コハツ研究室

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対外活動

CRESTプロジェクト【複雑な金融商品の数学的構造と無限次元解析】

科学技術機構(JST)の戦略的創造研究推進事業(CREST)の研究領域「数学と諸分野の協働におけるブレークスルーの探索」において、本プロジェクトが採択され、コハツヒガ・アルトゥーロをチームリーダーに複雑な金融商品の数学的構造と無限次元解析について研究しています。

• CRESTセミナーやCRESTスクールなども開催しており、皆様の参加を歓迎いたします。

編集委員としての活動

• Asia-Pacific Financial Markets：編集委員
• Siam Journal on Financial Mathematics：編集委員 (- 2016.Dec.)
• Acta Applicandae Mathematicae：編集委員 (- 2014)
• American Journal of Algorithms and Computing：編集委員 (- 2013.Feb.) This journal is a new free access journal which is supported by charging printing fees to the authors.
• Stochastic Processes and their Applications：編集委員 (- 2011.May.)

これまでの活動：

• 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]