AIHARA Shin'ichi 相原伸一

… Alternative Names

AIHARA S 相原伸一

相原伸一アイハラシンイチ

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Researcher Number	70202455
Other IDs
External Links
Affiliation (based on the past Project Information) *help	2010 – 2012: 諏訪東京理科大学, システム工学部, 教授 2002 – 2007: 諏訪東京理科大学, システム工学部, 教授 2001: Science University of Tokyo, Suwa College, Professor, 諏訪短期大学, 教授 2000 – 2001: 東京理科大学諏訪短期大学, その他部局, 教授 1999: 東京理科大学諏訪短期大学, 生産管理工学科, 教授 1994: 東京理科大学諏訪短期大学, 生産管理工学科, 教授 1993: 東京理科大学諏訪短期大学部, 生産管理工学科, 教授
Review Section/Research Field	Principal Investigator Control engineering / Control engineering / 計測・制御工学
Keywords	Principal Investigator ブラウン運動 / 座靴現象 / 境界雑音 / 確率的安定性 / 確率的偏微分方程式 / マイクロトンネルマシン / 確率的制御 / Particle filter / Maximum likelihood / Parabolic type stochastic DPE … More / forward rate process / US-treasury bond / リスク中立測度 / 放物型確率微分方程式 / 粒子フィルター / 最尤法 / 放物型確率偏微分方程式 / フォーワードレート / 米国国債 / Infinite-dimensional Brownian motion Process / Dynamic Programming / Optimal control / Parabolic PDE / Stochastic modeling / Long rate / Short rate / Bond / システム固定 / 無限次元ブラウン運動 / ダイナミックプログラミング / 最適制御問題 / 放物型偏微分方程式 / 確率モデル / 長期金利 / 短期金利 / 債券 / Stochastic Stability / Micro-tunneling machine / Stochastic Control / System identification / 自由境界 / 解の分岐 / 安定性 / 確率的双曲型方程式 / マイクロトンネル機械 / システム同定 / 電力債権 / モデル化 / オプション価格 / 電力デリバティブ / 電力債券 / 制御工学 / システム工学 / 最適レギュレーター問題 / 確率的分布定数システム / 適応制御 / 最尤推定 / 双曲型分布定数システム Less

Research Projects
(5 results)
Research Products
(69 results)

Studies on mathematical model for power derivativesPrincipal Investigator
- Principal Investigator
  
  AIHARA Shin'ichi
- Project Period (FY)
  2010 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Control engineering
- Research Institution
  Tokyo University of Science, Suwa
Studies on Paramaeter Indentification of Factor mode for BondsPrincipal Investigator
- Principal Investigator
  
  AIHARA Shinichi
- Project Period (FY)
  2005 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Control engineering
- Research Institution
  Tokyo University of Science, Suwa
Development of the algorithm for stochastic modeling and option pricing of risky bondPrincipal Investigator
- Principal Investigator
  
  AIHARA Shinichi
- Project Period (FY)
  2002 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Control engineering
- Research Institution
  Tokyo University of Science, Suwa
On stochastic identification and control for micro-tunneling machinePrincipal Investigator
- Principal Investigator
  
  AIHARA S
- Project Period (FY)
  1999 – 2001
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Control engineering
- Research Institution
  Science University of Tokyo, Suwa College
双曲型確率的分布定数システムのパラメータ同定と制御Principal Investigator
- Principal Investigator
  
  相原伸一
- Project Period (FY)
  1993 – 1994
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  計測・制御工学
- Research Institution
  Science University of Tokyo、Suwa College

All 2012 2011 2010 2008 2007 2006 2005 2004 2003 2002 Other

All Journal Article Presentation

[Journal Article] Adaptive Filtering for Stochastic Risk Premia in Bond Market2012
- Author(s)
  相原伸一
- Journal Title
  
  Int.J.of Innovative Computing, Information and Control
  
  Volume: 8 Pages: 2203-2214
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22560455
[Journal Article] Adaptive Filtering for Stochastic Risk Premia in Bond Market2012
- Author(s)
  ShinIchi Aihara , Arunabha Bagchi
- Journal Title
  
  Int. J. Innovative Computing Information and Control
  
  Volume: vol.8 Pages: 2203-2214
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22560455
[Journal Article] Identification of electricity Spot Models by Using Convolution Particle Filter2011
- Author(s)
  相原伸一
- Journal Title
  
  Int.J.of Innovative Computing, Information and Control
  
  Volume: 6 Pages: 61-72
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22560455
[Journal Article] Identification of electricity spot models by using convolution particle filter2011
- Author(s)
  ShinIchi Aihara , Arunabha Bagchi,Emad Imereizeeq
- Journal Title
  
  Int J. Innovtive Computing, Informationand Control
  
  Volume: vol.6 Pages: 61-72
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22560455
[Journal Article] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter -Application to US-Treasury Bonds-2008
- Author(s)
  相原伸一
- Journal Title
  
  International Journal of Innovative Computing, In formation & Control 4
  
  Pages: 35-51
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter-Application to US -Treasury Bonds-2008
- Author(s)
  S. AIHARA
- Journal Title
  
  Int. J. of Innovation, Computing, Information & Control vol.4
  
  Pages: 35-51
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter-Application to US-Treasury Bonds-2008
- Author(s)
  相原伸一
- Journal Title
  
  International Journal of Innovative Computing, Information & Control 4
  
  Pages: 35-51
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter2007
- Author(s)
  相原伸一
- Journal Title
  
  Proc.of 38th ISCIE Int.Symp.on Stochastic Systems Theory and Its Applications
  
  Pages: 40-45
- NAID
  130007377235
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter2007
- Author(s)
  相原伸一
- Journal Title
  
  Proc. of 38th ISCIE Int. Symp. on Stochastic Systems Theory and Its Applications
  
  Pages: 40-45
- NAID
  130007377235
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Recursive Parameter Identification for Infinite-Dimensional Stochastic dimensional Factor Model by using Particle Filter2007
- Author(s)
  S. AIHARA
- Journal Title
  
  Proc. of 38th ISICE Tnt. Symp. on Stochastic Systems Theory and Its Applications
  
  Pages: 40-45
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Parameter estimation of Parabolic type factor model and empirical study of US treasury bonds2006
- Author(s)
  相原伸一
- Journal Title
  
  System Modeling and Optimization
  
  Pages: 207-217
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and identification of Heston's stochastic volatility and its market risk2006
- Author(s)
  相原伸一
- Journal Title
  
  J.Economical Dynamics and Control 30
  
  Pages: 2363-2380
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Parameter Estimation of Parabolic Type Factor Model and Empirical Study of US Treasury Bonds2006
- Author(s)
  S. AIHARA
- Journal Title
  
  System Modeling and Optimization
  
  Pages: 207-217
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and identification of Heston's stochastic volatility and its market risk2006
- Author(s)
  相原伸一
- Journal Title
  
  J. Economical dynamics and Control 30
  
  Pages: 2363-2380
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] On Sate and Parameter Estimatins for Stochastic Volatility from Stock Data by using Particle Filter2006
- Author(s)
  相原伸一
- Journal Title
  
  Proc.of JAFEE Winter meeting
  
  Pages: 12-24
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and Identification of Stochastic Volatility for Parabolic Type Factor Models2006
- Author(s)
  S. AIHARA
- Journal Title
  
  Int. J. Innovation, Computing Information & Control vol.2
  
  Pages: 917-925
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and Identification of Parabolic Type Factor Model with Stochastic Volatlity2006
- Author(s)
  相原伸一
- Journal Title
  
  Proc. of the 37th International Symposium on Stochastic Systems Theory and Its Applications
  
  Pages: 202-207
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and identification of stochastic volatility for Parabolic type factor modles2006
- Author(s)
  相原伸一
- Journal Title
  
  International Journal of Innovative Computing, Information and Control 2
  
  Pages: 917-925
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and identification of Heston's stochastic volatility and its market risk2006
- Author(s)
  S. AIHARA
- Journal Title
  
  J. Economical Dynamics and Control vol.30
  
  Pages: 2363-2380
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and Identification of Parabolic Type Factor Model with Stochastic Volatility2005
- Author(s)
  S. AIHARA
- Journal Title
  
  Proc. of 37th International Symp. on Stochastic Systems Theory and Its Applications
  
  Pages: 202-207
- NAID
  130007377098
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and Identification of Stochastic Volatility for Infinite-dimensional Factor model2005
- Author(s)
  S. AIHARA
- Journal Title
  
  Proc. of JAFEE Winter meeting
  
  Pages: 202-235
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Stochastic Hyperbolic Dynamics for Infinite-Dimensional Forward Rates and Option Pricing2005
- Author(s)
  相原伸一
- Journal Title
  
  Mathematical Finance 15/1
  
  Pages: 27-47
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Filtering and Identification of Interest Rate Model with Stochastic Volatility2005
- Author(s)
  相原伸一
- Journal Title
  
  Proc.of 44th IEEE CDC and ECC'05
  
  Pages: 5227-5232
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and Identification of Interest Rate Model with Stochastic Volatility2005
- Author(s)
  S. AIHARA
- Journal Title
  
  Proc. of 44th CDC and ECC' 05
  
  Pages: 5227-5232
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and Identification of Stochastic Volatility for Infinite-dimensional Factor model2005
- Author(s)
  相原伸一
- Journal Title
  
  Proc. of JAFEE Winter meeting
  
  Pages: 202-235
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and Identification of Interest Rate Model with Stochastic Volatility2005
- Author(s)
  相原伸一
- Journal Title
  
  Proc. of 44th IEEE CDC and ECC'05
  
  Pages: 5227-5232
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Filtering and Identification of Parabolic Type Factor Model with Stochastic Volatlity2005
- Author(s)
  相原伸一
- Journal Title
  
  Proc.of the 37th International Symposium on Stochastic Systems Theory and Its Applications
  
  Pages: 202-207
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Stochastic Hyperbolic Dynamics for Infinite-Dimensional Forward Rates and Option Pricing2005
- Author(s)
  S.AIHARA, A.BAGCHI
- Journal Title
  
  Mathematical Finance Vol.15/1
  
  Pages: 27-47
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Filtering and Identification of Stochastic Volatility for Infinite-dimensional Factor model2005
- Author(s)
  相原伸一
- Journal Title
  
  Proc.of JAFEE Winter meeting
  
  Pages: 202-235
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17560402
[Journal Article] Optimal Portfolio for Parabolic Type Infinite-Dimensional Factor Model with Power Utility2004
- Author(s)
  S.AIHARA, A.BAGCHI
- Journal Title
  
  Proc.of 35th Int.Symp.on Stochastic Theory and Its Applications
  
  Pages: 65-70
- NAID
  130007377141
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Optimal Portfolio for Parabolic Type Infinite-Dimensional Factor Model with Power Utility2004
- Author(s)
  相原伸一
- Journal Title
  
  Proc.of 35th Int.Symp.on Stochastic Theory and Its Applications
  
  Pages: 65-70
- NAID
  130007377141
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Filtering and Hedging for Heston's Stochastic Volatility Model2004
- Author(s)
  相原伸一
- Journal Title
  
  Proceedings of 4^<th> Int.Symp.on Human and Artificial Inteligence Systems
  
  Pages: 47-52
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Identification of Parabolic Type Factor Model (Empirical Study of US Treasury Bonds)2004
- Author(s)
  相原伸一
- Journal Title
  
  Proceedings of JAFEE 2004 Winter meeting
  
  Pages: 27-47
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Identification of Parabolic Type Factor Model (Empirical Study of US Treasury Bonds2004
- Author(s)
  相原伸一
- Journal Title
  
  Proceedings of JAFEE 2004 Winter meeting
  
  Pages: 364-384
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Filtering and Hedging for Heston's Stochastic Volatility Model2004
- Author(s)
  S.AIHARA, A.BAGCHI
- Journal Title
  
  Proceedings of 4th Int.Symp.on Human and Artificial Intelligence Systems
  
  Pages: 47-52
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Optimal Portfolio for Parabolic Type Infinite-Dimensional Factor Model with Power Utility2004
- Author(s)
  相原伸一
- Journal Title
  
  Proceedings of 35^<th> Int.Symp.on Stochastic Theory and Its Applications
  
  Pages: 65-70
- NAID
  130007377141
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Identification of Parabolic Type Factor Model (Empirical Study of US Treasury Bonds)2004
- Author(s)
  S.AIHARA, A.BAGCHI
- Journal Title
  
  Proceedings of JAFEE 2004 Winter meeting
  
  Pages: 27-47
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Filtering and Hedging for Heston's Stochastic Volatility Model2004
- Author(s)
  相原伸一
- Journal Title
  
  Proceedings of 4th Int.Symp.on Human and Artificial Intelligence Systems
  
  Pages: 47-52
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Filtering of Stochastic Volatility and Identification of Market Price of Volatility Risk2003
- Author(s)
  S.AIHARA, A.BAGCHI
- Journal Title
  
  Proc.of 34th Int.Symp.on Stochastic Theory and Its Applications
  
  Pages: 108-113
- NAID
  130007376990
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Filtering of Stochastic Volatility2003
- Author(s)
  相原伸一
- Journal Title
  
  Proc.of 13th IFAC Symposium on System Identification
  
  Pages: 1719-1724
- NAID
  10006645591
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Filtering of Stochastic Volatility2003
- Author(s)
  S.AIHARA, A.BAGCHI
- Journal Title
  
  Proc.of 13th IFAC Symposium on System Identification
  
  Pages: 1719-1724
- NAID
  10006645591
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Journal Article] Stochastic Parabolic Model for Infinite-dimensional Forward Rate and Mean-variance Optimal Control2002
- Author(s)
  相原伸一
- Journal Title
  
  Proc.of 2002 IFAC 15th Triennial World Congress
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14550456
[Presentation] Identification of BatesStochastic Volatility Model by UisngN o n - C e n t r a l C h i - s q u a r e R a n d o mGeneration Method2012
- Author(s)
  ShinIchi Aihara, Arunabha Bagchi
- Organizer
  IEEE ICASSP 2012
- Place of Presentation
  Kyoto(Japan)
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] Identification of Bates Stochastic Volatility Model by using Non-Central Chi-square Random generation Method2012
- Author(s)
  相原伸一
- Organizer
  IEEE ICASSP 2012
- Place of Presentation
  Kyoto(京都国際会議場)
- Year and Date
  2012-03-30
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] EstimatingVolatilityand Model parametersofStochasticVolatilityModelstth withJumpsusingParticleFilter2012
- Author(s)
  ShinIchi Aihara, Arunabha Bagchi
- Organizer
  Bachelier Finance Society7 World Congress
- Place of Presentation
  Sydney(Australia
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] IdentificationProblemfor Stochastic Distributed Parameter systemswith Unknown BoundaryConditions2012
- Author(s)
  ShinIchi Aihara, Arunabha Bagchi
- Organizer
  44ISICESSS
- Place of Presentation
  Tokyo(Japan)
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] FilteringandIdentificationofStochasticDistributedParametersystemswithUnknownBoundaryConditions2012
- Author(s)
  ShinIchi Aihara, Arunabha Bagchi
- Organizer
  51IEEECDC
- Place of Presentation
  Hawaii(USA)
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] Identification Problem forHeston Stochastic Volatility Model byUsing Non-central Chi-square randomGeneration Method2011
- Author(s)
  ShinIchi Aihara,Arunabha Bagchi,Saikat Saha
- Organizer
  43ISCIE SSS
- Place of Presentation
  Shiga (Japan)rd
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] Identification of Stochastic Systems-From engineering to Finance-2011
- Author(s)
  ShinIchiAihara,ArunabhaBagchi
- Organizer
  Conference on Stochastic Model and their Applications
- Place of Presentation
  Debrecen(Hungary)
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] Mean-Variance Hedging of BondO p t i o n s w i t h S t o c h a s t i c P r e mi a2010
- Author(s)
  ShinIchi Aihara,Arunabha Bagchi
- Organizer
  Quantitative Method in Fiance 2010
- Place of Presentation
  Sydney(Australia)
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] Adaptive Mean-variance Hedgingof Bond Options with Stochastic RiskTerm2010
- Author(s)
  ShinIchi Aihara,Arunabha Bagchi
- Organizer
  42ISICE SSS
- Place of Presentation
  Okayama(Japan)
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] Mean-Variance Hedging of Bond Options with Stochastic Risk Premia2010
- Author(s)
  相原伸一
- Organizer
  Quantitative Methods in Finance
- Place of Presentation
  Hilton Hotel(シドニー)
- Year and Date
  2010-12-15
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] On Parameter Estimation for Stochastic Volatility Models with Jumps by using Particle Filter2007
- Author(s)
  相原伸一
- Organizer
  The 39th ISCIE International Symposium
- Place of Presentation
  佐賀大学
- Year and Date
  2007-11-08
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Adaptive Parameter Estimation for Infinite-dimensional Factor Model by using Particle Filter2007
- Author(s)
  相原伸一
- Organizer
  23rd IFIP TC7 Conference on System Modeling and Optimization
- Place of Presentation
  AGH University of Science and Technology, Poland
- Year and Date
  2007-07-26
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] On State and Parameter Estimations for Stochastic Volatility from Stock Data by using Particle Filter2007
- Author(s)
  相原伸一
- Organizer
  JAFEE(日本金融・証券計量・工学学会)
- Place of Presentation
  法政大学
- Year and Date
  2007-01-23
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter2007
- Author(s)
  S. AIHARA
- Organizer
  Int. Symp. SSS' 07
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Adaptive Parameter Estimation for Infinite-dimensional Factor Model by using particle Filter2007
- Author(s)
  相原伸一
- Organizer
  23rd IFIP TC7 Conference on System Modeling and Optimization
- Place of Presentation
  AGH University of Science and Technology,Poland
- Year and Date
  2007-07-26
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] On State and Parameter Estimations for Stochastic Volatility from Stock Data by using Particle Filter2007
- Author(s)
  S. AIHARA
- Organizer
  JAFEE Winter meeting
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Adaptive Parameter Estimation for Infinite-dimensional System Factor Model by using particle Filter2007
- Author(s)
  S. AIHARA
- Organizer
  23rd IFIP TC7 Conference on Modeling and Optimization
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Adaptive parameter Identification for Infinite-dimensional Factor Model by using Particle Filter2006
- Author(s)
  相原伸一
- Organizer
  World Congress 06(Bachelier Finance Society)
- Place of Presentation
  一ツ橋大学
- Year and Date
  2006-08-20
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter2006
- Author(s)
  相原伸一
- Organizer
  The 38th ISCIE International Symposium
- Place of Presentation
  Suwa
- Year and Date
  2006-11-09
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Adaptive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter2006
- Author(s)
  S.AIHARA
- Organizer
  BFS world congress 06
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Filtering and Identification of Interest Rate Model with Stochastic Volatility2005
- Author(s)
  S. AIHARA
- Organizer
  Int. Symp. SSS' 05
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Filtering and Identification of Parabolic Type Factor Model with Stochastic Volatility2005
- Author(s)
  相原伸一
- Organizer
  The 37th ISCIE International Symposium
- Place of Presentation
  追手門大学
- Year and Date
  2005-10-28
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Parameter Estimation of Parabolic Type Factor Model and Emprical Studies of US-Treasury Bonds2005
- Author(s)
  相原伸一
- Organizer
  22nd IFIP TC7 Conference on System Modeling and Optimization
- Place of Presentation
  Turin,Italy
- Year and Date
  2005-07-21
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Filtering and Identification of Interest Rate Model with Stochastic Volatility2005
- Author(s)
  相原伸一
- Organizer
  44th IEEE CDC and ECC'05
- Place of Presentation
  Barcelona,Spain
- Year and Date
  2005-12-14
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17560402
[Presentation] Identification Problem for Stochastic Distributed Parameter Systems with Unknown Boundary Conditions
- Author(s)
  Shin Ichi Aihara
- Organizer
  The 44th ISICE Int. Symp. on Stochastic Systems Theory and Its Applications
- Place of Presentation
  Tokyo (Japan)
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] Filtering and Identification of Stochastic Distributed Parameter Systems with Unknown Boundary Conditions
- Author(s)
  Shin Ichi Aihara
- Organizer
  The 51st IEEE Conference on Decision and Control
- Place of Presentation
  Mauii (USA)
- Data Source
  KAKENHI-PROJECT-22560455
[Presentation] Estimating Volatility and Model Parameters of Stochastic Volatility Model with Jumps Using Particle Filter
- Author(s)
  Shin Ichi Aihara
- Organizer
  Bachelier Finance Society 7th World Congress
- Place of Presentation
  Sydney (Australia)
- Data Source
  KAKENHI-PROJECT-22560455

AIHARA Shin'ichi 相原 伸一

AIHARA S 相原 伸一

相原 伸一 アイハラ シンイチ

Research Projects

Research Products

Studies on mathematical model for power derivativesPrincipal Investigator

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Studies on Paramaeter Indentification of Factor mode for BondsPrincipal Investigator

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Development of the algorithm for stochastic modeling and option pricing of risky bondPrincipal Investigator

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On stochastic identification and control for micro-tunneling machinePrincipal Investigator

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双曲型確率的分布定数システムのパラメータ同定と制御Principal Investigator

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[Journal Article] Adaptive Filtering for Stochastic Risk Premia in Bond Market2012

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[Journal Article] Adaptive Filtering for Stochastic Risk Premia in Bond Market2012

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[Journal Article] Identification of electricity Spot Models by Using Convolution Particle Filter2011

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[Journal Article] Identification of electricity spot models by using convolution particle filter2011

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[Journal Article] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter -Application to US-Treasury Bonds-2008

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[Journal Article] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter-Application to US -Treasury Bonds-2008

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Data Source

[Journal Article] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter-Application to US-Treasury Bonds-2008

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[Journal Article] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter2007

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NAID

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[Journal Article] Recursive Parameter Identification for Infinite-dimensional Factor Model by using Particle Filter2007

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[Journal Article] Recursive Parameter Identification for Infinite-Dimensional Stochastic dimensional Factor Model by using Particle Filter2007

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AIHARA Shin'ichi 相原伸一

AIHARA S 相原伸一

相原伸一アイハラシンイチ