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Takahiro Haseagwa
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■Position
Quantitative Analyst, Capital Market Solution Group, Simplex Consulting, Inc.
■Academic Credentials
Master of Mathematics, Applied Mathematics Course (Tohoku University)
Master of Business Administration (MBA), Financial Engineering Course (Kyoto University)
■Career
Quantitative Analyst, Financial Engineering Division, Mizuho Financial Group
■Major Fields of Interest
Mathematical Finance, Functional Analysis, Stochastic Calculus, Computational Finance.
■Research Advisors (or Supervisors)
Kiyoshi Kobayashi (Kyoto University), Yasuyuki Katou (Kyoto University), Hideki Iwaki (Kyoto University), Izumi Takagi (Tohoku University) and Takashi Yasuoka (Mizuho Financal Group).
■Research Collaborators
Masamitsu Onishi (Kyoto University), Wakako Mantani (Kyoto University), Hidetoshi Watanabe (Ernst & Young ShinNihon LLC)
■Recent Research
Key words : Libor Market Model (BGM Model), Currency Derivatives, Interest Rate Derivatives, Hybrid Derivatives, Stochastic Volatility with Simultaneous Jumps
Currently, I have been working on developing a closed form of price of some hybrid derivatives with stochastic processes of interest rate and ones of currency. Since it is complicated to compute the price of hybrid derivatives in general, I take advantage of an asymptotic expansion in order to seek an approximation price of hybrid derivatives. Very recently, I conduct survey for pricing some futures of volatility index such as VIX and Nikkei225 VI with stochastic volatility with simultaneous jumps, and program the algorithm of the Markov Chain Monte Carlo (MCMC) method in R and R-package to estimate all model parameters.
■Recent Presentations
May 2012, The Derivatice Division of The Japanese Association of Financial Econometrics and Engineering, Ritsumeikan University in Tokyo Campus, (New Update, May.2012)
March 2012, Young Researchers Workshop on Finance 2012, The University of Tokyo
November 2011, Center for the Study of Finance and Insurance (CSFI), Osaka University