Masahiko Egami

説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: http://www.econ.kyoto-u.ac.jp/~egami/title-logo.gif
説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: 説明: http://www.econ.kyoto-u.ac.jp/~egami/cat.jpg Masahiko EGAMI

 

Professor, Graduate School of Economics
Kyoto University

 
Yoshida-Honmachi
Sakyo-ku, Kyoto, 606-8501 Japan

Email: egami[at] econ.kyoto-u.ac.jp[No spam]
                                                                                                                                                   

 


Our Seminar

 

プロフィール

Research Interest:

  • Financial Engineering / Mathematical Finance: Stochastic Optimization (optimal stopping, stochastic control) applied to Finance Problems, Contingency Claim Pricing, Credit Risk Models, Corporate Finance.
  • Applied Probability: Markov Processes, Diffusions, Jump Models, Lévy Processes and their Fluctuations Theory.

Education:

Employment History:

  • 2010.12-              Graduate School of Economics, Kyoto University, Professor.
  • 2007.8-2010.11:  Graduate School of Economics, Kyoto University, Associate Professor.
  • 2005.9-2007.7:    Department of Mathematics, University of Michigan, Assistant Professor.
  • (2001.9-2005.6:   Department of ORFE, Princeton University, Ph.D. Student).
  • 1997.1-2001.7:    Sumitomo Trust and Banking, Int'l Credit Division, Tokyo, Senior Manager.
  • 1990.6-1996.12:  Sumitomo Trust and Banking, New York, Vice President.

Teaching:

  • Graduate:
     Financial Engineering I: S08
    S12, S14S17.
     Financial Engineering II: F08
    F15, F17.
     Financial Engineering III: S09, F11~F14, F16.
  •  Undergrad:
     Financial Engineering: S08
    S11, S13, S15, S17.
     Derivative Securities: F08
    F10, F12, F14, S16.
     Linear Algebra: S10
    S12.
     

Preprints:

  • An Application of Time Reversal to Credit Risk Management (2017) (with R. Kevkhishvili) [ Arxiv ]
  • A Model for Bank’s Asset Securitization Program (2017) (with K. Hosono) [ SSRN ]
  • A Direct Solution Method for Pricing Options involving Maximum Process (2016) (with T. Oryu) [ PDF ]
  • Optimal Stopping of Maximum Processes in a Lévy Model (2016) (with T. Oryu)  [ PDF ]  *original version in 2014
  • An Irreversible Change of Correlations in the US Equities Market and Difficulties in Using the Information (2016) (with Y. Shigeta and K. Wakai) [ PDF ]  

Refereed Journal Publications:  

  • An Analysis of Simultaneous Company Defaults Using a Shot Noise Process (with R. Kevkhishvili),
    Journal of Banking and Finance : To Appear  [ PDF ]
  • An Excursion-theoretic Approach to Regulator’s Bank Reorganization Problem (with T. Oryu),
    Operations Research : 63 (3) 527-539, 2015. [ PDF ]
  • Phase-type Fitting of Scale Functions for Spectrally Negative Lévy Processes (with K. Yamazaki),
    Journal of Computational and Applied Mathematics: 264 1-22, 2014. [ PDF ]
  • On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models (with K. Yamazaki),
    Advances in Applied Probability: 46 (1) 139-167, 2014. [ PDF ]
  • Default Swap Games Driven by Spectrally Negative Lévy Processes (with T. Leung and K. Yamazaki),
    Stochastic Processes and Their Applications: 123 (2) 347-384, 2013. [ PDF ]
  • Precautionary Measures for Credit Risk Management in Jump Models (with K. Yamazaki),
    Stochastics: 85 (1) 111-143, 2013. [ PDF ]
  • Optimal Stopping Problems for Asset Management (with S. Dayanik),
    Advances in Applied Probability: 44 (3) 655-677, 2012. [ PDF ]
  • A Game Options Approach to the Investment Problem with Convertible Debt Financing,
    Journal of Economic Dynamics and Control: 34 (8) 1456-1470, 2010. [ PDF ]
  • On the One-Dimensional Optimal Switching Problem (with E. Bayraktar),
    Mathematics of Operations Research: 35 (1) 140-159, 2010. [ PDF ]
  • A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays (with E. Bayraktar),
    Mathematical Methods of Operations Research: 71(2) 325-351, 2010. [ PDF ]
  • A Continuous-Time Search Model with Job Switch and Jumps (with M. Xu),
    Mathematical Methods of Operations Research: 70 (2) 241-267, 2009. [ PDF ]
  • A Framework for the Study of Expansion Options, Loan Commitments and Agency Costs,
    Journal of Corporate Finance: 15 (3) 345-357, 2009. [ PDF ]
  • Optimal Re-Insurance Strategy under Fixed Cost and Delay (with V. R. Young),
    Stochastic Processes and Their Applications: 119 (3) 1015-1034, 2009. [ PDF ]
  • Optimizing Venture Capital Investments in a Jump Diffusion Model (with E. Bayraktar),
    Mathematical Methods of Operations Research: 67 (1) 21-42, 2008. [ PDF ]
  • Indifference Prices of Structured Catastrophe (CAT) Bonds (with V. R. Young),
    Insurance: Mathematics and Economics: 42 (2) 771-778, 2008. [ PDF ]
  • A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions,
    SIAM Journal on Control and Optimization: 47 (3) 1191-1218, 2008. [ PDF ]
  • An Analysis of Monotone Follower Problems for Diffusion Processes (with E. Bayraktar),
    Mathematics of Operations Research: 33 (2) 336-350, 2008. [ PDF ]
  • The Effects of Implementation Delay on Decision-Making under Uncertainty (with E. Bayraktar),
    Stochastic Processes and Their Applications: 117 (3) 333-358, 2007. [ PDF ]
  • An Approximation Method for Analysis and Valuation of Credit Correlation Derivatives (with K. Esteghamat),
    Journal of Banking and Finance: 30 (2) 341-364, 2006. [ PDF ]

 

Invited Talks and Conference Presentations:

  • The Bachelier Finance Society, 9th World Congress, New York, NY, July 15-19, 2016.
  • The 2016 Spring National Conference of the Operations Research Society of Japan, Yokohama, March 17-18, 2016.

 

  • The Bachelier Finance Society, 8th World Congress, Brussels, Belgium, June 2-6, 2014.
  • International Conference on Portfolio Selection and Asset Pricing in Financial Markets, KIER, Kyoto, March 28-29, 2014.
  • Workshop in Financial Engineering and Mathematical Finance 2013, Osaka University (CSFI), Osaka, December 5-6, 2013
  • YNU-Nanzan Finance Workshop 2013, YNU, Yokohama, November 16-17, 2013.
  • “Topics in Lévy and Jump Processes”, Osaka University (CSFI), Osaka, September 7, 2012.
  • The Bachelier Finance Society, 7th World Congress, Sydney, Australia, June 19-22, 2012.
  • The 2011 Fall National Conference of the Operations Research Society of Japan, Kobe, September 15-16, 2011.

 

  • 2010 CREST and Sakigake, International Symposium on “Asymptotic Statistics, Risk and Computation in Finance and Insurance”, Tokyo, December 14-18, 2010.
  • KIER-TMU International Workshop on Financial Engineering 2009, Tokyo, August 3-4, 2009.
  • “Decision-Making Modeling under Uncertainty”, The Operations Research Society of Japan, Osaka, July 18, 2009.
  • Keio University, Research Center for Mathematical Economics, Tokyo, April 27, 2009.
  • The 2009 Spring National Conference of the Operations Research Society of Japan, Tsukuba, March 17-18, 2009.
  • “Mathematical Economics”, Research Institute for Mathematical Science, Kyoto University, Kyoto, November 28-30, 2008.
  • Daiwa Young Researchers International Workshop, Kyoto University, Kyoto, March 3-5, 2008.

 

  • Hitotsubashi University, Graduate School of International Corporate Strategy, Tokyo, December 18, 2007.
  • Workshop in Financial Engineering and Mathematical Finance, Center for the Study of Finance and Insurance, Osaka University,
    (co-hosted by the Operations Research Society of Japan), Osaka, December 1-2, 2007.
  • University of Michigan, Department of Mathematics, Ann Arbor, MI, November 16, 2006.
  • Kobe University, Department of Mathematics, Kobe, August 23, 2006.
  • The Bachelier Finance Society, 4th World Congress, Tokyo, August 17-20, 2006.
  • Nagoya University, School of Economics, Nagoya, July 27, 2006.
  • University of Michigan, Department of Mathematics, Ann Arbor, MI, January 26, 2006.

 

  • The 13th INFORMS Applied Probability Society Conference, Ottawa, Canada, July 6-8, 2005.
  • Stanford University, Department of Management Science and Engineering, Stanford, CA, February 2005.
  • University of North Carolina at Charlotte, Department of Mathematics and Statistics, Charlotte, NC, February 2005.
  • Claremont Graduate University, Department of Mathematical Science, Claremont, CA, January 2005.
  • Kellogg School of Business, Northwestern University, Evanston, IL, January 2005.
  • The Civitas Foundation Finance Seminar, Princeton University, Princeton, NJ, November 2004.
  • The INFORMS Annual Meeting, Denver, CO, October 24-27, 2004.
  • The Bachelier Finance Society, 3rd World Congress, Chicago, IL, July 21-24, 2004.

 

Working Papers:

  • An Analysis of CDS Market Liquidity by the Hawkes Process (with Y. Kato and T. Sawaki) [SSRN]
  • Beta Smile and Coskewness: Theoretical and Empirical Results in Options Markets (with Y. Shu, L. Taylor and W. Weng) [ PDF ]

Grants & Awards:

  • P.I., Grant-in-Aid for Scientific Research (B) No. 26285069, Japan Society for the Promotion of Science, 2014-2017.
  • P.I., Grant-in-Aid for Scientific Research (B) No. 23330104, Japan Society for the Promotion of Science, 2011-2013.
  • Co-P.I., Grant-in-Aid for Scientific Research (B) No. 22330098, Japan Society for the Promotion of Science, 2010-2012.
  • P.I., Grant-in-Aid for Scientific Research (C) No. 20530340, Japan Society for the Promotion of Science, 2008-2010.
  • 信用リスク管理のためのアラームシステム(2009) (with K. Yamazaki) 金融工学研究所懸賞論文入選 [ PDF ]

Doctoral Students:

  • Tadao Oryu :An Excursion-theoretic Approach to Optimal Stopping Problems”, March 2017.
  • Yűki Shigeta :Regime Switching and Asset Allocation”, September 2016.   
  • Rusudan Kevkhishvili

    


Last updated March 31, 2017 by Masa Egami [江上雅彦].