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「石橋を叩いて渡る」 この言葉は人々の慎重すぎる行動を表したものですが,これは金融取引においても成立するでしょうか.リスクを懸念し取引に慎重になりすぎて,結局のところ取引ができなくなってしまう,すなわち 「石橋を叩きすぎて石橋が壊れてしまい渡れなくなる」 ようなことが起こりうるのかどうか.2008年のリーマンショック以降,金融規制が厳しくなるグローバル金融においてこのことを資産価格理論を用いて明らかにするのが当面の研究テーマです. 長期的には「リスク」と「リターン」との間のトレードオフ関係のように,「リスク」と「取引のしやすさ」との関係性を示していきたいと考えています. 大阪大学大学院経済学研究科博士課程修了(博士 経済学)

Specialized Field

Finance

Academic Background

Ph.D. (Osaka University)

Research Papers

  • "On the Economic Premium Principle", Theoretical Economics Letters (Special Issue on Financial Derivatives), Vol.8 No.3, 201710
  • "An Equilibrium Model for the OTC Derivatives Market with a Collateral Agreement", Journal of Commodity Markets, Vol.4 No.1, 201611
  • "An Equilibrium Pricing for OTC Derivatives with Collateralization. Application of Economic Premium Principle", The Soka Economic Studies (Soka University), Vol.45, 201603
  • "On Asymptotic Behaviors of Exponential Hedging in the Basis-Risk Model", Journal of Mathematical Finance, Vol.5, 201505
  • "An equilibrium model for the OTC derivative with the counterparty risk via the Credit Charge", International Journal of Financial Markets and Derivatives, 201503
  • "Exponential Hedging vs Mean-Variance Hedging: Numerical Examples in an Incomplete Market", NUCB JOURNAL OF ECONOMICS AND INFORMATION SCIENSE, Vol.58 No.1, 201308
  • "Note on Utility Maximization Problem via Duality Method: How to Derive the Candidate for the Dual Formulation", NUCB Journal of Economics and Information Science, Vol.57 No.1, 201207
  • "Firm Valuation Problem by Risk-Averse Decision Maker", Journal of Global Business Society, Vol.1 No.1, 201207
  • "Valuation with Utility Indifference Pricing", The Jafee Journal, 201204
  • "Pricing Derivatives with Asymptotic Expansion Approach: Credit Migration Models with Stochstic Credit Spreads", Asia-Pacific Financial Markets, Vol.18 No.4, 201111
  • "An Equilibrium Analysis for the Weather Derivatives via Utility Indifference Pricing", Proceedings of 40th ISCIE International Symposium on Stochastic System Theory and Its Applications, 2009
  • "Pricing Derivatives with Asymptotic Expansion Approach: Credit Migration Models with Stochstic Credit Spreads", Proceedings of the 30-th JAFEE meeting (2008 Winter), 200901
  • "Utility Indifference Pricing in an Incomplete Market Model with Incomplete Information", Proceedings or the 28-th JAFEE meetings (2007 Winter), 2007
  • "Utility Indifference Price for the Asian Option in the Stochastic Volatility Model", NUCB JOURNAL OF ECONOMICS AND INFORMATION SCIENCE, Vol.55 No.2, 201104
  • "Valuation Error of Stock Option", NUCB Journal of Economics and Information Science, Vol.54 No.2, 2010
  • "Study of Utility Indifference Pricing in the Incomplete Market Models" Ph.D. Dissertation in Graduate School of Economics, Osaka University, 201012
  • "Utility indifference pricing in an incomplete market model with incomplete information" Discussion Papers In Economics And Business of Graduate School of Economics, Osaka University, No.07-46, 2007
  • "An Explicit Form of Indifference Prices in the Stochastic Volatility Model", Proceedings of the 24-th JAFEE meeting (2005 Winter), 200504