 Research Interest
Asymptotic Analysis for Stochastic Processes
Higher-order Asymptotic Statistics Mathematical Finance and High-frequency Data Analysis Curriculum Vitae
97 Apr - 00 Mar Kunitachi High School
00 Apr - 02 Mar The Univ. of Tokyo 02 Apr - 04 Mar Department of Mathematics, The Univ. of Tokyo 04 Apr - 07 Dec Graduate School of Mathematical Sciences, The Univ. of Tokyo 06 Apr - 07 Dec JSPS research fellow (DC1) 07 Dec - present Assistant Professor at CSFI, Osaka Univ. Papers in English
[1] Edgeworth expansion for ergodic diffusions, Probab. Theory Relat. Fields
142 (2008), 1-20. minor typo
[2] Central limit theorem for the realized volatility based on tick time sampling (2007), to appear in Finance Stoch. online first [3] Asymptotic analysis for stochastic volatility: martingale expansion (2009), to appear in Finance Stoch. [4] Realized volatility with stochastic sampling (2008), to appear in Stochastic Process. Appl., available in "Articles in Press" Papers in Japanese
[1] 実現ボラティリティの漸近分布について
[On asymptotic distribution of realized volatility],
Proc. Inst. Stat. Math. 57, no.1, 3-16 (2009)
[2] 離散ヘッジ戦略の漸近有効性 [Asymptotic efficiency for discrete hedging strategies], selected by FTRI (2009), available here Papers submitted and discussion papers
[1] Discretization error of stochastic integrals
(2009)
[2] Asymptotically efficient discrete hedging (2009), available here [3] Asymptotic Analysis for Stochastic Volatility: Edgeworth expansion (2008), available here Recent Talks
2009
[1] Mar 17 / SAPS VII / Universite du Maine [2] Mar 28 / 日本数学会 / 東京大学 予稿1 予稿2 [3] Apr 17 / 応用統計ワークショップ / 東京大学 [4] Jun 30 / Workshop on Stochastic Analysis & Finance / City Univ. of Hong Kong [5] Jul 9 / 日本OR学会研究部会「ファイナンス理論の展開」第4回研究会 [6] Aug 11 / Computational Finance / Kyoto Univ. [7] Sep 25 / 日本数学会 / 大阪大学 予稿 [8] Oct 22 / 統計数学セミナー / 東京大学 [9] Nov 28 / One day seminor ``Finance, Stochastics and Asymptotic Analysis'' / Osaka Univ. [10] Dec 4 / 中之島ワークショップ / 大阪大学中之島センター [11] Dec 22 / 確率論セミナー / 大阪大学 2010 [1] Jan 29 / Bachelier Colloquium / Metabief [2] Feb 23 / Workshop on Stochastic Analysis and Statistical Inference V / Univ. of Tokyo Lectures (in Japanese)
2008 高頻度データ解析序論/Introduction to High-frequency Data Analysis
2009 高頻度データ解析序論/Introduction to High-frequency Data Analysis 2009 高頻度データ解析序論（Rによる演習）/High-frequency Data Analysis with R
平成21年度活動報告書
Discussion Papers Volatility Index Japan Center for the Study of Finance and Insurance, Osaka University Seminar on Probability and Statistics, the Univ. of Tokyo Thanks to Kengo Kamatani for web design |