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NAGAYAMA Izumi  長山 いづみ

ORCIDConnect your ORCID iD *help
Researcher Number 50334595
Affiliation (based on the past Project Information) *help 2006: Hitotsubashi University, Graduate School of International Corporate Strategy, Associate Professor, 大学院国際企業戦略研究科, 助教授
2005: 一橋大学, 大学院・国際企業戦略研究科, 助教授
2001 – 2002: 一橋大学, 大学院・国際企業戦略研究科, 助教授
Review Section/Research Field
Except Principal Investigator
Statistical science / Public finance/Monetary economics
Keywords
Except Principal Investigator
Forward backward stochastic differential equation / Black-Scholes Model / Vega Hedge / Stochastic Differential Utility / Corridor Options / Rank Statistics / Portfolio / 動的ポートフォリオ問題 / 後向き確率微分方程式 / 確率微分効用理論 … More / 確率的ポートフォリオ / 前向き後向き確率微分方 / 順位統計量 / ベガヘッジ / Black-Sholesモデル / 前向き後向き確率微分方程式 / 確率微分効用 / コリドーオプション / 順位統計表 / ポートフォリオ / Asymmetric Information / Risk Management / Incomplete Markets / Jump Process / Edokko Options / Insurance / Electricity / Weather Derivatives / 最適化 / jump-diffusion process / α-percentile barrier option / MBS / ジャンプ / リアルオプション / Good deal bounds / Edokko option / 情報の非対称性 / リスク管理 / 非完備市場 / ジャンプ過程 / Eddoko Option / 保険 / 電力 / 天候デリバティブ Less
  • Research Projects

    (2 results)
  • Research Products

    (2 results)
  • Co-Researchers

    (5 People)
  •  Theoretical Research on the problem of dynamic portfolio selection based on new approaches and Its Application

    • Principal Investigator
      MIURA Ryozo
    • Project Period (FY)
      2005 – 2006
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Statistical science
    • Research Institution
      Hitotsubashi University, Graduate School of International Corporate Strategy
  •  Managing new type of risks - Electricity, weather, and insurance risks and their derivatives-

    • Principal Investigator
      MIURA Ryozo
    • Project Period (FY)
      2001 – 2002
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Public finance/Monetary economics
    • Research Institution
      Hitotsubashi University

All 2006 2005

All Journal Article Book

  • [Book] リスクとデリバティブの統計入門2005

    • Author(s)
      S.E シュリーヴ〔著〕, 長山 いづみ 他〔訳〕
    • Total Pages
      222
    • Publisher
      シュプリンガー・フェアラーク東京株式会社
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-17300087
  • [Journal Article] Stochastic Calculus for Finance I The Binomial Asset Pricing Model2006

    • Author(s)
      Steven E.Shreve(Author), Izumi Nagayama (First Translator)
    • Journal Title

      Springer-Verlag 31

      Pages: 197-197

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-17300087
  • 1.  MIURA Ryozo (30107081)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 2.  NAKAMURA Nobuhiro (90323899)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 3.  HONDA Toshiki (70303063)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 4.  OHASHI Kazuhiko (50261780)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 5.  KAMIMURA Shoji (50323902)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results

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