AKAHORI Jiro

アカホリジロウ | AKAHORI Jiro

Affiliation and department：
Job title： Professor
Homepage URL (2)： http://www.ritsumei.ac.jp/~akahori/index-e.html , https://research-db.ritsumei.ac.jp/rithp/k03/resid/S002276?lang=en

Research field (2)： Basic mathematics , Applied mathematics and statistics

Research keywords (3)： Stochastic Analysis , Mathematical Finance , Mathematical Finance, Stochastic Analysis

Research theme for competitive and other funds (12)：

2020 - 2024 Integration by parts formulas for non-smooth diffusion processes and their applications
2016 - 2020 Infinite dimensional analysis using the parametrix method
2016 - 2020 A Dynamic Analysis of Corporate Profitability and Risk Choices: Theory and Empirical Data from Japanese Firms
2013 - 2018 Heat Kernel Approach in Financial Engineering of New Generation
2013 - 2017 The comparison with multi-factors interest rate model

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Papers (55)：

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. 23. 4. 693-703
Jirô Akahori, Ryuya Namba, Shunsuke Semba. Limit Theorems for Iterates of the Szász-Mirakyan Operator in Probabilistic View. Journal of Theoretical Probability. 2022. 36. 2. 1321-1338
Jiro Akahori, Xiaoming Song, Tai-Ho Wang. Probability Density of Lognormal Fractional SABR Model. Risks. 2022. 10. 8. 156-182
J. Akahori, C. Constantinescu, Y. Imamura, H. H. Pham. An application of risk theory to mortgage lending. Scandinavian Actuarial Journal. 2022. 2022. 5. 447-469

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MISC (7)：

Jirô Akahori, Chusei Kiumi, Norio Konno, Takuya Watanabe. Eigenvalue analysis of three-state quantum walks with general coin matrices. 2023
Jirô Akahori, Ryuya Namba, Atsuhito Watanabe. The SIML method without microstructure noise. 2023
Jirô Akahori, Norio Konno, Iwao Sato. Absolute zeta functions for zeta functions of quantum cellular automata. 2023
赤堀次郎. 金融市場の数理と確率解析 (特集自然界を支配する偶然の構造 : 様々な数理科学への確率論的アプローチ). 数理科学. 2016. 54. 6. 46-51
AKAHORI Jiro. On the Stochastic Hamiltonian Systems(<Special Issue>ISCIE 40th Anniversary Symposium on Stochastic Systems Theory and Its Application). SYSTEMS, CONTROL AND INFORMATION. 2009. 53. 5. 184-188

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Books (4)：

Stochastic Processes and Applications to Mathematical Finance--Proceedings of 6th Ritsumeikan International Conference
World Scientific 2007 ISBN:9789812704139
STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE Proceedings of the 5th Ritsumeikan International Symposium
World Scientific 2006 ISBN:9789812565198
STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE Proceedings of the Ritsumeikan International Symposium
World Scientific 2004 ISBN:9812387781
Probability with Martingales
培風館 2004

Lectures and oral presentations (82)：

Some thoughts on diffusion estimation
(Mathematics of Risk - 2022 2022)
Algebraic Stochastic Calculus
(1st Seoul-London Workshop on Mathematical Finance 2022)
On limit theorems of Mallivan-Mancino’s Fourier estimator
(2022 SKKU International Conference: Trends in Digital Economy and Finance 2022)
Market Simulator Driven by Malliavin-Mancino Method
(2021 KAFE-SKKU International Conference on Finance 2021)
On Deep Solver of Variational Inequality/Free Boundary Problem
(Kanazawa University Mathmatical Science Colloquim 2021)

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Education (2)：

- 1997 The University of Tokyo Graduate School, Division of Mathematical Sciences Department of Mathematical Sciences
- 1997 The University of Tokyo "Graduate School, Division of Mathematical Sciences" Department of Mathematical Sciences

Professional career (1)：

Ph.D. (The University of Tokyo)

Association Membership(s) (5)：

The Japanese Association of Risk, Insurance and Pensions , The Institute of Systems, Control and Information Engineers , Japan Society for Industrial and Applied Mathematics , The Japanese Association of Financial Econometrics and Engineering (JAFEE) , Mathematical Society of Japan

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