Ninomiya Syoiti 二宮祥一

… Alternative Names

Researcher Number	70313377
Other IDs
External Links
Affiliation (Current)	2021: 東京工業大学, 理学院, 教授
Affiliation (based on the past Project Information) *help	2021: 東京工業大学, 理学院, 教授 2018 – 2019: 東京工業大学, 理学院, 教授 2011 – 2014: 東京工業大学, 大学院イノベーションマネジメント研究科, 教授 2012 – 2013: 東京工業大学, イノベーションマネジメント研究科, 教授 2007 – 2011: Tokyo Institute of Technology, Graduate School of Innovation Management, Professor … More
Review Section/Research Field	Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / Engineering fundamentals / Medium-sized Section 12:Analysis, applied mathematics, and related fields / Basic Section 12040:Applied mathematics and statistics-related Except Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / Social systems engineering/Safety system / Basic analysis / 社会システム工学
Keywords	Principal Investigator 数理ファイナンス / 確率微分方程式 / シミュレーション / 金融派生商品 / 確率微分方程式の数値解法 / 確率論 / 数理工学 / アルゴリズム / 高頻度取引 / 拡散過程 … More Except Principal Investigator 数値解析 / 確率微分方程式 / 確率論 / Malliavin解析 / シミュレーション / 数理ファイナンス / ファイナンス / 最適化 / ジャンプ型モデル / 確率変数 / 信用リスク / モンテカルロ法 / インサイダー取引モデル / market timer現象 / 制御論 / 取引費用 / OR / 情報ネットワーク / 確率解析 / 場の量子論 / ラフパス解析 / ループ空間 / 準古典極限 / 最適輸送写像 / 確率測度の幾何学 / 処罰問題 / ループ群 / アレクサンドロ / 超縮小性 / アレクサンドロフ空間 / 新古典不等式 / ミュレーション / リスク / 誤差評価 / 非線形 / 非線形偏微分方程式 / 確率過程 / 無限次元解析 / Multi-levelモンテカルロ方法 / 密度関数 / BSDE / 近似 / 信用リスク分析 / 半定値問題 / 倒産リスク評価 / ロジットモデル / 実証分析 / 中小企業 / 財務指標 / スコアリング / スコアリンング / 半生定値問題 / 国際分散投資 / 最適化アルゴリズム / ポートフォリオ最適化 / 財務諸表分析 / 判別分析 / ニューラルネット / Credit Risk / Semi-Definite Programming / Faillure Probability / Lodit Model / Small companies / Financial Data / Scoring / Option Pricing / 確率微分方程式の数値解 / 確率数値解析 / 非因果的確率解析 / 関数方程式の確率的解法 / 数値積分 / 乱数 / 確率微分方程式の数値解法 / 確立微分方程式の数値解法 / 非因果的確率解法 / Numerical Solution of the SDE / Stochastic Numerics / Noncausal Stochastic Calculus / Stochastic Solution of Functional Equations / Numerical Integration / Random Numbers / Mathematical Finance / 情報システム / セキュアネットワーク / 経営学 / 金融リスク / IT / ネットワーク / セキュリティ / 信用情報共有基盤 / XBRL / Information system / Optimization / Secure network / Business administration / Probability theory Less

A numerical method for stochastic differential equations for interest rate modeling and regulation after the global financial crises of 2007-2008Principal Investigator
- Principal Investigator
  
  二宮祥一
- Project Period (FY)
  2021 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 12040:Applied mathematics and statistics-related
- Research Institution
  Tokyo Institute of Technology
高頻度データの実時間解析への確率微分方程式の理論からの研究Principal Investigator
- Principal Investigator
  
  二宮祥一
- Project Period (FY)
  2018 – 2020
- Research Category
  
  Grant-in-Aid for Challenging Research (Exploratory)
- Review Section
  
  Medium-sized Section 12:Analysis, applied mathematics, and related fields
- Research Institution
  Tokyo 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
Higher Order weak approximation of Stochastic Differential Equations with application to financePrincipal Investigator
- Principal Investigator
  
  NINOMIYA Syoiti
- Project Period (FY)
  2010 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Tokyo Institute of Technology
New development of infinite dimensional stochastic analysis and its applications
- Principal Investigator
  
  AIDA Shigeki
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Basic analysis
- Research Institution
  Tohoku University
  Osaka University
Numerical Analysis of Jump-Models and Applications of Malliavin Calculus in Finance
- Principal Investigator
  
  ARTURO Kohatsu-higa
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Ritsumeikan University
  Osaka University
Research and development of the advanced expert mathematical library for the information network society
- Principal Investigator
  
  MIZUNO Shinji
- Project Period (FY)
  2008 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Tokyo Institute of Technology
Mathematical Finance : Insider Models and Applications of MalliavinCalculus
- Principal Investigator
  
  KOHATSU-HIGA Arturo
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Osaka University
Construction of new algorithms for numerical weak approximation of Diffusion Processes by Kusuoka scheme and their applications to Finance problemsPrincipal Investigator
- Principal Investigator
  
  NINOMIYA Syoiti
- Project Period (FY)
  2006 – 2009
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Tokyo Institute of Technology
Research and development of new IT models for financial risk management.
- Principal Investigator
  
  MIZUNO Shinji
- Project Period (FY)
  2004 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Tokyo Institute of Technology
Integrated Research on The Up-to-Date Problems in Stochastic Numerics
- Principal Investigator
  
  OGAW Shigeyoshi
- Project Period (FY)
  2003 – 2006
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Ritsumeikan Univ.
A new weak approximation scheme of diffusion and its application to FinancePrincipal Investigator
- Principal Investigator
  
  NINOMIYA Syoiti
- Project Period (FY)
  2003 – 2005
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Tokyo Institute of Technology
金融リスク評価システムの数理科学的研究Principal Investigator
- 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
Quantitative Evaluation of Financial Risk
- Principal Investigator
  
  KONNO Hiroshi
- Project Period (FY)
  1999 – 2001
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  社会システム工学
- Research Institution
  CHUO UNIVERSITY
  Tokyo Institute of Technology

All 2019 2014 2012 2011 2010 2009 2008 2007 2006 2004 2003 Other

All Journal Article Presentation

[Journal Article] Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing2019
- Author(s)
  Ninomiya Syoiti、Shinozaki Yuji
- Journal Title
  
  Applied Mathematical Finance
  
  Volume: 26 Pages: 257-292
- DOI
  10.1080/1350486x.2019.1637268
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-18K18718
[Journal Article] A new weak approximation scheme of stochastic differential equations and the Runge-Kutta method2009
- Author(s)
  Syoiti Ninomiya, et al.
- Journal Title
  
  Finance and Stochastics (出版予定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18340029
[Journal Article] A new higher-order weak approximation scheme of stochastic differential equations and the Runge-Kutta method2009
- Author(s)
  Syoiti Ninomiya, Mariko Ninomiya
- Journal Title
  
  Finance and Stochastics (印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20241038
[Journal Article] A new higher-order weak approximation scheme of stochastic differential equations and the Runge-Kutta method2009
- Author(s)
  S. Ninomiya and M. Ninomiya
- Journal Title
  
  Finance and Stochastics
  
  Volume: Vol.13 Pages: 415-443
- DOI
  10.1007/s00780-009-0101-4
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20241038
[Journal Article] A new higher-order weak approximation scheme of stochastic differential equations and the Runge-Kutta method2009
- Author(s)
  Mariko Ninomiya, Syoiti Ninomiya
- Journal Title
  
  Finance and Stochastics vol.13,No.3
  
  Pages: 415-443
- Data Source
  KAKENHI-PROJECT-18540113
[Journal Article] Weak approximation of stochastic differential equations and application to derivative pricing2008
- Author(s)
  Syoiti Ninomiya, Nicolas Victoir
- Journal Title
  
  Applied Mathematical Finance 15巻2号
  
  Pages: 107-121
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20241038
[Journal Article] Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing2008
- Author(s)
  Syoiti Ninomiya and Nicolas Victoir
- Journal Title
  
  Applied Mathematical Finance 2008 (1)(In press)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16201033
[Journal Article] Weak approximation of stochastic differential equations and application to derivative pricing2008
- Author(s)
  Syoiti Ninomiya, Nicolas Victoir
- Journal Title
  
  Applied Mathematical Finance vol.15,No.2
  
  Pages: 107-121
- Data Source
  KAKENHI-PROJECT-18540113
[Journal Article] Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing2008
- Author(s)
  Syoiti, Ninomiya, Nicolas, Victoir
- Journal Title
  
  Applied Mathematical Finance
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Journal Article] Weak approximation of stochastic differential equations and application to derivative pricing2008
- Author(s)
  Syoiti Ninomiya and Nicolas Victoir
- Journal Title
  
  Applied Mathematical Finance Vol.15, No.2
  
  Pages: 107-121
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540113
[Journal Article] Weak approximation of stochastic differential equations and application to derivative pricing2008
- Author(s)
  Syoiti Ninomiya, Nicolas Victoir
- Journal Title
  
  Applied Mathematical Finance Vol. 15 No. 2
  
  Pages: 107-121
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20241038
[Journal Article] Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing2008
- Author(s)
  Syoiti Ninomiya,.
- Journal Title
  
  Applied Mathematical Finance (出版予定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18340029
[Journal Article] Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing2008
- Author(s)
  Syoiti Ninomiya and Nicolas Victoir
- Journal Title
  
  Applied Mathematical Finance 2008 (1)(掲載決定)
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16201033
[Journal Article] A new simulation method of diffusion processes applied to Finance2004
- Author(s)
  Shigeo, Kusuoka, Syoiti, Ninomiya
- Journal Title
  
  Stochastic processes and application to mathematical finance, Proceedings of the Ritsumeikan International Symposium
  
  Pages: 233-253
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Journal Article] A new simulation method of diffusion processes applied to Finance2004
- Author(s)
  Shigeo Kusuoka and Syoiti Ninomiya
- Journal Title
  
  Stochastic processes and application to mathematical finance, Proceedings of the Ritsumeikan International Symposium (1)
  
  Pages: 233-253
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16201033
[Journal Article] A new simulation method of diffusion processes applied to Finance2004
- Author(s)
  楠岡成雄, 二宮祥一
- Journal Title
  
  Proceedings of the Ritsumeikan International Symposium (Ed.by Akahori,Ogawa,Watanabe)
  
  Pages: 233-253
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15540110
[Journal Article] A new simulation method of diffusion processes applied to Finance2004
- Author(s)
  Shigeo Kusuoka, Syoiti Ninomiya
- Journal Title
  
  Proceedings of the Ritsumeikan International Symposium (Ed. by Akahori, Ogawa, Watanabe)
  
  Pages: 233-253
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15540110
[Journal Article] A partical sampling method applied to the Kusuoka approximation2003
- Author(s)
  Syoiti Ninomiya
- Journal Title
  
  Monte Carlo Methods and Applications Vol.9
  
  Pages: 27-38
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15540110
[Journal Article] A partial Sompling method Applied to the Kusuoka approximation2003
- Author(s)
  二宮祥一
- Journal Title
  
  Monte Carlo methods and Applications 9
  
  Pages: 27-38
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15540110
[Journal Article] "A new weak approximation scheme of stochastic differential equations and the Runge-Kutta method" (with Mariko Ninomiya)
- Author(s)
  S.Ninomiya
- Journal Title
  
  Finance and Stochastics (In press)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18340029
[Journal Article] A new higher-order weak approximation scheme of stochastic differential equations and the Runge-Kutta method
- Author(s)
  Syoiti Ninomiya and Mariko Ninomiya
- Journal Title
  
  Finance and Stochastics (to appear)
- URL
  http://arxiv.org/abs/0709.2434
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] 楠岡近似に現われる確率変数族の構成について2014
- Author(s)
  二宮祥一
- Organizer
  第三回数理ファイナンス合宿型セミナー
- Place of Presentation
  熱海ホテルニューアカオ
- Invited
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] 楠岡近似に現われる確率変数族の構成について2014
- Author(s)
  Syoiti Ninomiya
- Organizer
  第三回数理ファイナンス合宿型セミナー
- Place of Presentation
  熱海ホテルニューアカオ
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] Estimating the lead/lag between asset price processes -- a new approach (12014
- Author(s)
  Syoiti Ninomiya
- Organizer
  金融リスクの計測・管理・制御と資本市場に纏わる諸問題(ワークショップ)
- Place of Presentation
  大阪大学金融・保険教育研究センター
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] Estimating the lead/lag between asset price processes -- a new approach (1)2014
- Author(s)
  二宮祥一
- Organizer
  金融リスクの計測・管理・制御と資本市場に纏わる諸問題
- Place of Presentation
  大阪大学金融・保険教育研究センター
- Invited
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] On the higher-order weak approximation of SDEs2012
- Author(s)
  Ninomiya Syoiti
- Organizer
  The third workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Oxford, UK(招待講演)
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] On the higher-order weak approximation of SDEs2012
- Author(s)
  Syoiti Ninomiya
- Organizer
  The third workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College London（UK）
- Invited
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] 確率微分方程式の楠岡近似を実現するソフトウェアライブラリ,(二宮真理子氏との共著)2012
- Author(s)
  Ninomiya Syoiti
- Organizer
  情報化ネットワーク社会に向けた高度な専門的数理技術ライブラリの研究と開発2008-2012年度文部科学省科学研究費補助金基盤研究(A) 20241038シンポジウム
- Place of Presentation
  東京工業大学理財工学研究センター、東京都(招待講演)
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] A new semi-closed form solutions to some financial problems : a note on Bayer-Friz-Loeffen's work(with Yusuka Kubo)2012
- Author(s)
  Syoiti Ninomiya
- Organizer
  Rough Paths and PDEs
- Place of Presentation
  Mathematisches Forschungsinstitut Oberwolfach, Germany
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] QMC and Higher order methods for SDEs2012
- Author(s)
  Syoiti Ninomiya
- Organizer
  Workshop for Quasi-Monte Carlo and Pseudo Random Number Generation
- Place of Presentation
  University of Tokyo, Japan
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] QMC and Higher order methods for SDEs2012
- Author(s)
  Ninomiya Syoiti
- Organizer
  Workshop for Quasi-Monte Carlo and Pseudo Random Number Generation
- Place of Presentation
  東大駒場キャンパス、東京都(招待講演)
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] On the higher-order weak approximation of SDEs2012
- Author(s)
  Syoiti Ninomiya
- Organizer
  The third workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Oxford, UK
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] QMC and Higher order methods for SDEs2012
- Author(s)
  Syoiti Ninomiya
- Organizer
  Workshop for Quasi-Monte Carlo and Pseudo Random Number Generation
- Place of Presentation
  University of Tokyo（Tokyo）
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] A new semi-closed form solutions to some financial problems: a note on Bayer-Friz-Loeffen’s work (with Yusuka Kubo)2012
- Author(s)
  Syoiti Ninomiya
- Organizer
  Rough Paths and PDEs
- Place of Presentation
  Mathematisches Forschungsinstitut Oberwolfach（Germany）
- Invited
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] A new semi-closed form solutions to some financial problems: a note on Bayer-Friz-Loeffen’s work2012
- Author(s)
  syoiti ninomiya
- Organizer
  Rough Paths and PDEs
- Place of Presentation
  Mathematisches Forschungsinstitut Oberwolfach, Germany
- Invited
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] QMC and Higher order methods for SDEs2012
- Author(s)
  syoiti ninomiya
- Organizer
  Workshop for Quasi-Monte Carlo and Pseudo Random Number Generation
- Place of Presentation
  東京大学数理科学研究科 (東京都)
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] A new semi-closed form solutions to some financial problems : a note on Bayer-Friz-Loeffen's work' (with Yusuka Kubo)2012
- Author(s)
  Ninomiya Syoiti
- Organizer
  Rough Paths and PDEs
- Place of Presentation
  Rough Paths and PDEs (招待講演)
- Data Source
  KAKENHI-PROJECT-24340022
[Presentation] Some trials on extending the higher-order weak approximation algorithms for SDEs2011
- Author(s)
  Syoiti Ninomiya with Shigeo Kusuoka, Mariko Ninomiya
- Organizer
  Workshop rough paths and numerical integration methods
- Place of Presentation
  Philipps Universitat(ドイツ)
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] Some trials on extending the higher-order weak approximation algorithms for SDEs(with Shigeo Kusuoka and Mariko Ninomiya)2011
- Author(s)
  Syoiti Ninomiya
- Organizer
  Workshop rough paths and numerical integration methods
- Place of Presentation
  Philipps Universitat, Marburg, Germany
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] Some trials on extending the higher-order weak approximation algorithms for SDEs2011
- Author(s)
  Syoiti Ninomiya, Shigeo Kusuoka, Mariko Ninomiya
- Organizer
  Workshop rough paths Stochastic PDEs and numerical integration methods
- Place of Presentation
  Philipps Universitat, Marburg, Germany(招待講演)
- Year and Date
  2011-09-22
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Higher-order weak approximation algorithms for SDEs : Some trials on barrier option problem and higher order algorithms(with Shigeo Kusuoka and Mariko Ninomiya)2011
- Author(s)
  Syoiti Ninomiya
- Organizer
  Stochastic PDEs
- Place of Presentation
  ETH Zurich, Zurich
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] Higher-order weak approximation algorithms for SDEs : Some trials on barrier option problem and higher order algorithms (with Shigeo Kusuoka and Mariko Ninomiya)2011
- Author(s)
  Syoiti NINOMIYA
- Organizer
  Stochastic PDEs
- Place of Presentation
  ETH Zurich, Zurich, Switzerland(招待講演)
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] The higher-order weak approximation algorithms for SDEs2011
- Author(s)
  Syoiti Ninomiya, Shigeo Kusuoka, Mariko Ninomiya
- Organizer
  The second workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College, London, UK(招待講演)
- Year and Date
  2011-09-28
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] The higher-order weak approximation algorithms for SDEs(with Shigeo Kusuoka and Mariko Ninomiya)2011
- Author(s)
  Syoiti Ninomiya
- Organizer
  The second workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College, London, UK
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] The higher-order weak approximation algorithms for SDEs2011
- Author(s)
  S. Ninomiya, S. Kusuoka, and M. Ninomiya
- Organizer
  The second workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College(イギリス)
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] Higher-order weak approximation algorithms for SDEs : Some trials on barrier option problem and higher order algorithms'(with Shigeo Kusuoka and Mariko Ninomiya)2011
- Author(s)
  S. Ninomiya
- Organizer
  Stochastic PDEs
- Place of Presentation
  Zurich(Swiss)
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] Higher-order weak approximation algorithms for SDEs : Some trials on barrier option problem and higher order algorithms2011
- Author(s)
  Syoiti Ninomiya, Shigeo Kusuoka, Mariko Ninomiya
- Organizer
  Stochastic PDEs
- Place of Presentation
  ETH Zurich, Switzerland(招待講演)
- Year and Date
  2011-09-14
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] The higher-order weak approximation algorithms for SDEs2011
- Author(s)
  Syoiti Ninomiya with Shigeo Kusuoka, Mariko Ninomiya
- Organizer
  The second workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College, London (イギリス)
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] Higher-order weak approximation algorithms for SDEs2011
- Author(s)
  S. Ninomiya, S. Kusuoka, and M.Ninomiya
- Organizer
  some trials on barrier option problem and higher order algorithms, Stochastic PDEs
- Place of Presentation
  Eidgenossische TechnischeHochschule Zurich(スイス)
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] The higher-order weak approximation algorithms for SDEs (with Shigeo Kusuoka and Mariko Ninomiya)2011
- Author(s)
  Syoiti NINOMIYA
- Organizer
  The second workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College, London, UK(招待講演)
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] Some trials on extending the higher-order weak approximation algorithms for SDEs (with Shigeo Kusuoka and Mariko Ninomiya)2011
- Author(s)
  Syoiti NINOMIYA
- Organizer
  Workshop rough paths and numerical integration methods
- Place of Presentation
  Philipps Universitat, Marburg, Germany(招待講演)
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] Higher-order weak approximation algorithms for SDEs : Some trials on barrier option problem and higher order algorithms2011
- Author(s)
  Syoiti Ninomiya with Shigeo Kusuoka, Mariko Ninomiya
- Organizer
  Stochastic PDEs
- Place of Presentation
  チューリッヒ工科大学(スイス)(招待講演)
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] On an extension of an algorithm of higher-order weak approximation to SDEs(with Mariko Ninomiya)2010
- Author(s)
  Syoiti Ninomiya
- Organizer
  CREST and Sakigake International Symposium : Asymptotic Statistics, Risk and Computation in Finance and Insurance
- Place of Presentation
  Tokyo Institute of Technology, Ookayama, Tokyo
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] On an extension of a higher-order weak approximation method for SDEs(with Mariko Ninomiya)2010
- Author(s)
  Syoiti Ninomiya
- Organizer
  Workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College, London, 英国
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] On an extension of a higher-order weak approximation method for SDEs(with Mariko Ninomiya)2010
- Author(s)
  Syoiti Ninomiya
- Organizer
  Workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College, London
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] On an extension of an algorithm of higher-order weak approximation to SDEs(with Mariko Ninomiya)2010
- Author(s)
  Syoiti Ninomiya
- Organizer
  CREST and Sakigake International Symposium : Asymptotic Statistics, Risk and Computation in Finance and Insurance
- Place of Presentation
  東京工業大学, 東京
- Year and Date
  2010-12-14
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] On an extension of an algorithm of higher-order weak approximation to SDEs (with Mariko Ninomiya)2010
- Author(s)
  Syoiti Ninomiya
- Organizer
  Workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College, London, UK(招待講演)
- Year and Date
  2010-09-29
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] On an extension of an algorithm of higher-order weak approximation to SDEs (with Mariko Ninomiya)2010
- Author(s)
  Syoiti Ninomiya
- Organizer
  CREST and Sakigake International Symposium : Asymptotic Statistics, Risk and Computation in Finance and Insurance
- Place of Presentation
  Tokyo Institute of Technology Tokyo(招待講演)
- Year and Date
  2010-12-15
- Data Source
  KAKENHI-PROJECT-21340024
[Presentation] On an extension of a higher-order weak approximation method for SDEs2010
- Author(s)
  S. Ninomiya and M. Ninomiya
- Organizer
  Workshop on numerical methods for solving the filtering problem and high order methodsfor solving parabolic PDEs
- Place of Presentation
  Imperial College(イギリス)
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] "On an extension of an algorithm of higher-order weak approximation to SDEs," (with Mariko Ninomiya)2010
- Author(s)
  Syoiti Ninomiya
- Organizer
  CREST and Sakigake International Symposium : Asymptotic Statistics, Risk and Computation in Finance and Insurance
- Place of Presentation
  Tokyo Institute of Technology, Ookayama, Tokyo
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] "On an extension of a higher-order weak approximation method for SDEs," (with Mariko Ninomiya)2010
- Author(s)
  Syoiti Ninomiya
- Organizer
  Workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
- Place of Presentation
  Imperial College, London
- Data Source
  KAKENHI-PROJECT-22540115
[Presentation] 確率微分方程式の新しい弱近似法 : 楠岡近似とそれを実現するアルゴリズム2009
- Author(s)
  二宮祥一
- Organizer
  計算による数理科学の展開2009(研究集会)於神戸大学理学部
- Place of Presentation
  神戸
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] A higher-order weak approximation method of SDEs2009
- Author(s)
  二宮祥一
- Organizer
  Workshop: Computational Finance
- Place of Presentation
  京都大学数理解析研究所
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] 確率微分方程式の新しい弱近似法 : 楠岡近似とそれを実現するアルゴリズム2009
- Author(s)
  二宮祥一
- Organizer
  計算による数理科学の展開2009 (研究集会)
- Place of Presentation
  神戸大学理学部 (神戸)
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] A higher-order weak approximation method of SDEs2009
- Author(s)
  Syoichi Ninomiya
- Organizer
  Workshop : Computational Finance
- Place of Presentation
  Kyoto
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] 確率微分方程式の新しい弱近似法 : 楠岡近似とそれを実現するアルゴリズム2009
- Author(s)
  二宮祥一
- Organizer
  計算による数理科学の展開 2009
- Place of Presentation
  神戸大学理学部
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] A higher-order weak approximation method of SDEs2009
- Author(s)
  Syoiti Ninomiya
- Organizer
  Workshop : Computational Finance
- Place of Presentation
  京都大学
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] 確率微分方程式の新しい弱近似法 : 楠岡近似とそれを実現するアルゴリズム2009
- Author(s)
  S. Ninomiya
- Organizer
  東京大学計算による数理科学の展開2009 (研究集会)
- Place of Presentation
  神戸大学理学部
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] A higher-order weak approximation method of SDEs and the Runge-Kutta method2009
- Author(s)
  二宮祥一
- Organizer
  Workshop "Small time asymptotics, perturbation theory and heat kernel methods in mathematical finance"
- Place of Presentation
  Wolfgang Pauli Institute, Vienna
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] A higher-order weak approximation method of SDEs2009
- Author(s)
  Syoiti Ninomiya
- Organizer
  Workshop:Computational Finance
- Place of Presentation
  京都大学(京都)
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] A higher-order weak approximation method of SDEs2009
- Author(s)
  二宮祥一
- Organizer
  Workshop : Computational Finance
- Place of Presentation
  京都大学数理解析研究所
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] 確率微分方程式の新しい弱近似法:楠岡近似とそれを実現するアルゴリズム2009
- Author(s)
  二宮祥一
- Organizer
  計算による数理科学の展開2009(研究集会)
- Place of Presentation
  神戸大学理学部
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] A Higher-order weak approximation method of SDEs and the Runge-Kutta method2009
- Author(s)
  Syoiti Ninomiya
- Organizer
  Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance
- Place of Presentation
  Wolfgang Pauli Institute, Vienna
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] A higher-order weak approximation method of SDEs and the Runge-Kutta method.2009
- Author(s)
  二宮祥一
- Organizer
  Workshop “ Small time asymptotics, perturbation theory and heat kernel methods in mathematical finance"
- Place of Presentation
  Wolfgang Pauli Institute, Vienna
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] A higher-order weak approximation method of SDEs and the Runge-Kutta method2009
- Author(s)
  S. Ninomiya
- Organizer
  Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance
- Place of Presentation
  Wolfgang Pauli Institute(オーストリア)
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] A higher-order weak approximation method of SDEs and the Runge-Kutta method2009
- Author(s)
  Syoiti Ninomiya
- Organizer
  Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance
- Place of Presentation
  Wolfgang Pauli Institute, Vienna
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] 確率微分方程式の新しい弱近似法 : 楠岡近似とそれを実現するアルゴリズム2009
- Author(s)
  二宮祥一
- Organizer
  計算による数理科学の展開2009(研究集会)
- Place of Presentation
  神戸大学理学部
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] Kusuoka Scheme : A new weak approximation methods of diffusion processes2008
- Author(s)
  二宮祥一
- Organizer
  大阪大学金融保険教育研究センター主催中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題2008」
- Place of Presentation
  大阪大学中之島センター (大阪)
- Data Source
  KAKENHI-PROJECT-20241038
[Presentation] 楠岡近似のアルゴリズムについて2008
- Author(s)
  S. Ninomiya
- Organizer
  ファイナンスのための数理ワークショップ
- Place of Presentation
  早稲田大学理工学部
- Year and Date
  2008-04-04
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Kusuoka Scheme : A new weak approximation methods of diffusion processes2008
- Author(s)
  二宮祥一
- Organizer
  大阪大学金融保険教育研究センター主催中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題2008」
- Place of Presentation
  大阪大学中之島センター
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] 楠岡近似のアルゴリズムについて2008
- Author(s)
  二宮祥一
- Organizer
  ファイナンスのための数理ワークショップ於早稲田大学理工学部
- Place of Presentation
  東京
- Year and Date
  2008-04-04
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] Kusuoka Scheme : A new weak approximation methods of diffusion processes2008
- Author(s)
  S. Ninomiya
- Organizer
  大阪大学金融保険教育研究センター主催中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題 2008」
- Place of Presentation
  大阪大学中之島センター
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Kusuoka Scheme : A new weak approximation methods of diffusion processes2008
- Author(s)
  二宮祥一
- Organizer
  大阪大学金融保険教育研究センター主催中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題2008」於大阪大学中之島センター
- Place of Presentation
  大阪
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] IT技術の発展と求められるクオンツ像2007
- Author(s)
  二宮祥一
- Organizer
  京都大学数理解析研究所/経済研究所/野村証券株式会社金融工学研究センター主催、伊藤清博士ガウス賞受賞記念寄付研究部門創設記念コンファレンス「数理科学とファイナンスの30年学術と実務の接点フロンティア」
- Place of Presentation
  東京
- Year and Date
  2007-11-05
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] IT技術の発展と求められるクオンツ像2007
- Author(s)
  二宮祥一
- Organizer
  伊藤清博士ガウス賞受賞記念寄付研究部門創設記念コンファレンス「数理科学とファイナンスの30年学術と実務の接点フロンティア」
- Place of Presentation
  東京
- Year and Date
  2007-11-05
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] 拡散過程の新しい弱近似法について(New weak approximation methods of Diffusion processes)2007
- Author(s)
  二宮祥一
- Organizer
  名古屋大学多元数理研究科大談話会講演
- Place of Presentation
  名古屋大学、名古屋
- Year and Date
  2007-07-11
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] On a new weakly approximation scheme for SDEs2007
- Author(s)
  Syoiti, Ninomiya
- Organizer
  Mathematical Institute Tohoku University
- Place of Presentation
  Tohoku University, Sendai
- Year and Date
  2007-10-22
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] IT技術の発展と求められるクオンツ像2007
- Author(s)
  二宮祥一
- Organizer
  京都大学数理解析研究所/経済研究所/野村証券株式会社金融工学研究センター主催、伊藤清博士ガウス賞受賞記念寄付研究部門創設記念コンファレンス「数理科学とファイナンスの30年学術と実務の接点フロンティア」
- Place of Presentation
  サピア・タワー(東京)
- Year and Date
  2007-11-05
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] Uniformly distributed sequences and their applications2007
- Author(s)
  Syoiti Ninomiya
- Organizer
  Ergodic theory and its applications
- Place of Presentation
  Keio Uhiversity(神奈川)
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] 数学者がどのようにファイナンス業界で働いているか2007
- Author(s)
  二宮祥一
- Organizer
  慶應大学21世紀COEプログラム「総合数理科学: 現象解明を通した数学の発展」キャリアパスセミナー
- Place of Presentation
  慶應大学
- Year and Date
  2007-05-09
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] Uniformly distributed sequences and their applications2007
- Author(s)
  二宮祥一
- Organizer
  Ergodic theory and its applications
- Place of Presentation
  Keio University
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] 確率微分方程式の新しい弱近似解法について2007
- Author(s)
  二宮祥一
- Organizer
  東北大学大学院理学研究科談話会
- Place of Presentation
  東北大学、仙台
- Year and Date
  2007-10-22
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] Applications of Low-discrepancy sequences in practice2007
- Author(s)
  Syoiti Ninomiya
- Organizer
  Motives, related topics, applications
- Place of Presentation
  Hiroshima University
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] 拡散過程の新しい弱近似法いついて(New Weak approximation methods of Diffusion processes)2007
- Author(s)
  二宮祥一
- Organizer
  名古屋大学多元数理研究科大談話会
- Place of Presentation
  名古屋大学
- Year and Date
  2007-07-11
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Mathematicians in Finance industry2007
- Author(s)
  Syoiti, Ninomiya
- Organizer
  Keio University 21 century COE program "Sogo suurikagaku : Gensyo kaimei wo Toosita Suugaku no Hatten"
- Place of Presentation
  Keio University
- Year and Date
  2007-05-09
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] New weak approximation methods of Diffusion processes2007
- Author(s)
  Syoiti, Ninomiya
- Organizer
  Graduate School of Mathematics, Nagoya University
- Place of Presentation
  Nagoya University, Nagoya
- Year and Date
  2007-07-11
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] Quants and IT technology2007
- Author(s)
  Syoiti, Ninomiya
- Organizer
  Research Institute for Mathematical Sciences, Kyoto University
- Place of Presentation
  Tokyo
- Year and Date
  2007-11-05
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] 確率微分方程式の新しい弱近似解法について2007
- Author(s)
  二宮祥一
- Organizer
  東北大学大学院理学研究科談話会
- Place of Presentation
  東北大学
- Year and Date
  2007-10-22
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] Uniformly distributed sequences and their applications2007
- Author(s)
  Syoiti Ninomiya
- Organizer
  Ergodic theory and its applications
- Place of Presentation
  Keio University(神奈川)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] 数学者がどのようにファイナンス業界で働いているか2007
- Author(s)
  二宮祥一
- Organizer
  慶應大学21世紀COEプログラム「総合数理科学:現象解明を通した数学の発展」キャリアパスセミナー
- Place of Presentation
  慶應大学
- Year and Date
  2007-05-09
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] Uniformly distributed sequences and their applications2007
- Author(s)
  Syoiti, Ninomiya
- Organizer
  Ergodic theory and its applications
- Place of Presentation
  Keio University
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16201033
[Presentation] 数学者がどのようにファイナンス業界で働いているか2007
- Author(s)
  二宮祥一
- Organizer
  慶應大学21世紀COEプログラム「総合数理科学:現象解明を通した数学の発展」キャリアパスセミナー
- Place of Presentation
  慶應大学
- Year and Date
  2007-05-09
- Data Source
  KAKENHI-PROJECT-18340029
[Presentation] A new weak approximation scheme of stochastic differential equations by using the Runge-Kutta method2006
- Author(s)
  Shigeo Kusuoka, Mariko Ninomiya, Syoiti Ninomiya
- Organizer
  Bachelier Finance Society 2006 4th World Congress Tokyo
- Place of Presentation
  Tokyo
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] On the algorithms for the Kusuoka scheme2006
- Author(s)
  Syoiti Ninomiya
- Organizer
  The International Conference on Mathematical Finance and its Applications
- Place of Presentation
  Kanazawa Univ., Kanazawa, Japan
- Data Source
  KAKENHI-PROJECT-18540113
[Presentation] 確率微分方程式の楠岡近似を実現するソフトウェアライブラリ
- Author(s)
  二宮祥一
- Organizer
  科研費シンポジウム「情報化ネットワーク社会に向けた高度な専門的数理技術ライブラリの研究と開発」
- Place of Presentation
  東京工業大学理財工学研究センター（東京都）
- Invited
- Data Source
  KAKENHI-PROJECT-20241038

1. KUSUOKA Shigeo (00114463)

# of Collaborated Projects: 9 results

# of Collaborated Products: 6 results
2. KOHATSU-HIGA Arturo (80420412)

# of Collaborated Projects: 4 results

# of Collaborated Products: 16 results
3. AIDA Shigeki (90222455)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
4. OGAWA SHIGEYOSHI (80101137)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
5. HIGA Kunihiko (50282877)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
6. NAGAI Hideo (70110848)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
7. YAMAZATO Makoto (00015900)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
8. MIZUNO Shinji (90174036)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
9. OGATA Wakaha (90275313)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
10. NAKAGAWA Hidetoshi (30361760)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
11. NAKANO Yumiharu (00452409)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
12. AKAHORI Jiro (50309100)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
13. TAKEUCHI Atsushi (30336755)

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14. YASUDA Kazuhiro (80509638)

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15. KONNO Hiroshi (10015969)

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16. 白川浩 (10216187)

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22. HANDA Kenji (10238214)

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23. KAWABI Hiroshi (80432904)

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24. INAHAMA Yuzuru (80431998)

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25. NAGAHATA Yukio (50397725)

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26. YANO Kouji (80467646)

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27. HINO Masanori (40303888)

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30. HARIYA Yuu (20404030)

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31. TAKANOBU Satoshi (40197124)

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32. OHTA Shin-ichi (00372558)

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49. MATSUMOTO Hiroyuki

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Ninomiya Syoiti 二宮 祥一

二宮 祥一 ニノミヤ シヨウイチ

NINOMIYA Syoiti 二宮 祥一

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A numerical method for stochastic differential equations for interest rate modeling and regulation after the global financial crises of 2007-2008Principal Investigator

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高頻度データの実時間解析への確率微分方程式の理論からの研究Principal Investigator

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Higher Order weak approximation of Stochastic Differential Equations with application to financePrincipal Investigator

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Construction of new algorithms for numerical weak approximation of Diffusion Processes by Kusuoka scheme and their applications to Finance problemsPrincipal Investigator

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A new weak approximation scheme of diffusion and its application to FinancePrincipal Investigator

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金融リスク評価システムの数理科学的研究Principal Investigator

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Ninomiya Syoiti 二宮祥一

二宮祥一ニノミヤシヨウイチ

NINOMIYA Syoiti 二宮祥一