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

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

Nakatsu Tomonori 中津 智則

NAKATSU Tomonori 中津 智則

Research Projects

Research Products

Co-Researchers

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

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Analysis of density functions and sensitivities concerning stochastic differential equationsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Non-smooth stochastic differential equations: Applications to numerical simulations

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

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

Author(s)

Journal Title

DOI

Data Source

[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)

Journal Title

Data Source

[Journal Article] Some Properties of Density Functions on Maxima of Solutions to One-Dimensional Stochastic Differential Equations2019

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Volatility risk structure for options depending on extrema2017

Author(s)

Journal Title

DOI

Data Source

[Journal Article] An Integration by Parts Type Formula for Stopping Times and its Application2017

Author(s)

Journal Title

DOI

Data Source

[Presentation] Computation of the Greeks of barrier options2023

Author(s)

Organizer

Data Source

[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)

Organizer

Data Source

[Presentation] 確率解析の数理ファイナン スへの応用2022

Author(s)

Organizer

Data Source

[Presentation] Bounds for density function of solutions to stochastic functional differential equations2022

Author(s)

Organizer

Data Source

[Presentation] Stochastic Functional Differential Equation の解の確率密度関数について2022

Author(s)

Organizer

Data Source

[Presentation] Computation of the Greeks for complicated options2021

Author(s)

Organizer

Data Source

[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)

Organizer

Data Source

[Presentation] Stochastic delay equationに対する伊藤Taylor展開2020

Author(s)

Organizer

Data Source

[Presentation] Greeks of complicated financial products and related probability density functions2019

Nakatsu Tomonori 中津智則

NAKATSU Tomonori 中津智則

[Presentation] 確率解析の数理ファイナンスへの応用2022