京都大学 大学院経済学研究科・経済学部

DEPARTMENT FACULTY

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Senior Lecturer

Rusudan KEVKHISHVILI

Basic Information
  • Academic Degrees:
    Ph.D. in Economics (Kyoto University)
  • Courses in charge:

    [Undergraduate] Corporate Finance, Introductory Seminar

    [Graduate] Financial Engineering 1, Group Work
  • Fields of Research:
    Financial Engineering
  • Keywords:
    Credit Risk, Derivative Pricing, Markov Processes, Diffusions
Selected Publications
  • “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), American Risk & Insurance Association
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