Financial Engineering: Credit Risk Modeling, Derivative Pricing
Applied Probability: Markov Processes, Diffusion Processes
Apr, 2016 - Mar, 2019 Doctor of Economics, Kyoto University (Graduate School of Economics)
Apr, 2014 - Mar, 2016 Master of Economics, Kyoto University (Graduate School of Economics)
Apr, 2010 - Mar, 2014 Bachelor of Economics, Kyoto University (Faculty of Economics, Department of Economics and Management)
Apr, 2019 - Present Graduate School of Economics, Kyoto University, Senior Lecturer.
Financial Engineering 1: Spring Semester 2019-2021 (Graduate School of Economics, Kyoto University)
Financial Engineering I: Spring Semester 2019-2021 (Graduate School of Management, Kyoto University)
Group Work: Fall Semester 2019-2021 (Graduate School of Economics, Kyoto University)
Corporate Finance: Spring Semester 2019-2021 (Faculty of Economics, Kyoto University)
Introductory Seminar: Spring Semester 2020-2021 (Faculty of Economics, Kyoto University)
Readings in Humanities and Social Sciences (Economics, English)B-E1 : Fall Semester 2019 (Liberal Arts and Sciences Course, Kyoto University)
Refereed Journal Publications
Time Reversal and Last Passage Time of Diffusions with Applications to Credit Risk Management (with M. Egami)
Finance and Stochastics 24 (3) , 795-825, 2020. [PDF]
A Direct Solution Method for Pricing Options in Regime-Switching Models (with M. Egami)
Mathematical Finance 30(2), 547-576, 2020. [PDF]
An Analysis of Simultaneous Company Defaults Using a Shot Noise Process (with M. Egami)
Journal of Banking and Finance 80, 135-161, 2017. [PDF]
A New Approach to Detecting Change in Credit Quality (2021) [SSRN]
A New Approach to Estimating Loss-Given-Default Distribution (2020) (with M. Egami) [Arxiv]
Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage (2019) (with M. Egami) [SSRN]
Conference Presentations and Invited Talks (indicated with *)
SIAM Conference on Financial Mathematics and Engineering (FM21), Virtual, June 2, 2021.
The 30th Asian Finance Association Annual Meeting, Tokyo, June 26, 2018.
The 40th Conference on Stochastic Processes and their Applications-SPA 2018, Gothenburg, Sweden, June 12, 2018.
TMU Workshop on Finance 2017, Tokyo Metropolitan University, August 29, 2017.
*Mathematical Finance Seminar, Department of Mathematical Sciences, Ritsumeikan University, August 24, 2017.