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J-GLOBAL ID：202401019932469586   Update date: Sep. 11, 2024

IEDA Masashi

イエダ マサシ | IEDA Masashi
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Affiliation and department：
Tokyo University of Science School of Management, Department of Business Economics

About Tokyo University of Science School of Management, Department of Business Economics


Job title： Junior Associate Professor
Homepage URL  (1)： https://sites.google.com/view/masashiieda/
Research field  (2)： Applied mathematics and statistics ,  Money and finance
Research keywords  (3)： Mathematical Finance ,  Financial Engineering ,  Stochastic Control
Research theme for competitive and other funds  (2)：
  • 2023 - 2027 連続時間確率最適制御における下方リスク最小化問題の数値解析
  • 2020 - 2023 Numerical analysis of continuous-time portfolio optimization under no-short selling and leverage constraints
Papers (9)：
  • Masashi Ieda. Continuous-Time Portfolio Optimization for Absolute Return Funds. Asia-Pacific Financial Markets. 2022. 29. 4. 675-696
  • Masashi IEDA. Continuous Time Portfolio Optimization with Twice Integrated Kernel-Based Collocation. Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications. 2022. 2022. 80-85
  • Masashi Ieda, Naoki Fujino, Hiroshi Sasaki. Active portfolio management with conditioning information. Journal of Investing. 2019. 28. 4. 51-65
  • Masashi Ieda. A dynamic optimal execution strategy under stochastic price recovery. International Journal of Financial Engineering. 2015. 02. 04. 1550025-1550025
  • Masashi Ieda. An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities. Applied Mathematics and Computation. 2015. 265. 163-175
ｍore...
MISC (3)：
  • 家田雅志. 負債追尾型アプローチによる長期間年金運用管理. 東京工業大学イノベーションマネジメント研究科 ワーキング・ペーパー. 2013
  • 家田雅志. 有限時間ホライゾンにおけるHamilton-Jacobi-Bellman 擬変分不等式の数値計算アルゴリズム. 東京工業大学イノベーションマネジメント研究科 ワーキング・ペーパー. 2013
  • Ieda Masashi, Shiino Masatoshi. 21aEL-1 Application of nonlinear Fokker-Planck equation for market price fluctuations. Meeting Abstracts of the Physical Society of Japan. 2010. 65.1.2. 297
Lectures and oral presentations  (12)：
  • Continuous-time Portfolio Optimization with Twice Integrated Kernel-Based Collocation
    (ISCIE International Symposium on Stochastic Systems Theory and Its Applications 2021 2021)
  • Continuous Time Portfolio Optimization with Twice Integrated Kernel-Based Collocation
    (The 53rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications 2021)
  • 資産構成制約を考慮したベンチマーク追尾型ポートフォリオ最適化
    (日本応用数理学会 2021年研究部会連合発表会 2021)
  • 二回積分型カーネル関数を用いた偏微分方程式の数値解法についてII
    (日本応用数理学会2019年度年会 2019)
  • ポートフォリオ制約下における最適配当戦略と最適運用戦略
    (金融工学・数理計量ファイナンスの諸問題 2018)
ｍore...
Education (4)：
  • 2011 - 2015 Tokyo Institute of Technology Graduate School of Innovation Management
  • 2009 - 2011 Tokyo Institute of Technology Graduate School of Science and Engineering
  • 2006 - 2009 Tokyo Institute of Technology School of Science
  • 2001 - 2006 National Institute of Technology, Akashi College Department of Mechanical Engineering
Work history (2)：
  • 2020/04 - 現在 Tokyo University of Science School of Management Department of Business Economics Junior Associate Professor
  • 2015/04 - 2020/03 Mizuho-DL Financial Technology Co., Ltd.
Committee career (2)：
  • 2021/04/01 - 2024/03/31 日本応用数理学会 学会誌及び論文誌の編集者
  • 2021/04 - 2024/03 日本応用数理学会 学会誌「応用数理」編集委員
Association Membership(s) (2)：
The Japanese Association of Financial Econometrics and Engineering ,  The Japan Society for Industrial and Applied Mathematics
※ Researcher’s information displayed in J-GLOBAL is based on the information registered in researchmap. For details, see here.

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