Imamura Yuri

イマムラユリ | Imamura Yuri

Affiliation and department：
Job title： Assistant Professor

Research field (4)： Applied mathematics and statistics , Basic mathematics , Mathematical analysis , Money and finance

Research keywords (5)： numerical analysis , option pricing , stochastic processes , stochastic differential equation , Probability, Mathematical Finance

Research theme for competitive and other funds (4)：

2020 - 2025 拡散過程の到達時間分布と数理ファイナンスへの応用
2014 - 2018 Asymptotic static hedging of a timing risk
2013 - 2018 Heat Kernel Approach in Financial Engineering of New Generation
2012 - 2013 Generalization of Put-Call Symmetry Method and Its Applications

Papers (16)：

Yuri Imamura, Ju-Yi Yen. An Extension with Illustrations of the Azéma-Yor Algorithm for Solving Skorokhod Embedding Problem. Peter Carr Gedenkschrift. 2023. 868
Yuri Imamura, Benyanee Kosapong. Portfolio optimization with conditional Value-at-Risk. The Science Reports of Kanazawa University. 2023. 66(2023)
Jirô Akahori, Jie Yen Fan, Yuri Imamura. On the convergence order of a binary tree approximation of symmetrized diffusion processes. Mathematics and Computers in Simulation. 2023. 211. 263-277
J. Akahori, F. Barsotti, Y. Imamura. Hedging error as generalized timing risk. Quantitative Finance. 2023. 1-11
Sutipon Punaluek, Yuri Imamura. Numerical computation of Gerber-Shiu functionfor insurance surplus process with additional investment. International Journal of Mathematics for Industry. 2023. 15. 01. 2350010

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Lectures and oral presentations (15)：

離散モデルにおけるweak reflection principle
(2019)
離散時間モデルにおけるCarr -Nadtochiy変換
(Fukuoka University Probability Seminar 2018)
A Discrete Scheme of Static Hedging of Barrier Options
(Quantitative Methods in Finance 2018 Conference 2018)
A Discrete Version of Carr-Nadtochiy Transform
(Workshop Stochastic Processes with Applications in Finance and Related Fields 2018)
A Discrete Scheme of Static Hedging of Barrier Options
(Second Interdisciplinary and Research Alumni Symposium iJaDe2018 2018)

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Education (3)：

2009 - 2011 Ritsumeikan University Graduate School, Division of Integrated Science
2007 - 2009 Ritsumeikan University Graduate School, Division of Integrated Science Mathematics
2003 - 2007 Ritsumeikan University Faculty of Science Department of Mathematical Sciences

Professional career (1)：

Doctor of Science (Ritsumeikan University)

Work history (4)：

2019/04 - 2024/03 Kanazawa University School of Mathematics and Physics Associate Profesor
2016/04 - 2019/03 School of Management, Tokyo University of science, Assistant Professor
2013/04 - 2016/03 Department of Mathematical Science, Ritsumeikan University Assistant Professor
2012/04 - 2013/03 Department of Mathematical Science, Ritsumeikan University Administrative Assistant

Committee career (9)：

2023/08 - 現在 The Japanese Association of Financial Econometrics and Engineering director
2023/08 - 現在 The Japanese Association of Financial Econometrics and Engineering delegate
2018/04/01 - 2021/03/31 The Japan Society for Industrial and Applied Mathematics editorial committee member
2018/04/01 - 2021/03/31 The Japan Society for Industrial and Applied Mathematics editorial committee member
2017/07/01 - 2019/06/30 日本金融・証券計量・工学学会学会理事等

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Association Membership(s) (2)：

THE MATHEMATICAL SOCIETY OF JAPAN , The Japanese Association of Financial Econometrics and Engineering

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