Assistant Professor Yuri Imamura
Faculty, Affiliation
Faculty of Mathematics and Physics, Institute of Science and Engineering
College and School Educational Field
Division of Mathematical and Physical Science, Graduate School of Natural Science and Technology
Course in Mathematics, School of Mathematics and Physics, College of Science and Engineering
Laboratory
Academic Background
【Degree】
Doctor of Science
Career
Tokyo University of Science School of Management Department of Business Economics Associate Professor(2016/04-2019/03)
Ritsumeikan University College of Science and Engineering, Mathematical Sciences Associate Professo(2013/04-2016/03)
Year & Month of Birth
Academic Society
The Japanese Association of Financial Econometrics and Engineering
The Japanese Association of Financial Econometrics and Engineering
The Mathematical Society of Japan
The Japanese Association of Financial Econometrics and Engineering
The Japanese Association of Financial Econometrics and Engineering
The Japanese Association of Financial Econometrics and Engineering
The Japanese Association of Financial Econometrics and Engineering
Award
Specialities
Mathematical analysis
Speciality Keywords
stochastic analysis, mathematical finance
Research Themes
distribution of the hitting time and application to finance
Books
Papers
- On the Convergence Order of a Binary Tree Jiro Akahori, Jie Yen Fan, Yuri Imamura Mathematics and Computers in Simulation 2023/03/23
- Hedging error as generalized timing risk Jiro Akahori, Flavia Barsotti, Yuri Imamura Quantitative Finance 2023/01/24
- An application of risk theory to mortgage lending J. Akahori, C. Constantinescu, Y. Imamura, H. H. Pham Scandinavian Actuarial Journal 2022 5 1-23 2021/11/16
- On a symmetrization of diffusion processes Jiro Akahori, Yuri Imamura Quantitative Finance 14 7 1211-1216 2013/12
- Carr–Nadtochiy’s weak reflection principle for Markov chains on Zd Yuri Imamura Japan Journal of Industrial and Applied Mathematics 2020/08/06
- A remark on static hedging of options written on the last exit time Yuri Imamura Review of Derivatives Research 14 3 333-347 2011/10
- On the Pricing of Options Written on the Last Exit Time Jirô Akahori, Yuri Imamura, Yuko Yano Methodology and Computing in Applied Probability 11 661-668 2009/12
- Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion Yuri Imamura, Katsuya Takagi Asia-Pacific Financial Markets 20 1 71-81 2013/03
- Towards the exact simulation using hyperbolic Brownian motion Yuuki Ida, Yuri Imamura Japan Journal of Industrial and Applied Mathematics 34 3 833-843 2017/11
- A numerical scheme based on semi-static hedging strategy uri Imamura, Yuta Ishigaki, Toshiki Okumura Monte Carlo Methods and Applications 20 4 223-235 2014/12/01
- Some Simulation Results of the Put-Call Symmetry Method Applied to Stochastic Volatility Models Yuri Imamura, Yuta Ishigaki, Takuya Kawagoe, Toshiki Okumura The Proceedings of 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications 2011/10/28
Conference Presentations
- On the Convergence Order of a Binary Tree Approximation(conference：Ajou Workshop on Financial Engineering)(2022/09/16)
- A Discrete Scheme of Static Hedging of Barrier Options(conference：1st Seoul-London Workshop on Mathematical Finance)(2022/09/17)
- A Discrete Scheme of semi-Static Hedging of Barrier Options(conference：MATRIX program “Mathematics of Risk – 2022”)(2022/11/10)
- On the Convergence Order of a Binary Tree Approximation of Symmetrized Diffusion Processes(conference：AMS Special Session on Stochastic Analysis and its Applications I)(2023/04/15)
- Static Hedge via Parametrix and Symmetrization(conference：Ritsumeikan University Mathematical Finance Seminar)(2021/08/26)
- Risk models for the Japanese double-debt problem(conference：4th KAFE-JAFEE International Symposium on Financial Engineering)(2021/08/21)
- An Insurance Risk Model with an Exponential Functional of Renewal-Reward Processes(conference：The Japan Society for Industrial and Applied Mathematics annual 2020)(2020/09/10)
- Hedging of Barrier Options(2020/03/05)
- Carr-Nadtochiy's weak reection principle for Markov chains on Zd(conference：MSJ Autumn Meeting 2019)(2019/09/17)
- A weak reflection principle for a Markov chain model(conference：第七回数理ファイナンス合宿型セミナー)(2019/11/24)
- Integral representation for static hedging of barrier options(conference：金融工学・数理計量ファイナンスの諸問題 2019)(2019/11/29)
- A Hedging and Pricing of a Barrier Option(conference：The 7th Mini-Workshop on Mathematical Finance at SMWU)(2019/12/09)
- The first hitting time of a diffusion process and its application to mathematical finance(conference：KU-KFU Joint Symposium on Mathmatics)(2019/05/23)
- A hedging and pricing of barrier options(conference：The SKKU-ZU International Conference on Economics and Finance)(2019/12/10)
Others
Arts and Fieldwork
Patent
Theme to the desired joint research
○a distribution of time homogeneous stochastic processes
Grant-in-Aid for Scientific Research
○2024「拡散過程の到達時間分布と数理ファイナンスへの応用」(2020-2024)
○「次世代金融工学における熱核法の展開」(2013-2018)
○「Ｐｕｔ－Ｃａｌｌ対称化法の一般化とその応用」(2012-2013)
Competitive research funding,Contribution
Collaborative research,Consignment study
Classes (Bachelors)
○Mathematical Statistics b(2021)
○Mathematical Statistics a(2021)
○Mathematical Statistics b(2020)
○Mathematical Statistics a(2020)
Classes (Graduate Schools)
○Analysis Ia(2021)
○Analysis Ib(2021)