Arturo Kohatsu-higa

Ph.D (07/1992 Purdue University).
Professor at Department of Mathematical Sciences (Ritsumeikan University) ,
staff of Research Organization of Social Science(BKC) & Research Center for Finance.

Research Interests:

  • Malliavin Calculus in Finance.
  • Monte Carlo simulation.
  • Error analysis.
  • Simulation methods in Finance.
  • Density estimates for irregular functions.

Professional Activities

CREST activities

We have created a team that has been selected for a CREST Research Project entitled "Mathematical structure of complex financial products and infinite dimensional analysis"

Editor activities

  • Associated Editor for Asia-Pacific Financial Markets
  • Associated Editor for Siam Journal on Financial Mathematics (until December 2016)
  • Associated Editor for Acta Applicandae Mathematicae (until 2014)
  • Associated Editor for American Journal of Algorithms and Computing (until February 2013). This journal is a new free access journal which is supported by charging printing fees to the authors.
  • Associated Editor for Stochastic Processes and their Applications (until May 2011)

Past activities:

  • We have organized a Workshop with CSFI entitled WORKSHOP ON " MATHEMATICAL FINANCE AND RELATED ISSUES" September 12-15 in Kyoto Research Park
  • ICM Satellite conference on probability and stochastic processes (Bangalore, India, 13th to 17th August 2010) [link]
  • Spring School on Stochastic Calculus and Numerics in Mathematical Sciences, 9 April - 15 April, 2010. National Taiwan University. [link]
  • Vlad Bally delivered a series of lectures on Malliavin Calculus and the hypoelliptic condition for diffusion processes.
  • At the end of october up until the middle of November there will be a series of talks by Peter Tankov (Paris 7) and Rama Cont (Ecole Polytechnique) on Calibration for Financial Models.
  • I reccomend this course as it will also contain some practical sessions with data which will be held at the computer room of the department. At the end there will also be a couple of sessions by R. Kawai (Daiwa Securities) on basics of Levy processes and their applications in Finance. If you are interested in attending take a peek at the webpage of the center. Center for the Study of Finance and Insurance at Osaka University or contact me or the center.
  • There was a series of talks by Prof. Frederic Udina (UPF, Barcelona, Spain) on kernel density estimation on July 10-12 (1:30-3:00pm) together with a seminar on universal portfolios on Tuesday July 11, 4:30pm. All these meetings will take place in the seminar room D515. For more information visit the announcement page here!!
  • We organized Workshop on Mathematical Finance and Stochastic Control [link]
  • Workshop on Computational Finance [link]
  • Workshop on Stochastic Analysis and Finance at City University of Hong Kong [link]
  • Stochastic Modeling Techniques and Data Analysis (SMTDA2010) International Conference (June 8-11, 2010 Chania Crete Greece) [link]
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