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Nakatsu Tomonori  中津 智則

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NAKATSU Tomonori  中津 智則

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Researcher Number 50732898
Other IDs
Affiliation (Current) 2025: 芝浦工業大学, システム理工学部, 准教授
Affiliation (based on the past Project Information) *help 2019 – 2023: 芝浦工業大学, システム理工学部, 准教授
2017 – 2018: 芝浦工業大学, システム理工学部, 助教
2014: 立命館大学, 理工学部, 助教
Review Section/Research Field
Principal Investigator
Basic Section 12010:Basic analysis-related / Basic analysis
Except Principal Investigator
General mathematics (including Probability theory/Statistical mathematics)
Keywords
Principal Investigator
グリークス / リスク計算 / 確率密度関数 / 離散・連続時間最大値 / 確率微分方程式 / リスク指標 / バリアオプション / ガウス型評価 / 経路依存型係数 / 確率論 / モンテカルロシミュレーション … More
Except Principal Investigator
… More 近似 / BSDE / 密度関数 / Multi-levelモンテカルロ方法 / 確率変数 / Malliavin解析 / ジャンプ型モデル / 確率微分方程式 / 無限次元解析 / 数値解析 / シミュレーション / 確率過程 Less
  • Research Projects

    (3 results)
  • Research Products

    (26 results)
  • Co-Researchers

    (8 People)
  •  複雑な構造を持つウィーナー汎関数の解析Principal Investigator

    • Principal Investigator
      中津 智則
    • Project Period (FY)
      2019 – 2024
    • Research Category
      Grant-in-Aid for Early-Career Scientists
    • Review Section
      Basic Section 12010:Basic analysis-related
    • Research Institution
      Shibaura Institute of Technology
  •  Analysis of density functions and sensitivities concerning stochastic differential equationsPrincipal Investigator

    • Principal Investigator
      Nakatsu Tomonori
    • Project Period (FY)
      2017 – 2018
    • Research Category
      Grant-in-Aid for Young Scientists (B)
    • Research Field
      Basic analysis
    • Research Institution
      Shibaura Institute of Technology
  •  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

All 2023 2022 2021 2020 2019 2018 2017

All Journal Article Presentation

  • [Journal Article] On density functions related to discrete time maximum of some one-dimensional diffusion processes2023

    • Author(s)
      Tomonori Nakatsu
    • Journal Title

      Applied Mathematics and Computation

      Volume: 441 Pages: 127672-127672

    • DOI

      10.1016/j.amc.2022.127672

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19K14560
  • [Journal Article] 書評:Bruno Bouchard and Jean-Francois Chassagneux: Fundamentals and Advanced Techniques in Derivatives Hedging, Universitext, Springer, 2016年, 292ページ2022

    • Author(s)
      中津智則
    • Journal Title

      数学

      Volume: 74 Pages: 96-101

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19K14560
  • [Journal Article] Some Properties of Density Functions on Maxima of Solutions to One-Dimensional Stochastic Differential Equations2019

    • Author(s)
      Tomonori Nakatsu
    • Journal Title

      Journal of Theoretical Probability

      Volume: 印刷中 Issue: 4 Pages: 1746-1779

    • DOI

      10.1007/s10959-019-00885-1

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17K14209, KAKENHI-PROJECT-19K14560
  • [Journal Article] Volatility risk structure for options depending on extrema2017

    • Author(s)
      Tomonori Nakatsu
    • Journal Title

      Journal of Computational Finance

      Volume: 21(3) Issue: 3 Pages: 105-122

    • DOI

      10.21314/jcf.2017.334

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Journal Article] An Integration by Parts Type Formula for Stopping Times and its Application2017

    • Author(s)
      Tomonori Nakatsu
    • Journal Title

      Methodology and Computing in Applied Probability

      Volume: 19(3) Issue: 3 Pages: 751-773

    • DOI

      10.1007/s11009-016-9512-9

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] Computation of the Greeks of barrier options2023

    • Author(s)
      中津智則
    • Organizer
      The 67th Annual Meeting of the Australian Mathematical Society
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K14560
  • [Presentation] 局所ボラティリティモデルにおけるバリアオプションのデルタの計算2023

    • Author(s)
      中津智則
    • Organizer
      日本応用数理学会第19回研究部会連合発表会
    • Data Source
      KAKENHI-PROJECT-19K14560
  • [Presentation] 確率解析の数理ファイナン スへの応用2022

    • Author(s)
      中津智則
    • Organizer
      琉球大学談話会
    • Invited
    • Data Source
      KAKENHI-PROJECT-19K14560
  • [Presentation] Bounds for density function of solutions to stochastic functional differential equations2022

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      確率解析シンポジウム
    • Data Source
      KAKENHI-PROJECT-19K14560
  • [Presentation] Stochastic Functional Differential Equation の解の確率密度関数について2022

    • Author(s)
      中津智則
    • Organizer
      日本応用数理学会2022年度年会
    • Data Source
      KAKENHI-PROJECT-19K14560
  • [Presentation] Computation of the Greeks for complicated options2021

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      4th KAFE-JAFEE International Symposium on Financial Engineering
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K14560
  • [Presentation] Stochastic delay equationの解の確率密度関数の下からの評価について2021

    • Author(s)
      中津智則
    • Organizer
      日本応用数理学会2021年度年会
    • Data Source
      KAKENHI-PROJECT-19K14560
  • [Presentation] Stochastic delay equationに対する伊藤Taylor展開2020

    • Author(s)
      中津智則
    • Organizer
      日本応用数理学会2020年度年会
    • Data Source
      KAKENHI-PROJECT-19K14560
  • [Presentation] Greeks of complicated financial products and related probability density functions2019

    • Author(s)
      中津智則
    • Organizer
      第七回数理ファイナンス合宿型セミナー
    • Invited
    • Data Source
      KAKENHI-PROJECT-19K14560
  • [Presentation] Integration by parts formulas for maxima of diffusion processes and applications2019

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      Okayama Workshop on Stochastic Analysis 2019
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] Integration by parts formula and probability density function2019

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      The 3rd UOG-SIT Workshop in Pure/Applied Mathematics and Computer Science
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations2018

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      計量経済学ワークショップセミナー
    • Invited
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] Some Properties of Density Functions on Maxima of One-Dimensional Diffusion Processes2018

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      The 12th AIMS Conference on Dynamical Systems, Differential Equations and Applications
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] Integration by parts formulas for maxima of diffusion processes and applications2018

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      金融工学・数理計量ファイナンスの諸問題 2018
    • Invited
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] Properties of density functions on maxima of one-dimensional diffusion processes2018

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      Workshop on Local Limits for Galton-Watson Trees
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] 最大値に依存する金融商品のリスク計算について2018

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      日本応用数理学会2018年度年会
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] Stochastic analysis in finance and related topics2018

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      The 2nd SIT-UOG workshop on pure/applied mathematics and computer science
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] Some properties of density functions on maxima of one-dimensional diffusion processes2017

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      応用確率論 in 静岡
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] Some properties of density functions on maxima of one-dimensional diffusion processes2017

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      日本応用数理学会2017年度年会
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations2017

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      2017年度確率論シンポジウム
    • Data Source
      KAKENHI-PROJECT-17K14209
  • [Presentation] Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations2017

    • Author(s)
      Tomonori Nakatsu
    • Organizer
      International Conference on Financial Risks and Uncertainties 2017
    • Data Source
      KAKENHI-PROJECT-17K14209
  • 1.  KOHATSU HIGA Arturo (80420412)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 2.  AKAHORI Jiro (50309100)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 3.  NINOMIYA Syoichi (70313377)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 4.  KUSUOKA Shigeo (00114463)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 5.  TAKEUCHI Atsushi (30336755)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 6.  HAYASHI Masafumi (90532549)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 7.  YASUDA Kazuhiro (80509638)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 8.  TANAKA Hideyuki (20732895)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results

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