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

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).