Rchr
J-GLOBAL ID：200901006232466312
Update date: Jan. 30, 2024
Egami Masahiko
エガミ マサヒコ | Egami Masahiko
Affiliation and department：
Job title：
Associate Professor,Associate Professor
Homepage URL (1)：
http://www.econ.kyoto-u.ac.jp/~egami/
Research field (3)：
Applied mathematics and statistics
, Mathematical analysis
, Money and finance
Research keywords (3)：
Financial Engineering
, Optimization
, Markov Processes
Research theme for competitive and other funds (5)：
- 2018 - 2023 ファイナンス工学における動学的最適化問題と派生証券分析の高度化
- 2014 - 2018 Detecting structural changes in the capital markets and its application to the investment theory
- 2011 - 2014 An behavior finance approach to asset price correlations and applications to financial engineering
- 2010 - 2012 Development of financial risk management and supervision as an application of dynamic optimization theory
- 2008 - 2010 Dynamic Analysis of Management Strategies via Complex Real Options Theory
Papers (22)：
Books (1)：
-
金融工学ハンドブック (第12章担当)
朝倉書店 2009
Lectures and oral presentations (21)：
-
A new approach to estimating loss-given-default distribution
(Bachelier Finance Society, 11th World Congress 2022)
-
An application of time reversal to credit risk management
(Bachelier Finance Society, 10th World Congress 2018)
-
An application of time reversal to credit risk management
(一橋大学経済学研究科 経済統計セミナー 2018)
-
Explicit solutions for optimal stopping of the maximum process with absorbing boundary that varies with it
(Bachelier Finance Society, 9th World Congress 2016)
-
拡散過程とその最大値に関する最適停止問題の変位理論による解法について
(日本オペレーションズリサーチ学会・春季研究発表会 2016)
ｍore...
Education (2)：
- - 2005 Princeton University Operations Research and Financial Engineering
- - 1984 Kyoto University Faculty of Economics
Professional career (1)：
- Ph.D. (Princeton University)
Work history (3)：
- 2010/12 - 現在 Kyoto University Graduate School of Economics Professor
- 2007/08 - 2010/11 Kyoto University Graduate School of Economics Associate Professor
- 2005/09 - 2007/07 University of Michigan Department of Mathematics Assistant Professor
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