京都大学 大学院経済学研究科・経済学部

DEPARTMENT FACULTY

Professor

Masahiko EgamiActivity Database on
Education and Research

Date and Place of Birth
1961, Aichi
Degree (Awarding Institution)
Ph.D.in Operations Research and Financial Engineering (Princeton University)
COURSES
TAUGHT
Undergraduate: Financial Engineering theory, Derivative Securities theory
Graduate: Financial Engineering theory 1/2
Membership of Professional Organizations
  • Bachelier Finance SocietyInstitute of Mathematical Statistics
Main field of Research and Instruction
International Economics, International Finamce, International Macroeconomics, Keynes’ Monetary Economics
Topic(s) of Research in Progress
Selected Publications
  • “An Approximation Method for Analysis and Valuation of Credit Correlation Derivatives”(with K.Esteghamat),Jorunal of Banking and Finance 30(2) 341-364,2006.
  • “The Effects of Implementation Delay on Decision-Making under Uncertainty”(with E.Bayraktar),Stochastic Processes and Their Applications 117(3) 333-358,2007.
  • “An Analysis of Monotone Follower Problems for Diffusion Processes” (with E.Bayraktar),Mathematics of Operations Research: 33(2) 336-350, 2008.
  • “Optimizing Venture Capital Investments in a Jump Diffusion Model”(with E.Bayraktar),Mathematical Methods of Operations Research: 67(1) 21-42, 2008.
  • “A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions”, SIAM Journal on Control and Optimization: 47(3)1191-1218, 2008.
  • “A Framework for the Study of Expansion Options”, Loan Commitments and Agency Costs, Journal of Corporate Finance, 15(3), 345-357, 2009.
  • “Optimal Reinsurance Strategy under Fixed Cost and Delay”(with V.R.Young), Stochastic Process and Their Applications(forthcoming).
  • “A Continuous-Time Search Model with Job Switch and Jumps”(with M.Xu), Mathematical Methods of Operations Research(forthcoming).