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College of Science and Engineering  /
Department of Mathematical Sciences

 (Male)
 Jiro   AKAHORI  Professor

■Concurrent affiliation
Graduate School of Science and Engineering
Research Organization of Social Science (BKC)   /
Research Center for Finance
Research Organization of Open Innovation & Collaboration   /
Research Center for Sustainability Science
The Kinugasa Research Organization   /
Reseach Center for Financial Gerontology and Finance/Legal Education
■Graduate school/University/other
1997  The University of Tokyo  "Graduate School, Division of Mathematical Sciences"  Department of Mathematical Sciences   Doctoral course  Completed
■Academic degrees
Ph.D. (The University of Tokyo)  
■Academic society memberships
Mathematical Society of Japan  
The Japanese Association of Financial Econometrics and Engineering (JAFEE)  
Japan Society for Industrial and Applied Mathematics  
The Institute of Systems, Control and Information Engineers  
The Japanese Association of Risk, Insurance and Pensions  
■Research summary
Probability Theory and its applications, Mathematical Finance and its applications

 Stochastic Differential Equations and related topics,
Pricing exotic derivatives, Term structure of interest rates, etc

=Research theme(1)=
Studies on Quadratic Term Structure Models from a viewpoint of Quadratic Wiener Functional
■Research keywords
Mathematical Finance, Stochastic Analysis 
■Research activities   (Even top three results are displayed. In View details, all results for public presentation are displayed.)

Books
Stochastic Processes and Applications to Mathematical Finance--Proceedings of 6th Ritsumeikan International Conference  Jiro Akahori, Shigeyoshi Ogawa and Shinzo Watanabe  World Scientific  04/2007  978-981-270-413-9
STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE
Proceedings of the 5th Ritsumeikan International Symposium  Jiro Akahori, Shigeyoshi Ogawa & Shinzo Watanabe  World Scientific  03/2006  978-981-256-519-8
STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE
Proceedings of the Ritsumeikan International Symposium  Jiro Akahori, Shigeyoshi Ogawa & Shinzo Watanabe  World Scientific  07/2004  981-238-778-1
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Papers
Phase transitions for edge-reinforced random walks on the half-line  Jiro Akahori, Andrea Collevecchio, Masato Takei  Electronic Communications in Probability  to appear  2019
p-conformal maps on the triangular lattice  Jiro Akahori, Yuuki Ida, Greg Markowsky  Statistics & Probability Letters  151, 42-48  08/2019  10.1016/j.spl.2019.03.010
Bridge representation and modal-path approximation  Jiro Akahori, Xiaoming Song, Tai-Ho Wang  Stochastic Processes and their Applications  129/ 1, 174-204  01/2019  10.1016/j.spa.2018.02.013
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Research presentations
TBA  Probability, Uncertainty and Quantitative Risk  07/11/2019
A heat kernel type expansion for "rough" quadratic Wiener functionals and related topics  ​2019 IMS-China International Conference on Statistics and Probability  07/09/2019
Introduction to Malliavin-Mancino Fourier estimation method  The International Conference on Applied Probability and Statistics (CAPS 2019)  04/04/2019
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Grants-in-Aid for Scientific Research (KAKENHI)
Link to Grants-in-Aid for Scientific Research -KAKENHI-

Research exchange preferred theme
Environmental Finance  Mathmatics for Environmental Finance  Technical consultation,Commisioned research,Joint research,Other
Mathematical Finance  Mathematics for Finance  Technical consultation,Commisioned research,Joint research
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■Teaching experience   (Even top three results are displayed. In View details, all results for public presentation are displayed.)

Courses taught
2017  Junior Seminar 1  Seminar
2017  Junior Seminar 2  Seminar
2017  Thesis  Seminar
View details...

Teaching achievements
立命館高校SSC最先端科学研究入門  07/2010-07/2010
教育内容・方法の工夫  04/2010-03/2011
View details...
■Message from researcher
確率論とその応用としての数理ファイナンス
 数理ファイナンスという分野は'90年代になって定着した呼び名です。その源流は20世紀初頭のBacherierの論文にまでさかのぼることもできますが、決定的に重要な転機は'73年のBlackとSholesによる株式オプションの価格についての公式の発表によってもたらされました。
何よりも銘記すべきことは、その公式が金融界に技術革新をもたらしたということです。
金融市場が十分に大きくなっていたということ、および計算機の性能の劇的進化ということの2点がその成立条件であろうといわれていますが、もうひとつ忘れてならないのは理論を記述するだけの数学、とくに確率論が、十分に用意されていたということです。

私は学生時代に確率論を勉強してきましたが、その知識を用いて数理ファイナンスの問題を扱うのにあまり違和感を感じませんでした。そして今後ますます発展していく分野だとおもっています。
東京大学理学部数学科'91年卒業。'98年から立命館大学へ。
■URL
 Jiro Akahori
■Research keywords(on a multiple-choice system)
Mathematics in General (including Probability Theory and Mathematical Statistics)