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

Research keywordsLevy processes・Clark-Ocone formula・Girsanov transform・pure jump processes・Malliavin calculus・Sobolev inequalities・portfolio optimization・interest rate modeling

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• A Clark-Ocone type formula under change of measure for multidimensional Lévy processes,
• Correction to "Malliavin differentiability of indicator functions on canonical Lévy spaces" [Statist. Probab. Lett. 137 (2018) 183--190]
• A Clark-Ocone type formula via Ito calculus and its application to finance
• Local risk-minimization for Barndorff-Nielsen and Shephard models

• 加法過程に関連した確率過程とファイナンスの数理

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