プロフィール（Curriculum Vitae）

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, Lévy Processes and their Fluctuations Theory.

Education:

• Ph.D. in Operations Research and Financial Engineering,   Princeton University, May 2005.
• M.S. in Math/Stats, Courant Institute of Mathematical Science, New York University.
• M.B.A. in Finance, Wharton School, U. Penn.
• B.A. in Econ., Kyoto University, Japan.

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.
• 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, S14～S18.
   Financial Engineering II: F08～F15, F17, F19, F21.
   Financial Engineering III: S09, F11~F14, F16, F18, F20, F22.
   Numerical Computations for Finance: F19, F20, S22.　
• Undergrad:
   Financial Engineering: S08～S11, S13, S15, S17, S19, S22.
   Derivative Securities: F08～F10, F12, F14, S16, S18, S20.
   Linear Algebra: S10～S12.
   

Preprints:

• A Forward-Looking Measure of Credit Risk (2023) (with R. Kevkhishvili) [ SSRN ]
• On Decomposition of the Last Passage Time of Diffusions (2022) (with R. Kevkhishvili) [ Arxiv ]
• A New Approach to Estimating Loss-Given-Default Distribution (2022) (with R. Kevkhishvili) [ Arxiv ]
• Optimal Stopping of the Maximum Process in a Lévy Model (2016) (with T. Oryu)  [ PDF ]　

Refereed Journal Publications:  

• Time Reversal and Last Passage Time of Diffusions with Applications to Credit Risk Management (with R. Kevkhishvili),
  Finance and Stochastics: 24(3) 795-825, 2020. [ PDF ]
• A Direct Solution Method for Pricing Options in Regime-switching Models (with R. Kevkhishvili),
  Mathematical Finance: 30 (2) 547-576, 2020 (online July 2019). [ PDF ]
• An Analysis of Simultaneous Company Defaults Using a Shot Noise Process (with R. Kevkhishvili),
  Journal of Banking and Finance : 80  135-161, 2017.  [ PDF ]
• A Direct Solution Method for Pricing Options involving the Maximum Process (with T. Oryu),
  Finance and Stochastics: 21(4) 967-993, 2017. [ 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 Framework for the Study of Expansion Options, Loan Commitments and Agency Costs,
  Journal of Corporate Finance: 15 (3) 345-357, 2009. [ 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 ]
• Optimal Re-Insurance Strategy under Fixed Cost and Delay (with V. R. Young),
  Stochastic Processes and Their Applications: 119 (3) 1015-1034, 2009. [ 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 ]
• Optimizing Venture Capital Investments in a Jump Diffusion Model (with E. Bayraktar),
  Mathematical Methods of Operations Research: 67 (1) 21-42, 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, 11th World Congress, Hong Kong (online), June 13-17, 2022.
• The Bachelier Finance Society, 10th World Congress, Dublin, July 16-20, 2018.
• Hitotsubashi University, Graduate School of Economics, Kunitachi, April 27, 2018.
• The Bachelier Finance Society, 9th World Congress, New York, 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, 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, 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, July 21-24, 2004.

Selected Working Papers:

• A Model for Bank’s Asset Securitization Program (with K. Hosono) [ SSRN ]
• An Analysis of CDS Market Liquidity by the Hawkes Process (with Y. Kato and T. Sawaki) [SSRN]

Grants & Awards:

• P.I., Grant-in-Aid for Scientific Research (C) No. 23K01467, Japan Society for the Promotion of Science, 2023-2025.
• P.I., Grant-in-Aid for Scientific Research (C) No. 18K01683, Japan Society for the Promotion of Science, 2018-2022.
• 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.
• P.I., Grant-in-Aid for Scientific Research (C) No. 20530340, Japan Society for the Promotion of Science, 2008-2010.

Doctoral Students:

• Tadao Oryu : “An Excursion-theoretic Approach to Optimal Stopping Problems” (March 2017).
• Yûki Shigeta : “Regime Switching and Asset Allocation” (September 2016).   
• Rusudan Kevkhishvili : “A Study of Approximations and Transformations of Markov Processes and their Applications to Credit Risk Analysis” (March 2019).
• Terutoshi Mita: “Estimation of Unobservable Random Processes and Applications to Financial Engineering” (March 2023).

 Last updated June 30, 2023 by Masa Egami 【江上雅彦】