Nakamura Nobuhiro

Affiliation and department：
Job title： Professor

Research field (1)： Money and finance

Research keywords (1)： finance

Research theme for competitive and other funds (14)：

2023 - 2026 Cointegration, Self- and Mutual- Excitation and Applications to Asset Pricing and Investment Theories
2021 - 2024 階層的ボラティリティ・共歪度・共分散の資産価格への影響の分析
2020 - 2023 統計的学習に基づく資産価格・投資理論の研究
2018 - 2020 高次モーメント(ボラティリティ・スキューネス)を用いた資産価格と投資運用の分析
2017 - 2020 高頻度・オプションデータに基づく資産価格・投資理論の研究

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Papers (44)：

Kensuke Kato, Nobuhiro Nakamura. PDE-Based Bayesian Inference of CEV Dynamics for Credit Risk in Stock Prices. Asia-Pacific Financial Markets. 2023
Nobuhiro Nakamura. PDE-Based Bayesian Inference of Quadratic Variance Model for Pricing VIX and VVIX. 2023. 59. 夏季. 61-73
Nobuhiro Nakamura, Kazuhiko Ohashi, Daisuke Yokouchi. Dynamic Relationship between Volatility Risk Premia of Stock and Oil Returns. Journal of Risk and Financial Management. 2023. 16. 3. 173-173
Kensuke Kato, Nobuhiro Nakamura. Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy. Physica A: Statistical Mechanics and its Applications. 2023. 612. 128489-128489
Impact of Stochastic Leverage to Implied Skewness in Option Markets: Comparison with Self-Exciting Jump Model. Proceedings of the 58-th JAFEE meeting. 2023. 58. Winter. 33-44

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MISC (3)：

中村信弘, 田畑謙二, 梅村勲. 13a-E-10 (E_6)_<HC>XSO(10)_<HF>に基づく超対称統一プレオン模型. 秋の分科会講演予稿集. 1985. 1985. 1. 21-21
Supersymmetric Composite Models with Non-renormalizable Interactions. Soryushiron Kenkyu. 1984. 69. 1. A101-A105
中村信弘, 田畑謙二, 梅村勲. 2p-RE-9 Masses of Composite Superfields by Non-renormalizabel Interactions. 年会講演予稿集. 1984. 39. 1. 33-33

Books (2)：

Lectures and oral presentations (72)：

Self-Exciting Jump, Inflation, and Cointegration in Arbitrage-Free Term Structure Models of Interest Rates
(2024)
PDE-Based Bayesian Inference of Quadratic Variance Model for Pricing VIX and VVIX
(2023)
Arbitrage-Free Co-Integrated Term Structure Model of Interest Rates towards Yield Curve Arbitrage
(2023)
確率的レバレッジ効果がオプション市場のインプライド・スキューに与える影響:自己励起型ジャンプモデルとの比較
(第58回日本金融・証券計量・工学学会冬季大会 2023)
Exploring Cointegrated Asset Dynamics:The Impact of Stochastic Variances and Mutually Exciting Jumps
(The 58-th JAFEE meeting 2023)

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Awards (2)：

2020/04 - The Japanese Association of Financial Econometrics and Engineering JAFEE PRIZE JAFEE PRIZE
2020/04 - 日本金融・証券計量・工学学会ジャフィー賞

Association Membership(s) (3)：

日本物理学会 , 日本金融・証券計量・工学学会 , 日本ファイナンス学会

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