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J-GLOBAL ID：201601012243080373   Update date: Feb. 21, 2025

ISHITANI KENSUKE

イシタニ ケンスケ | ISHITANI KENSUKE
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Affiliation and department：
Tokyo Metropolitan University

About Tokyo Metropolitan University


Research field  (4)： Mathematical informatics ,  Applied mathematics and statistics ,  Basic mathematics ,  Basic analysis
Research keywords  (6)： Mathematical Finance ,  Stochastic Analysis ,  Numerical Analysis ,  Financial Risk Management ,  Stochastic Control Theory ,  乱数生成
Research theme for competitive and other funds  (6)：
  • 2022 - 2025 バリア・オプションのGreeksの統一的な計算手法の確立
  • 2023 - 2024 確率統計の教材開発における生成AIの利用
  • 2018 - 2021 バリア・オプションのGreeksの統一的な計算手法の確立
  • 2017 - 2018 バリア・オプションのGreeksの統一的な計算手法の確立
  • 2015 - 2016 マーケットインパクトの非線形性、不確実性がトレーダーの最適執行戦略に与える影響に関する研究
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Papers (24)：
ｍore...
Books (3)：
  • Recent advances in financial engineering 2012
    World Scientific 2014 ISBN:9789814571630
  • On an optimal control problem in mathematical finance and divergence theorem in path spaces
    Graduate School of Mathematical Sciences, The University of Tokyo 2007 ISBN:2002433216
  • ガイダンス 確率統計:基礎から学び本質の理解へ
    サイエンス社 ISBN:9784781915265
Lectures and oral presentations  (20)：
  • Higher order integration by parts formulae for Wiener measures on a path space between two curves
    (日本数学会 2024年度年会 2024)
  • An invariance principle for random walk bridges conditioned to stay between two curves
    (日本数学会 2024年度年会 2024)
  • Wiener汎関数積分に対する微分連鎖律を用いたダブルバリア・オプションの1次Greeks計算法
    (2024)
  • Construction and sample path properties of Brownian house-moving
    (ICIAM 2023 TOKYO 2023)
  • On the weak convergence of conditioned Bessel bridges
    (日本数学会 2022年度秋季総合分科会 (統計数学) 2022)
ｍore...
Education (1)：
  • 2004 - 2007 The University of Tokyo Graduate School of Mathematical Sciences Doctoral Program in Mathematical Sciences
Work history (6)：
  • 2020/04 - 現在 Tokyo Metropolitan University Department of Mathematical Sciences, Graduate School of Science Associate Professor
  • 2016/04 - 2020/03 Tokyo Metropolitan University Department of Mathematical Sciences, Graduate School of Science
  • 2013/04 - 2016/03 Meijo University Department of Mathematics, Faculty of Science and Technology Assistant Professor
  • 2012/04 - 2013/03 Tokyo Metropolitan University School of Business Administration, Faculty of Urban Liberal Arts Assistant Professor
  • 2008/04 - 2012/03 Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. (MTEC) Research Division Researcher
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Committee career (11)：
  • 2024/04 - 2027/03 The Japan Society for Industrial and Applied Mathematics Secretary Editor of JSIAM Letters
  • 2024/03 - 2025/02 日本数学会 2024年度 地方区代議員 (代議員)
  • 2020/04 - 2024/03 The Japan Society for Industrial and Applied Mathematics Associate Editor of JSIAM Letters
  • 2021/04 - 2023/03 独立行政法人大学入試センター 数学I問題作成部会委員
  • 2017/04 - 2021/03 The Japan Society for Industrial and Applied Mathematics Associate Editor
Show all
Awards (1)：
  • 2015/09 - The Japan Society for Industrial and Applied Mathematics JSIAM Best Paper Award (2015) Non-Linearity, Resilience, Uncertainty of Market Impact Functions and Their Effects on Execution Strategies
Association Membership(s) (3)：
The Japanese Association of Financial Econometrics and Engineering ,  THE JAPAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS ,  THE MATHEMATICAL SOCIETY OF JAPAN
※ Researcher’s information displayed in J-GLOBAL is based on the information registered in researchmap. For details, see here.

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