Mathematical Finance
Seminar information archive ~02/12|Next seminar|Future seminars 02/13~
Date, time & place | Wednesday 17:30 - 19:00 122Room #122 (Graduate School of Math. Sci. Bldg.) |
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Seminar information archive
2009/05/20
17:30-19:00 Room #122 (Graduate School of Math. Sci. Bldg.)
鍛冶 俊輔 (大阪大)
Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component (小谷真一氏(関西学院大)との共同研究)
鍛冶 俊輔 (大阪大)
Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component (小谷真一氏(関西学院大)との共同研究)
2008/12/03
17:30-19:00 Room #122 (Graduate School of Math. Sci. Bldg.)
Freddy Delaben (ETH)
The structure of dynamic utility functions in a Brownian Filtration
Freddy Delaben (ETH)
The structure of dynamic utility functions in a Brownian Filtration
[ Abstract ]
The penalty function for monetary dynamic utility functions
has a special form. They can be seen as potentials. In the Brownian Filtration Rao's theorem permits to give a complete description.
The penalty function for monetary dynamic utility functions
has a special form. They can be seen as potentials. In the Brownian Filtration Rao's theorem permits to give a complete description.
2008/08/06
17:30-19:00 Room #122 (Graduate School of Math. Sci. Bldg.)
楠岡 成雄 (東京大)
オペレーショナルリスクと fat tail を持つ iid 確率変数の和に対する極限定理
楠岡 成雄 (東京大)
オペレーショナルリスクと fat tail を持つ iid 確率変数の和に対する極限定理
2008/06/18
17:30-19:00 Room #122 (Graduate School of Math. Sci. Bldg.)
塩谷 匡介 (日本銀行)
経済学と金融工学 ―Financial Economics入門―」(講義)
+M. Piazzesi and E. Swanson, "Futures Prices as Risk-Adjusted Forecasts
of Monetary Policy", Journal of Monetary Economics (2008)
塩谷 匡介 (日本銀行)
経済学と金融工学 ―Financial Economics入門―」(講義)
+M. Piazzesi and E. Swanson, "Futures Prices as Risk-Adjusted Forecasts
of Monetary Policy", Journal of Monetary Economics (2008)
2008/05/21
17:30-19:00 Room #128 (Graduate School of Math. Sci. Bldg.)
尾張 圭太 (一橋大)
Robust Exponential Hedging and Indifference Valuation
尾張 圭太 (一橋大)
Robust Exponential Hedging and Indifference Valuation
2008/02/06
18:00-19:30 Room #128 (Graduate School of Math. Sci. Bldg.)
Daniel Bloch ( )
Fast calibration of some Affine and Quadratic models with applications to derivatives on variance swaps
Daniel Bloch ( )
Fast calibration of some Affine and Quadratic models with applications to derivatives on variance swaps
2008/01/23
17:30-19:00 Room #128 (Graduate School of Math. Sci. Bldg.)
二宮 真理子 (東京大)
確率微分方程式に対するRunge-Kutta法を用いた新たな弱近似手法
二宮 真理子 (東京大)
確率微分方程式に対するRunge-Kutta法を用いた新たな弱近似手法
2007/06/27
17:30-19:00 Room #128 (Graduate School of Math. Sci. Bldg.)
山本 匡 (東京大)
Selection and Performance Analysis of Asia-Pacific Hedge Funds
山本 匡 (東京大)
Selection and Performance Analysis of Asia-Pacific Hedge Funds
2007/06/02
17:30-19:00 Room #128 (Graduate School of Math. Sci. Bldg.)
楠岡 成雄 (東京大)
分布が Fat tail を持つ i.i.d. 確率変数の和に関して
楠岡 成雄 (東京大)
分布が Fat tail を持つ i.i.d. 確率変数の和に関して
2007/05/30
17:30-19:00 Room #118 (Graduate School of Math. Sci. Bldg.)
新井 拓児 (慶応大)
非対称関数上の最適ヘッジ戦略
新井 拓児 (慶応大)
非対称関数上の最適ヘッジ戦略
2006/12/13
17:30-19:00 Room #118 (Graduate School of Math. Sci. Bldg.)
関根 順 (京都大)
動的なファンドプロテクションと最適化について
関根 順 (京都大)
動的なファンドプロテクションと最適化について
2006/11/29
17:30-19:00 Room #118 (Graduate School of Math. Sci. Bldg.)
楠岡 成雄 (東京大)
Gaussian K-Scheme について
楠岡 成雄 (東京大)
Gaussian K-Scheme について
2006/11/15
17:30-19:00 Room #118 (Graduate School of Math. Sci. Bldg.)
塚原 英敦 (成城大)
歪みリスク尺度の1-パラメータ族とその応用
塚原 英敦 (成城大)
歪みリスク尺度の1-パラメータ族とその応用
2006/09/04
17:00-18:30 Room #117 (Graduate School of Math. Sci. Bldg.)
Freddy Delbaen (ETH)
Dynamic Risk Measures and Backward Stochastic Differential Equation
Freddy Delbaen (ETH)
Dynamic Risk Measures and Backward Stochastic Differential Equation
2006/09/04
15:45-16:45 Room #117 (Graduate School of Math. Sci. Bldg.)
楠岡成雄氏・梅澤祐二 (東京大)
リスク尺度入門及び概説
楠岡成雄氏・梅澤祐二 (東京大)
リスク尺度入門及び概説
2006/07/12
18:30-20:00 Room #118 (Graduate School of Math. Sci. Bldg.)
高岡 浩一郎 (一橋大)
A complete-market generalization of the Black-Scholes model
高岡 浩一郎 (一橋大)
A complete-market generalization of the Black-Scholes model
2006/06/28
17:30-19:00 Room #118 (Graduate School of Math. Sci. Bldg.)
楠岡 成雄 (東京大)
転換社債の価格:均衡論的アプローチ
楠岡 成雄 (東京大)
転換社債の価格:均衡論的アプローチ