Campus Career 【 display / non-display 】

  • Job function organization:Kwansei Gakuin University School of Science and Technology Department of of Mathematical Sciences
    Career:Professor
    Duties period:2018.04 -

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Field of expertise (Grants-in-aid for Scientific Research classification) 【 display / non-display 】

  • Field of expertise (Grants-in-aid for Scientific Research classification):Foundations of mathematics/Applied mathematics

  • Field of expertise (Grants-in-aid for Scientific Research classification):Economic statistics

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Thesis for a degree 【 display / non-display 】

  • Written language: English
    Title of paper: Modeling Incomplete Markets with High Frequency Data in Finance
    Date of degree awarded: 2005.03
    Name of author(s): Takayuki Morimoto

    Co-author classification: Single Work

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Papers 【 display / non-display 】

  • Written language: English
    Title of paper: Option Pricing with High Frequency Data under the Minimal Martingale Measure
    Publication title: Discussion Paper Series, No. 2005-01, Faculty of Economics, Hiroshima University
    Date of issue: 2005.01
    Name of author(s): Takayuki Morimoto

    Type of publication: Research paper (bulletin of university, research institution)
    Co-author classification: Single Work

  • Written language: English
    Title of paper: Jump Diffusion Models for Japanese Stock Market
    Publication title: In: Kachitvichyanukul, V. et al. (eds) SIMMOD 05 International Conference on Simulation and Modeling 2005. Simulation and Modeling: Integrating Sciences and Technology for Effective Resource Management  (p.547 - 555)
    Date of issue: 2005.01
    Name of author(s): Koichi Maekawa, Sangyeol Lee, Takayuki Morimoto, Ken-ichi Kawai

    Type of publication: Research paper (international conference proceedings)
    Co-author classification: Joint Work

  • Written language: English
    Title of paper: Jump Diffusion Model: An Application to the Japanese Stock Market
    Publication title: In Zerger, A. and Argent, R.M. (eds) MODSIM 2005 International Congress on Modelling and Simulation  (p.893 - 899)
    Date of issue: 2005.12
    Name of author(s): Koichi Maekawa, Sangyeol Lee, Takayuki Morimoto, Ken-ichi Kawai

    Type of publication: Research paper (international conference proceedings)
    Co-author classification: Joint Work

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Grant-in-Aid for Scientific Research 【 display / non-display 】

  • Research item:Grant-in-Aid for Scientific Research(C)
    Research activities period:2021.04 - 2025.03

  • Research item:Grant-in-Aid for Scientific Research(C)
    Research activities period:2018.04 - 2021.03

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Presentations 【 display / non-display 】

  • Presentation (Written) language: English
    Conference Name: 2004 Far Eastern Meeting of the Econometric Society
    Conference classification: International conference
    Meeting period: 2004.06
    Topic / Session title: Estimating and forecasting instantaneous volatility through a duration model: An assessment based on VaR
    Form of presentation: Oral Presentation(general)

  • Presentation (Written) language: English
    Conference Name: International Conference on Simulation and Modeling 2005
    Conference classification: International conference
    Meeting period: 2005.01
    Topic / Session title: Jump Diffusion Models for Japanese Stock Market
    Form of presentation: Oral Presentation(general)

  • Presentation (Written) language: English
    Conference Name: Computational Science Symposium 2005 -Computational Science on Interaction-
    Conference classification: International conference
    Meeting period: 2005.10
    Topic / Session title: An Empirical Comparison of GARCH Models Based on Intraday Value at Risk
    Form of presentation: Oral Presentation(general)

  • Presentation (Written) language: English
    Conference Name: Advances in Financial Forecasting - 2nd International Symposium at the 2005 International Conference of Computational Methods in Sciences and Engineering
    Conference classification: International conference
    Meeting period: 2005.10
    Topic / Session title: An Empirical Comparison of GARCH Models Based on Intraday Value at Risk
    Form of presentation: Oral Presentation(general)

  • Presentation (Written) language: English
    Conference Name: MODSIM 2005 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand
    Conference classification: International conference
    Meeting period: 2005.12
    Topic / Session title: JUMP DIFFUSION MODEL: AN APPLICATION TO THE JAPANESE STOCK MARKET
    Form of presentation: Oral Presentation(general)

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