研究者
J-GLOBAL ID：200901010075216835
更新日: 2024年01月17日
相原 伸一
アイハラ シンイチ | Aihara Ichi Shin
所属機関・部署：
職名：
教授
研究キーワード (2件)：
確率システム論
, Stochastis systems theory
競争的資金等の研究課題 (2件)：
- 確率システム理論
- Stochastic systems theory
MISC (237件)：
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ShinIchi Aihara, Arunabha Bagchi. ADAPTIVE FILTERING FOR STOCHASTIC RISK PREMIA IN BOND MARKET. INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL. 2012. 8. 3B. 2203-2214
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ShinIchi Aihara, Arunabha Bagchi. ADAPTIVE FILTERING FOR STOCHASTIC RISK PREMIA IN BOND MARKET. INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL. 2012. 8. 3B. 2203-2214
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ShinIchi Aihara, Arunabha Bagchi, Saikat Saha. IDENTIFICATION OF BATES STOCHASTIC VOLATILITY MODEL BY USING NON-CENTRAL CHI-SQUARE RANDOM GENERATION METHOD. 2012 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH AND SIGNAL PROCESSING (ICASSP). 2012. 3905-3908
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ShinIchi Aihara, Arunabha Bagchi, Saikat Saha. IDENTIFICATION OF BATES STOCHASTIC VOLATILITY MODEL BY USING NON-CENTRAL CHI-SQUARE RANDOM GENERATION METHOD. 2012 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH AND SIGNAL PROCESSING (ICASSP). 2012. 3905-3908
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ShinIchi AIHARA, Arunabha BAGCHI, Saikat SAHA. Identification Problem for Heston Stochastic Volatility Model by Using Non-central Chi-Square Random Generation Method. Proceedings of the 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications. 2011. 229-234
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書籍 (4件)：
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A semigroup approach to the maximumlikelihood stateestimation ofstochastic parabolicsystems 共著
Progress in Nonlinear Differential Equations and Their Applications 2000
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A semigroup approach to the maximumlikelihood stateestimation ofstochastic parabolicsystems 共著
Progress inNonlinear Differential Equations andTheir Applications 2000
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A semigroup approach to the maximumlikelihood stateestimation ofstochastic parabolicsystems 共著
Progress in Nonlinear Differential Equations and Their Applications 2000
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A semigroup approach to the maximumlikelihood stateestimation ofstochastic parabolicsystems 共著
Progress inNonlinear Differential Equations andTheir Applications 2000
講演・口頭発表等 (26件)：
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IDENTIFICATION OF BATES STOCHASTIC VOLATILITY MODEL BY USING NON-CENTRAL CHI-SQUARE RANDOM GENERATION METHOD
(2012 IEEE International Conference on Acoustics, Speech, and Signal Processing 2012)
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Estimating Volatility and Model Parameters of Stochastic Volatility Models with Jumps Using Exact Particle Filter
(7th World Congress of the Bachelier Finance Society 2012)
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IDENTIFICATION OF BATES STOCHASTIC VOLATILITY MODEL BY USING NON-CENTRAL CHI-SQUARE RANDOM GENERATION METHOD
(2012 IEEE International Conference on Acoustics, Speech, and Signal Processing 2012)
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Estimating Volatility and Model Parameters of Stochastic Volatility Models with Jumps Using Exact Particle Filter
(7th World Congress of the Bachelier Finance Society 2012)
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Identification Problem for Heston Stochastic Volatility Model by Using Non-central Chi-Square Random Generation Method
(ISCIE ・ The 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications 2011)
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学歴 (4件)：
- - 1977 京都大学 工学研究科 精密工学
- - 1977 京都大学
- - 1972 京都工芸繊維大学 工芸学部 生産機械工学科
- - 1972 京都工芸繊維大学
学位 (1件)：
委員歴 (1件)：
- 2006 - 2014 日本金融 証券計量 工学学会 論文誌(Asia-Pacific Financial Markets) の編集者
所属学会 (2件)：
日本金融 証券計量 工学学会
, Janapese Association of Financial Econometrics and Engineering
