Mathematical Finance

Seminar information archive ～04/19｜Next seminar｜Future seminars 04/20～

Date, time & place Wednesday 17:30 - 19:00 122Room #122 (Graduate School of Math. Sci. Bldg.)

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)

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

[ 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.

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

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)

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

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

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

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

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

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

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

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

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

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

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

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

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