Rchr
J-GLOBAL ID:200901096713978847
Update date: Sep. 27, 2024 Sekine Jun
セキネ ジュン | Sekine Jun
Affiliation and department: Job title:
Associate Professor
Homepage URL (1): https://sites.google.com/site/junsekine/home Research field (2):
Applied mathematics and statistics
, Basic mathematics
Research keywords (1):
mathematical finance
Research theme for competitive and other funds (21): - 2021 - 2022 Stochastic Measure-Distortion Processes for Risk Analysis with Heavy Tails and Power Laws - Applications to Climate Change Risk and the Emergence of Pandemics
- 2019 - 2022 Study on Applications of Backward Stochastic Differential Equations
- 2015 - 2019 Study on Dynamic Portfolio Insurance and Related Topics
- 2017 - 2017 Study on stochastic interpolation
- 2013 - 2016 Stochastic control on a long term and its applications
- 2012 - 2013 通貨オプション取引におけるオプションプレミアムの算出
- 2011 - 2013 Study on Large Deviations Control
- 2008 - 2012 Development of the methods of stochastic control and filtering in mathematical finance
- 2008 - 2010 Study of long-term risk-sensitive portfolio optimization in non-standard settings
- 2007 - 2010 Theory of stochastic analysis and its applications
- 2004 - 2007 Expected utility maximiaation problems and stochastic control
- 2004 - 2005 Max-Plus代数を用いた期待効用最大化問題の最適戦略の数値解析
- 2003 - 2005 Stochastic analysis and semi-classical problem in infinite dimensional spaces
- 2001 - 2004 RESEARCH on PRICING DERIVATIVES BASED ON RISK MEASURES
- 2002 - 2003 Nonlinear elliptic and parabolic PDEs, theories and applications
- 2001 - 2003 BELLMAN EQUATIONS OF RISK-SENRSITIVE STOCHASTIC AND THEIR APPLICATIONS
- 2001 - 2002 数理ファイナンス、及び関連した確率論・数値解析学の研究
- 2000 - 2002 Stochastic analysis on loop space
- 2000 - 2001 金融リスク評価システムの数理科学的研究
- 1998 - 2000 Risk-sensitive stochastic control and its singular limit
- 1998 - 1999 Siochastic Analysis on loop spaces
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Papers (36): -
Jun Sekine, Akihiro Tanaka. Notes on backward stochastic differential equations for computing XVA. Mathematics for Industry (Proceedings of the Forum "Math-for-Industry" 2018 Big Data Analysis, AI, Fintech, Math in Finances and Economics, Springer). 2021. 15-50
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Masaaki Fukasawa, Hitomi Maeda, Jun Sekine. On optimal thresholds for pairs trading in a one-dimensional diffusion model. The ANZIAM Journal. 2021. 63. 2. 104-122
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Andrea Macrina, Jun Sekine. Stochastic modelling with randomised Markov bridges. Stochastics. 2021. 93. 1. 29-55
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Hiroaki Hata, Jun Sekine. Risk-sensitive asset management in a Wishart-autoregressive factor model with Jumps. Asia-Pacific Financial Markets. 2017. 24. 3. 221-252
- Takashi Kato, Jun Sekine, Kenichi Yoshikawa. Order estimates for the exact Lugannani-Rice expansion. Japan Journal on Industrial and Applied Mathematics. 2016. 33. 1. 25-62
more... MISC (15): -
An Aspect of Risk Finance. Bulletin of the JSIAM. 2024. 34. 3. 20-25
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Jun Sekine. Backward Stochastic Differential Equations and Their Applications (IV). Applied Mathematics. 2020. 29. 4. 30-35
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Jun Sekine. Backward Stochastic Differential Equations and Their Applications (III). Applied Mathematics. 2019. 29. 3. 28-33
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Jun Sekine. Backward Stochastic Differential Equations and Their Applications (II). Applied Mathematics. 2019. 29. 2. 31-36
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Jun Sekine. Backward Stochastic Differential Equations and Their Applications (I). Applied Mathematics. 2019. 29. 1. 35-40
more... Books (3): - 応用数理ハンドブック
朝倉書店 2013 ISBN:9784254111415
- 数学ハンドブック[応用編]
朝倉書店 2011 ISBN:9784254111309
- 数理ファイナンス
培風館 2007 ISBN:9784563010874
Lectures and oral presentations (46): -
Quantum least square Monte-Carlo algorithm for solving backwardstochastic differential equations
(The 8th Asia Quantitative Finance Conference, Taipei 2024)
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Many-player Stochasic Games under Epstein-Zin Prefernces and Relative Performance Criteria
(JAFEE-ISM International Symposium on Quantitative Finance 2023)
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Many-player Stochasic Games under Epstein-Zin Prefernces and Relative Performance Criteria
(Osaka-UCL Mini-workshop on Stochastics, Numerics and Risk 2023)
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Epstein-Zin型再帰効用と相対パフォーマンス指標を用いたマルチプレイヤー確率微分ゲームの明示的均衡表現
(日本応用数理学会2022年度年会 2022)
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Backward stochastic difference equation driven by multidimensional random walk on a lattice: convergence analysis via Wasserstein central limit theorem
(Centre for Financial Mathematics Seminar, University of Wollongong, Australia 2021)
more... Education (3): - - 1994 The University of Tokyo Graduate School of Science
- - 1990 The University of Tokyo Graduate School, Division of Science
- - 1988 The University of Tokyo Faculty of Liberal Arts
Professional career (2): Work history (10): - 2010/06/01 - 現在 Osaka University Graduate School of Engineering Science Department of Systems Innovation Professor
- 2010/06/01 - 現在 Osaka University Center for Mathematical Modeling and Data Science
- 2010/06 - 現在 Osaka University Graduate School of Engineering Science
- 2008/06/01 - 2010/05/31 Osaka University Center for the Study of Finance and Insurance Specially Appointed Professor
- 2008/04 - 2010/05 Kyoto University Institute of Economic Research
- 2007/04 - 2008/03 Kyoto University Institute of Economic Research
- 2005/04 - 2007/03 Kyoto University Institute of Economic Research
- 2003/04/01 - 2005/03/31 Osaka University Graduate School of Engineering Science Department of Systems Innovation Associate Professor
- 1999/01 - 2003/03 Osaka University Graduate School of Engineering Science
- 1995/04 - 1998/12 MTBインベストメントテクノロジー研究所 研究員
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Association Membership(s) (2): Return to Previous Page