Researcher Database

（Last updated : 2024-08-21 10:26:56）　

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AKAHORI Jiro

Department / Course College of Science and Engineering Department of Mathematical Sciences

Title / Position Professor

Other Affiliations
1.	Research Organization of Social Science (BKC) Research Center for Finance
2.	Research Organization of Open Innovation & Collaboration Research Center for Sustainability Science
3.	Graduate School of Science and Engineering
4.	Kinugasa Research Organization Research Center for Legal and Political Infrastructure
5.	Research Organization of Social Science (BKC)

Academic background
1.	～1997	Doctorial Course │ Department of Mathematical Sciences │ Graduate School, Division of Mathematical Sciences │ The University of Tokyo │ Completed
2.		│ The University of Tokyo Ph.D.

Research activities
1.		Mathematical Society of Japan
2.		The Japanese Association of Financial Econometrics and Engineering (JAFEE)
3.		Japan Society for Industrial and Applied Mathematics
4.		The Institute of Systems, Control and Information Engineers
5.		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

Present specialized field
Mathematics in General (including Probability Theory and Mathematical Statistics) (Keyword：Mathematical Finance, Stochastic Analysis)

Books
1.	2007/04	Stochastic Processes and Applications to Mathematical Finance--Proceedings of 6th Ritsumeikan International Conference │ (Co-authored)
2.	2006/03	STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE Proceedings of the 5th Ritsumeikan International Symposium │ (Co-authored)
3.	2004/07	STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE Proceedings of the Ritsumeikan International Symposium │ (Co-authored)
4.	2004/02	Probability with Martingales │ (Co-authored)

Papers
1.	2024/05	The SIML method without microstructure noise │ Japanese Journal of Statistics and Data Science │ Published Online (Co-authored)
2.	2024/03	A Quantization of interacting particle systems │ Quantum Information and Computation │ 24 (3&4),pp.210-226 (Co-authored)
3.	2024	Absolute zeta functions and periodicity of quantum walks on cycles │ Quantum Information and Computation │ to appear (Co-authored)
4.	2023/12	Absolute Zeta fountions for Zeta functions of quantum cellular automata │ Quantum Information and Computation │ 23 (15&16),pp.1261-1274 (Co-authored)
5.	2023/09	On the Convergence Order of a Binary Tree Approximation of Symmetrized Diffusion Processes │ Mathematics and Computers in Simulation │ 211,pp.263-277 (Co-authored)
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Academic conference presentation
1.	2024/08/10	Portfolio optimization in the presence of illiquid assets in a finite time horizon (The 8th Asian Quantitative Finance Conference)
2.	2024/08	Fourier Malliavin-Mancino volatility estimators–Separating information (Korea-Japan Mathematical Finance Conference)
3.	2024/07/12	Continuous-time stochastic analogues of DICE models (Statistical Learning Methods for Dynamical Modeling and Applications)
4.	2024/01/27	On a Polya Urn Type Binary Tree Model
5.	2023/11/22	Continuous-time DICE type models (Stochastic Modelling in Climate Risk: Financial Mathematics and Economic)
Display All（85）

Research exchange preferred theme
1.	Environmental Finance Mathmatics for Environmental Finance Technical consultation Commisioned research Joint research Other
2.	Mathematical Finance Mathematics for Finance Technical consultation Commisioned research Joint research

Department laboratory expense researcher number
50309100

researchmap Researcher code
1000275061