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J-GLOBAL ID:200901073460557491   Update date: Nov. 27, 2020

Kato Takashi

カトウ タカシ | Kato Takashi
Affiliation and department:
Job title: Representative Director
Homepage URL  (2): https://sites.google.com/site/takashikatomathfinance/https://sites.google.com/site/takashikatomathfinance/
Research field  (3): Money and finance ,  Basic analysis ,  Mathematical informatics
Research keywords  (9): Financial Risk Management ,  Optimization Problem ,  Stochastic Control ,  Financial Engineering ,  Stochastic Analysis ,  数理ファイナンス ,  確率論 ,  Mathematical Finance ,  Probability Theory
Research theme for competitive and other funds  (4):
  • 2015 - 2018 Nonliear Market Impact: Theoretical and Empirical Studies on Optimal Execution and High Frequent Limit/Market Order Data
  • 2015 - 2016 Nonlinearity and Uncertainty of Market Impact and their Effect on Large Traders' Execution Strategies
  • 2014 - 2015 Mathematical Model for Pricing Financial Securities with Longevity Risk
  • 2003 - 2006 Mathematical Finance
Papers (32):
  • Hidehiro Kaise, Takashi Kato, Yusuke Takahashi. Hamilton-Jacobi partial differential equations with path-dependent terminal costs under superlinear Lagrangians. Proceedings of the 23rd International Symposium on Mathematical Theory of Networks and Systems (MTNS2018). 2018. 692-699
  • Takashi Kato. Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level. Journal of Mathematical Finance. 2018. 8. 1. 197-226
  • Takashi Kato. An optimal execution problem in the volume-dependent Almgren-Chriss model. Algorithmic Finance. 2018. 7. 1-2. 1-14
  • Takashi Kato. An Optimal Execution Problem with S-shaped Market Impact Functions. Communications on Stochastic Analysis. 2017. 11. 3. 265-285
  • Takashi Kato. THEORETICAL SENSITIVITY ANALYSIS for QUANTITATIVE OPERATIONAL RISK MANAGEMENT. International Journal of Theoretical and Applied Finance. 2017. 20. 5
more...
MISC (3):
  • Takashi Kato. Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions. Short note. 2016
  • Takashi Kato. Stock Price Fluctuations in an Agent-Based Model with Market Liquidity. Preprint. 2013
  • Takashi Kato. An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process. Preprint. 2011
Lectures and oral presentations  (49):
  • Mathematical Models of Systemic Risk and their Issues
    (IMES Seminar, BOJ 2015)
  • Algorithmic Trading, Optimal Execution and Market Liquidity
    (数学連携ワークショップ -- 金融・経済学に使われる数学 -- 2015)
  • On Mathematical Model for Pricing Financial Securities with Longevity Risk
    (Seminar on Insurance 2015)
  • Algorithmic Trading, Optimal Execution and Market Liquidity
    (Young Summer Seminar on Probability (YSS2015) 2015)
  • Introduction to Optimal Investment Problems
    (Young Summer Seminar on Probability (YSS2015) 2015)
more...
Education (5):
  • 2003 - 2006 The University of Tokyo Ph.D. Course
  • 2001 - 2003 The University of Tokyo MS Course
  • 1999 - 2001 The University of Tokyo Department of Mathematics
  • 1997 - 1999 The University of Tokyo
  • 1994 - 1997 Tokyo Gakugei University Senior High School
Professional career (2):
  • MS (Mathematical Sciences) (The University of Tokyo)
  • Ph, D. (Mathematical Sciences) (The University of Tokyo)
Work history (9):
  • 2017/04 - 現在 Association of Mathematical Finance Laboratory (AMFiL) Representative Director
  • 2012/04 - 2016/03 Osaka University Center for the Study of Finance and Insurance (CSFI) Assistant Professor
  • 2012/04 - 2016/03 Osaka University Graduate School of Engineering Science Assistant Professor
  • 2011/04 - 2012/03 The University of Tokyo Graduate School of Mathematical Sciences Project Researcher
  • 2009/04 - 2011/03 Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. (MTEC) Research Department Researcher
Show all
Awards (1):
  • 2015/09 - The Japan Society for Industrial and Applied Mathematics (JSIAM) JSIAM Best Paper Award (2015) Non-Linearity, Resilience, Uncertainty of Market Impact Functions and Their Effects on Execution Strategies
Association Membership(s) (3):
JAPANESE ASSOCIATION OF FINANCIAL ECONOMETRICS AND ENGINEERING ,  THE JAPAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS ,  THE MATHEMATICAL SOCIETY OF JAPAN
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