Tokyo University of Science · Graduate School of Business Administration / Faculty of Business Administration · 准教授

Research keywords確率過程論・数値解析・数理ファイナンス、確率解析・確率微分方程式・確率論，数理ファイナンス・オプション・経営・商・会計

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• A note on subadditivity of value at risks (VaRs): A new connection to comonotonicity2025 · JOURNAL OF APPLIED PROBABILITY
• Occupation time, quantile and rank of the Ornstein–Uhlenbeck process and their applications to mathematical finance2025 · Frontiers of Mathematical Finance
• Portfolio optimization with conditional Value-at-Risk2023 · The Science Reports of Kanazawa University
• An Extension with Illustrations of the Azéma–Yor Algorithm for Solving Skorokhod Embedding Problem2023 · Peter Carr Gedenkschrift

• 拡散過程の到達時間分布と数理ファイナンスへの応用
• Ｐｕｔ－Ｃａｌｌ対称化法の一般化とその応用
• 次世代金融工学における熱核法の展開 研究課題
• タイミングリスクの漸近的静的ヘッジ

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