京都大学 · 経済学部・経済学研究科 · 教授

研究关键词mathematical finance・option pricing・stochastic impulse control・spectrally negative Levy processes・job search models・real options・diffusion processes・loan commitments

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• Phase-type fitting of scale functions for spectrally negative Levy processesJOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,
• Precautionary measures for credit risk management in jump modelsSTOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS,
• Indifference prices of structured catastrophe (CAT) bondsINSURANCE MATHEMATICS & ECONOMICS,
• The effects of implementation delay on decision-making under uncertaintySTOCHASTIC PROCESSES AND THEIR APPLICATIONS,

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