topics related to economics and engineering2009
- Author(s)
  J.Sekine
- Organizer
  Congress : Stochastic Analysis for and from Finance
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2009-08-07
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Large deviations controls for long-term investment2009
- Author(s)
  関根順
- Organizer
  Workshop on Risk Measures and Robust Optimizations in Finance
- Place of Presentation
  nsitute of MathematicalSciences, National University of Singapore
- Year and Date
  2009-11-18
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Some basic aspects on dynamic portfolio optimization2009
- Author(s)
  関根順
- Organizer
  科研費研究集会「数理ファイナンスとその周辺」
- Place of Presentation
  九州大学中新プラザ
- Year and Date
  2009-01-22
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Large deviations controls for long-term investment2009
- Author(s)
  J.Sekine
- Organizer
  Workshop on Risk Measures and Robust Optimization in Finance
- Place of Presentation
  Institute of Mathematical Sciences, National University of Singapore Singapore
- Year and Date
  2009-11-19
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Dynamic protection for Bayesian optimal portfolios2009
- Author(s)
  Jun Sekine
- Organizer
  第2回金融工学教育国際会議
- Place of Presentation
  一橋大学国立キャンパス
- Year and Date
  2009-01-07
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Some asymptotic results for probability maximizing/minimizing portfolios2009
- Author(s)
  J. Sekine
- Organizer
  Congress: Stochastic Analysis for and from Finance
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2009-08-07
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] On the risk-premium process in an equilibrium2008
- Author(s)
  Jun Sekine
- Organizer
  1-day Workshop on Financial Mathematics
- Place of Presentation
  National Tsing-Hua University, Taiwan
- Year and Date
  2008-04-21
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Exponential indifference pricing and hedging with basis-risk and partial information for conditionally linear2008
- Author(s)
  Jun Sekine
- Organizer
  5-th Colloquium on Backward Stochastic Differential Equations and Their Applications to Finance and Insurance
- Place of Presentation
  Universite du Maine (Le Mans, France)
- Year and Date
  2008-06-19
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Exponential Indifference Pricing and Hedging with Basis Riskand Partial Information for Conditionally Linear Models2008
- Author(s)
  Jun Sekine
- Organizer
  The fifth colloquium on “Backward Stochastic Differential Equations. Finance and Applications"
- Place of Presentation
  Le Mans, France
- Year and Date
  2008-06-19
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Remarks on long-term optimal portfolios with floor2008
- Author(s)
  関根順
- Organizer
  国際ワークショップ: Finance and Related Mathematical and Statistical Issues
- Place of Presentation
  京都リサーチプラザ
- Year and Date
  2008-09-13
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Remaks on long-term optimal portfolios with floor2008
- Author(s)
  Jun Sekine
- Organizer
  Workshop on finance and related mathematical and statistical issues
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2008-09-03
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] 数理ファイナンスの現状に関する若干の展望と床制約を置いた長時間ポートフォリオ最適化に関する考察2008
- Author(s)
  関根順
- Organizer
  日本数学会
- Place of Presentation
  東京工業大学
- Year and Date
  2008-09-24
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] On the risk-premium process in an equilibrium2008
- Author(s)
  関根順
- Organizer
  Workshop on Stochastics and Finance
- Place of Presentation
  National University of Tsing-Hua, Taiwan
- Year and Date
  2008-04-21
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Risk-sensitive portfolio optimization with constraints2008
- Author(s)
  Jun Sekine
- Organizer
  Seminar on Probability, Academia Sinica
- Place of Presentation
  Academia Sinica, Taipei
- Year and Date
  2008-04-14
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] 数理ファイナンスの現状に関する若干の展望と床制約を置いた長時間ポートフォリオ最適化に関する考察2008
- Author(s)
  関根順
- Organizer
  日本数学会特別講演
- Place of Presentation
  日東京工業大学
- Year and Date
  2008-09-24
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Exponential Indifference Pricing and Hedging with Basis Risk and Partial Information for Conditionally Linear Models.2008
- Author(s)
  関根順
- Organizer
  The fifth colloquium on Backward Stochastic Differential Equations ; Finance and Applications
- Place of Presentation
  Le Mans, France
- Year and Date
  2008-06-19
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] 数理ファイナンスの現状に関する若干の展望と床制約を置いた長時間ポートフォリオ最適化に関する考察2008
- Author(s)
  関根順
- Organizer
  日本数学会特別講演
- Place of Presentation
  東京工業大学
- Year and Date
  2008-09-24
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Exponential Indifference Pricing and Hedging with Basis Risk and Partial Information for Conditionally Linear Models2008
- Author(s)
  J. Sekine
- Organizer
  The fifth colloquium on ``Backward Stochastic Differential Equations, Finance and Applications
- Place of Presentation
  Le Mans, France
- Year and Date
  2008-06-19
- Data Source
  KAKENHI-PROJECT-20340019
[Presentation] Risk-sensitive portfolio optimization with constraints2008
- Author(s)
  関根順
- Organizer
  Seminar for Stochastics
- Place of Presentation
  Academia Sinica, Taipei, Taiwan
- Year and Date
  2008-04-14
- Data Source
  KAKENHI-PROJECT-20540115
[Presentation] Wishart自己回帰型ファクターモデルを用いた動的ポートフォリオ最適化
- Author(s)
  関根順
- Organizer
  日本応用数理学会2011年度年会(招待講演)
- Place of Presentation
  同志社大学、京都
- Data Source
  KAKENHI-PROJECT-23540133

1. NAGAI Hideo (70110848)

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Sekine Jun 関根 順

関根 順 セキネ ジユン

SEKINE Jun 関根 順

Research Projects

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Co-Researchers

Progress of Recursive Utility Maximization Theory and Its ApplicationsPrincipal Investigator

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Study on Applications of Backward Stochastic Differential EquationsPrincipal Investigator

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Study on Dynamic Portfolio Insurance and Related TopicsPrincipal Investigator

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Study on Large Deviations ControlPrincipal Investigator

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Study of long-term risk-sensitive portfolio optimization in non-standard settingsPrincipal Investigator

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数理ファイナンス、及び関連した確率論・数値解析学の研究Principal Investigator

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Sekine Jun 関根順

関根順セキネジユン

SEKINE Jun 関根順

[Book] 朝倉数学ハンドブック [応用編] (第III編：数理ファイナンス)2011

[Book] 朝倉数学ハンドブック [応用編] (第III編 : 数理ファイナンス)2011