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

Show all

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
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
Andrea Macrina, Jun Sekine. Stochastic modelling with randomised Markov bridges. Stochastics. 2021. 93. 1. 29-55
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 (14)：

Jun Sekine. Backward Stochastic Differential Equations and Their Applications (IV). Applied Mathematics. 2020. 29. 4. 30-35
Jun Sekine. Backward Stochastic Differential Equations and Their Applications (III). Applied Mathematics. 2019. 29. 3. 28-33
Jun Sekine. Backward Stochastic Differential Equations and Their Applications (II). Applied Mathematics. 2019. 29. 2. 31-36
Jun Sekine. Backward Stochastic Differential Equations and Their Applications (I). Applied Mathematics. 2019. 29. 1. 35-40
関根順. 伊藤確率解析学と数理ファイナンス. 数学セミナー. 2015. 36-41

ｍore...

Books (3)：

Lectures and oral presentations (46)：

Quantum least square Monte-Carlo algorithm for solving backwardstochastic differential equations
(The 8th Asia Quantitative Finance Conference, Taipei 2024)
Many-player Stochasic Games under Epstein-Zin Prefernces and Relative Performance Criteria
(JAFEE-ISM International Symposium on Quantitative Finance 2023)
Many-player Stochasic Games under Epstein-Zin Prefernces and Relative Performance Criteria
(Osaka-UCL Mini-workshop on Stochastics, Numerics and Risk 2023)
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)
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)：

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

Show all

Association Membership(s) (2)：

日本応用数理学会 , 日本数学会

※ Researcher’s information displayed in J-GLOBAL is based on the information registered in researchmap. For details, see here.

Return to Previous Page