Rchr
J-GLOBAL ID：201801006098154597
Update date: Oct. 04, 2024
Suzuki Ryoichi
スズキ リョウイチ | Suzuki Ryoichi
Affiliation and department：
Other affiliations (1)：
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The University of Florence
Department of Economics and Management
Homepage URL (1)：
https://sites.google.com/site/ryoichisuzukifinance/
Research field (1)：
Basic analysis
Research keywords (20)：
量子ウォーク
, 数理統計学
, データサイエンス
, 加法過程
, Quadratic Hedging
, Malliavin-Skorohod 解析
, Malliavin-Stein 法
, Nourdin-Peccati Calculus
, 金融工学
, 応用数学
, ゼータ関数
, 確率過程論
, 確率解析
, 最適化問題
, 数値解析
, 非完備市場
, 解析的数論
, 数理ファイナンス
, Malliavin解析
, 確率論
Research theme for competitive and other funds (1)：
- 2023 - 2026 加法過程に関連した確率過程とファイナンスの数理
Papers (13)：
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Nien-Lin Liu, Ryoichi Suzuki. An Empirical Analysis of Spot and Forward Interest Rates in Seven European Countries via Principal Component Analysis and the Malliavin-Mancino Method. Asia-Pacific Financial Markets. 2024
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Masahiro Handa, Noriyoshi Sakuma, Ryoichi Suzuki. A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$-pure jump additive processes and its application to portfolio optimization. Annals of Finance. 2024
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Takuya Nakagawa, Ryoichi Suzuki. Existence of density function for the running maximum of SDEs driven by nontruncated pure-jump Lévy processes. Modern Stochastics: Theory and Applications. 2024. 11. 2. 303-321
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Noriyoshi Sakuma, Ryoichi Suzuki. A modified Φ-Sobolev inequality for canonical Lévy processes and its applications. Modern Stochastics: Theory and Applications. 2023. 10. 2. 145-173
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Takuji Arai, Ryoichi Suzuki. A Clark-Ocone type formula via Ito calculus and its application to finance. Journal of Stochastic Analysis. 2021. 2. 4. Article 5
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MISC (10)：
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鈴木 良一. レヴィ市場におけるデジタルオプションに対する局所的リスク最小化問題について. 京都大学数理解析研究所講究録. 2019. 2116. 105-114
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R. Suzuki. On a locally risk-minimizing hedging strategy for digital option in a Lévy market. The Institute of Statistical Mathematics Cooperative Research Report. 2019. 418. 82-91
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N. Sakuma, R. Suzuki. A modified logarithmic Sobolev inequality for canonical Lévy processes. The Institute of Statistical Mathematics Cooperative Research Report. 2018. 402. 77-91
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Ryoichi Suzuki. Local risk-minimization for multidimensional Lévy markets. The Institute of Statistical Mathematics Cooperative Research Report. 2016. 352. 42-55
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Ryoichi Suzuki. Explicit Representations of Locally Risk-minimizing Hedging Strategy for Lévy Markets by Malliavin Calculus. Doctoral dissertation, Keio University. 2015
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Lectures and oral presentations (47)：
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Clark-Ocone-Haussmann type formulas for additive processes and their application to finance
(TMU Workshop on Finance 2024 2024)
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Clark-Ocone type formulas for additive processes
(第20回 (2023年度) 日本応用数理学会研究部会連合発表会 2024)
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Clark-Ocone-Haussmann type formulas for additive processes and applied to finance
(2023)
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Clark-Ocone-Haussmann type formulas for additive processes and applied to finance
(Stochastic Modelling in Climate Risk: Financial Mathematics and Economics 2023)
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Malliavin calculus for additive processes and its applications to finance
(ARLES - HALE International Workshop, ESSEC Paris La D\'{e}fense 2023)
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Professional career (1)：
Committee career (4)：
- 2023/04 - 現在 日本応用数理学会 『応用数理』編集委員
- 2022/04 - 現在 立命館大学 確率論・数理ファイナンスセミナー 幹事
- 2023/07 - 43rd Conference on Stochastic Processes and their Applications (SPA 2023) Organizer of contributed session: Infinite dimensional stochastic calculus and applications
- 2022/12 - 2022年度 OLIS-立命館大学保険フォーラム 委員
Association Membership(s) (5)：
アメリカ数学会
, THE MATHEMATICAL SOCIETY OF JAPAN
, システム制御情報学会
, 日本金融・証券計量・工学学会
, 日本応用数理学会
