Laboratory of Planning and Management Systems -

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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)

Title: Pricing Nikkei225 VI Futures and Estimating Model Parameters with MCMC Method in R and R-package

March 2012, Young Researchers Workshop on Finance 2012, The University of Tokyo

Title: Pricing Nikkei225 VI Futures and Estimating Model Parameters with MCMC Method in R and R-package

November 2011, Center for the Study of Finance and Insurance (CSFI), Osaka University

Title: Asymptotic Expansion Applied for Pricing Hybrid FX Option with Libor Market Models under the Stochastic Volatility and Heston Model in Currency Processes

最終更新日 2013年2月22日（金曜）13:54