Our Seminar

Research Interest:

• Financial Engineering / Mathematical Finance: Credit Risk Models, Corporate Finance, Stochastic Optimization (optimal stopping, stochastic control) applied to Financial Decision-Making, Contingency Claim Pricing.
• Applied Probability: Markov Processes, Stochastic Calculus, Levy Processes, Jump Diffusion Models.

Education:

• Ph.D. Princeton University.
• M.S. (Math/Stats) Courant Institute, New York University.
• M.B.A. (Finance) Wharton School, U. of Penn.
• B.A. (Econ.) Kyoto University, Japan.

Employment History:

• 2007.8-     Graduate School of Economics, Kyoto University, Associate Professor.
• 2005.9-2007.7. Dept of Mathematics, University of Michigan, Assistant Professor.
• 2001.9-2005.6. Dept 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:

[Kyoto]

• Graduate Courses:
   Financial Engineering I  [Probability and Stochastic Processes] (Fall 2007, Spring 2008, Spring 2009)
   Financial Engineering II [Stochastic Calculus and Financial Applications] (Fall 2008, Fall 2009)
   Financial Engineering III [Special Topics] (Spring 2009)
•  Undergrad Courses:
   Financial Engineering (Spring 2008, Spring 2009)
   Derivative Securities (Fall 2008, Fall 2009)
   Readings in Economics (Fall 2007)
   Introductory Statistics (Fall 2009)

[U. Mich]

•  Math 526 Stochastic Processes (Winter 2007)
•  Math 525 Probability Theory (Fall 2006)
•  Math 425 Introduction to Probability (Spring 2006)
•  Math 423 Mathematics of Finance (Winter 2006, Fall 2006, Spring 2007)
•  Math 424 Compound Interest and Life Insurance (Fall 2005)
•  Math 115 Calculus I (Fall 2005)

Refereed Journal Publications:

• On the One-Dimensional Optimal Switching Problem (with E. Bayraktar),
  Mathematics of Operations Research to appear. [ PDF ]
• A Unified Treatment of Dividend Payment Problems Under Fixed Cost and Implementation Delays (with E. Bayraktar),
  Mathematical Methods of Operations Research to appear. [ 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 ReInsurance 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 [Link]: 30 (2) 341-364, 2006. [ PDF ]

Preprints:

• 信用リスク管理のためのアラームシステム構築 (with K. Yamazaki) (2009)   [ PDF ] English version coming soon.
• A Game Options Approach to the Investement Problem with Convertible Debt Financing (2008, rev. 2009) Submitted. [ PDF ]
• Beta Smile and Coskewness: Theoretical and Empirical Results in Options Markets (with Y. Shu, L. Taylor and W. Weng) Submitted. [ PDF ]
• Optimal Stopping Problems for Asset Management (with S. Dayanik). [ under revision ]

Conference and Seminar Presentations:

• KIER-TMU International Workshop on Financial Engineering 2009, Tokyo, Japan, August 3-4, 2009.
• ``Decision-Making Modeling under Uncertainty", Operations Research Society of Japan, Osaka, Japan, July 18, 2009
• Keio University, Research Center for Mathematical Economics, Tokyo, Japan, April 27, 2009.
• The 2009 Spring National Conference of Operations Research Society of Japan, Tsukuba, Japan, March 17-18, 2009.
• ``2008 Mathematical Economics'' in Research Institute for Mathematical Science, Kyoto University, Kyoto, Japan, November 28-30, 2008.
• Daiwa Young Researchers International Workshop, Kyoto University, Kyoto, Japan, March 3-5, 2008.
• Hitotsubashi University, Graduate School of International Corporate Strategy, Tokyo, Japan, 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, Japan, December 1-2, 2007.
• University of Michigan, Department of Mathematics, Ann Arbor, MI, November 16, 2006.
• Kobe University, Department of Mathematics, Kobe, Japan, August 23, 2006.
• The Bachelier Finance Society, 4th World Congress, Tokyo, Japan, August 17-20, 2006.
• Nagoya University, School of Economics, Nagoya, Japan, 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.

Grants:

• P.I., Grant-in-Aid for Scientific Research (C) No. 20530340, Japan Society for the Promotion of Science, 2008-2011.