Work Experience
After working for the Industrial Bank of Japan and Long
Term Capital Management, started as Associate Professor at the Graduate
School of Mathematical Sciences, University of Tokyo and later joined
the Graduate School of Economics in 2003. Has been Professor in 2007.
Education
Graduated from the Faculty of Economics, University of Tokyo.Received his Ph.D. from the Haas School of Business, University of California at Berkeley.
Research Themes
My research topics include the following:
・New computational techniques for numerical problems in finance based
on Malliavin calculus and asymptotic distribution theories
・New methods for estimation of the term structure of interest rates and
mutual funds' investment styles applying filtering methods such as
Monte Carlo filter
・Practical models for pricing defaultable securities such as convertible bonds.
My Lab. is supported by
GCOE program "The research and training center for new development in mathematics",
Centered for Advanced Research in Finance(CARF),,
Graduate School of Economics,
The University of Tokyo,,