研究者学術情報データベース

アカホリ　ジロウ
赤堀　次郎
AKAHORI Jiro

所属理工学部数理科学科

職名教授

論文
1.	2024/05	The SIML method without microstructure noise │ Japanese Journal of Statistics and Data Science │ Published Online (共著)
2.	2024/03	A Quantization of interacting particle systems │ Quantum Information and Computation │ 24 (3&4),210-226頁 (共著)
3.	2024	Absolute zeta functions and periodicity of quantum walks on cycles │ Quantum Information and Computation │ to appear (共著)
4.	2023/12	Absolute Zeta fountions for Zeta functions of quantum cellular automata │ Quantum Information and Computation │ 23 (15&16),1261-1274頁 (共著)
5.	2023/09	On the Convergence Order of a Binary Tree Approximation of Symmetrized Diffusion Processes │ Mathematics and Computers in Simulation │ 211,263-277頁 (共著)
6.	2023/06/13	Limit theorems for iterates of the Szász-Mirakyan operator in probabilistic view │ Journal of Theoretical Probability │ 36,1321-1338頁 (共著)
7.	2023/04/10	Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix │ arXiv │ (共著)
8.	2023/01/24	Hedging error as generalized timing risk │ Quantitative Finance │ 23 (4),693-703頁 (共著)
9.	2022/08/02	Probability density of lognormal fractional SABR model │ Risks │ 10 (8),156-182頁 (共著)
10.	2022/02/03	Higher-order deep solver of non-linear PDEs implied by a non-linear discrete Clark-Ocone formula │ JSIAM letters │ 14,9-12頁 (共著)
11.	2021/11	An application of risk theory to mortgage lending │ Scandinavian Actuarial Journal │ vol 2022 (5),447-469頁 (共著)
12.	2021/09	An Anti-Symmetric Version of Malliavin Calculus │ Journal of Stochastic Analysis │ 3 (2),Article 14 (共著)
13.	2021/09	An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables │ Mathematics and Computers in Simulation │ 187,540-565頁 (共著)
14.	2021/03	Completely solvable stochastic Hamiltonian system describing a continuous-time integrated climate-economy model │ JSIAM letters │ 13,5-8頁 (共著)
15.	2020/12	The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk │ arXiv │ arXiv:2012.09606 [q-fin.GN] (共著)
16.	2020/09	Generalizations of Ho-Lee's binomial interest rate model II: randomization │ JSIAM letters │ 12,57-60頁 (共著)
17.	2020/04	Itô calculus for Cramér-Lundberg model │ JSIAM letters │ 12,25-28頁 (共著)
18.	2019/08	p-conformal maps on the triangular lattice │ Statistics & Probability Letters │ 151,42-48 (共著)
19.	2019/06/22	Phase transitions for edge-reinforced random walks on the half-line │ Electronic Communications in Probability │ 24 (39),1-12 (共著)
20.	2019/01	Bridge representation and modal-path approximation │ Stochastic Processes and their Applications │ 129 (1),174-204頁 (共著)
21.	2018/01	Asymptotic Static Hedge via Symmetrization │ arXiv │ ,arXiv:1801.04045 [q-fin.PR] (共著)
22.	2017/09	A Discrete-Time Clark-Ocone Formula and its Application to an Error Analysis │ Journal of Theoretical Probability │ 30 (3),932–960 (共著)
23.	2017/08	Default Contagion with Domino Effect , A First Passage Time Approach │ arXiv │ ,1708.08411 [q-fin.MF] (共著)
24.	2016/02	Attraction properties for general urn processes and applications to a class of interacting reinforced particle systems │ arXiv:1602.05677 │ (共著)
25.	2016	The Value of Timing Risk │ arXiv:1701.05695 │ (共著)
26.	2014/12	Some results on Parisian walks │ JSIAM Letters │ 6,77-80 (共著)
27.	2014/05	A Heat Kernel Approach to Interest Rate Models │ Japan Journal of Industrial and Applied Mathematics │ 31 (2),419-439 (共著)
28.	2014/05	Affine term structure as multi-soliton │ JSIAM letters │ 6,17--20 (共著)
29.	2014	On a symmetrization of diffusion processes │ Quantitative Finance │ 14 (7),1211-1216
30.	2014	The Fourier estimation method with positive semi-definite estimators │ preprint │ ,arXiv:1410.0112 (共著)
31.	2013	An Algebraic Approach to the Cameron-Martin-Maruyama-Girsanov Formula │ Mathematical Journal of Okayama University │ 55,167--190 (共著)
32.	2013	Tau functions of KP solitons realized in Wiener space │ Bulletin of the London Mathematical Society │ 45 (6),1301-1309 (共著)
33.	2012/02	Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes │ International Journal of Theoretical and Applied Finance │ 15 (1),1250007 (15 pages) (共著)
34.	2011	On a Type I Error of a Random Walk Hypothesis on Interest Rates │ International Journal of Innovative Computing, Information and Control │ 7 (1),115-131 (共著)
35.	2011	Some Simulation Results on the Computation of Delta of Path-Dependent Options Using a Discrete Version of Clark-Ocone Formula │ Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Application, │ ,132--137 (共著)
36.	2010	Around the Random Walk Hypothesis on Interest Rates │ Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application, │ ,206-210 (共著)
37.	2010	On a Stochastic Extension of Integrated Models for Climate Changes │ Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application │ ,229-264 (共著)
38.	2010	On the pricing of exotic warrant │ Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application │ ,241-245 (共著)
39.	2010	Static hedging for knock-in/out options written on the price ratios : A simple case │ Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Application │ ,201-205 (共著)
40.	2009/12	On the pricing of options written on the last exit time │ Methodology and Computing in Applied Probability │ 11 (4),661-668 (共著)
41.	2009/05	確率システムのハミルトン系について │ システム/制御/情報 │ 53 (5),184-188 (単著)
42.	2009/04	Thermodynamical approach to life insurance: discrete space-time framework; a toy model and its analysis │ Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Application │ ,360--365 (共著)
43.	2008/04	Principle Component Analysis of Consistency of a Forward Rate Model │ Proceedings of the 39th ISCIE International Symposium on Stochastic Systems Theory and Its Application │ ,85--90 (共著)
44.	2008/03	Stochastic equations on compact groups in discrete negative time │ Probability Theory and Related Fields │ 140 (3-4),569-593 (共著)
45.	2007/07	ノイズ，確率的流れ，E0 半群 │ 数学 │ 59 (3),243--263 (共著)
46.	2006/12	What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates? │ Asia-Pacific Financial Markets │ 13 (4),299--313 (共著)
47.	2006/10	Lifting Quadratic Term Structure Models to Infinite Dimension │ Mathematical Finance │ 16 (4),635--645 (共著)
48.	2006/06	Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor │ Asia Pacific Financial Markets │ 13 (2),151--179 (共著)
49.	2005/09	A discrete Ito calculus approach to He's framework for multi-factor discrete market │ Asia Pacific Financial Markets │ 12 (3),273--287 (単著)
50.	2005	Backwardation in Asian Option Prices │ International Journal of Innovative Computing, Information and Control │ 1 (3),581--593 (共著)
51.	2004	Pricing of an Exotic Forward Contract │ Proceedings of the 36th ISCIE International Symposium on Stochastic Systems Theory and Its Application ( │ ,132--136 (共著)
52.	2004	Term Structure of Prices of Asian Options │ Proceedings of the 36th ISCIE International Symposium on Stochastic Systems Theory and Its Application │ ,137--142 (共著)
53.	2003	Multi-Dimensional Discrete Stochastic Calculus and its application to a problem in mathematical finance │ Proceedings of the 35th ISCIE International Symposium on Stochastic Systems Theory and Its Application │ ,71--76 (単著)
54.	2003	On Dassios formula of Brownian quantiles │ Mem. Inst. Sci. Engrg. Ritsumeikan Univ. │ 61,61--64 (単著)
55.	2002	確率微分方程式の強い解-「確率過程論と数理ファイナンス」における一つの話題 │ 社会システム研究 │ 4,1-12 (共著)
56.	2001	Quasi Pricing of European Options │ Proceedings of the 32nd SCIE International Symposium on Stochastic Systems Theory and Its Application │ ,235-239 (単著)
57.	2000	The Pricing of the Currecy Options with Knock-Out │ Proceedings of the 31st ISCIE International Symposium on Stochastic Systems Theory and Its Applications │ ,95--99 (単著)
58.	2000	数理ファイナンスでの確率解析 │ システム・制御・情報 │ 44,429-433 (単著)
59.	1999/01	On quasi Gaussian interest rate models. │ Asia-Pacific Financial Markets │ 6 (1),3--6 (単著)
60.	1998	Explosion tests for stochastic integral equations related to interest rate models │ J. Math. Sci. Univ. Tokyo │ 4,727--745 (単著)
61.	1998	フォワード契約のヘッジ戦略の構成について │ MTECジャーナル │ 11,66-74 (単著)
62.	1995	Some formulae for a new type of path-dependent option │ Annals of Applied Probability │ 5 (2),383-388 (単著)