DEPARTMENT FACULTY
JAPANESE PAGE
Senior Lecturer
Basic Information
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- Academic Degrees:
- Ph.D. in Economics (Kyoto University)
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- Courses in charge:
- [Undergraduate] Derivative Securities, Readings in Humanities and Social Sciences (Economics, English)B-E1
- [Graduate] Financial Engineering 1, Group Work
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- Fields of Research:
- Financial Engineering
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- Keywords:
- Credit Risk, Derivative Pricing, Markov Processes, Diffusions
Selected Publications
- “A New Approach to Detecting Change in Credit Quality”, Journal of Risk, June 2022, Volume 24, Number 5, pp. 51-73.
- “Time Reversal and Last Passage Time of Diffusions with Applications to Credit Risk Management” (with Masahiko Egami), Finance and Stochastics, July 2020 (online May 2020), Volume 24, Issue 3, pp.795-825.
- “A Direct Solution Method for Pricing Options in Regime-Switching Models” (with Masahiko Egami), Mathematical Finance, April 2020 (online July 2019), Volume 30, Issue 2, pp.547-576.
- “An Analysis of Simultaneous Company Defaults Using a Shot Noise Process” (with Masahiko Egami), Journal of Banking and Finance, July 2017, Volume 80, pp.135-161.
Membership of Professional Organizations
- Nippon Finance Association,Society for Industrial and Applied Mathematics (SIAM), Japanese Association of Financial Econometrics and Engineering (JAFEE)
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