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Researcher Information

last modified:2020/03/31

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


Academic Background


Year & Month of Birth

Academic Society

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



Speciality Keywords

Research Themes



  •  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
  •  On a symmetrization of diffusion processes Jiro Akahori, Yuri Imamura Quantitative Finance  14 7 1211-1216 2014
  •  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
  •  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
  •  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

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  •  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

Conference Presentations

  • A hedging and pricing of barrier options(conference:The SKKU-ZU International Conference on Economics and Finance)(2019/12/10)
  • A Hedging and Pricing of a Barrier Option(conference:The 7th Mini-Workshop on Mathematical Finance at SMWU)(2019/12/09)
  • 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 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)
  • Carr-Nadtochiy's weak reection principle for Markov chains on Zd(conference:MSJ Autumn Meeting 2019)(2019/09/17)

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  • The first hitting time of a diffusion process and its application to mathematical finance(conference:KU-KFU Joint Symposium on Mathmatics)(2019/05/23)
  • Hedging of Barrier Options(2020/03/05)

Arts and Fieldwork


Theme to the desired joint research

Grant-in-Aid for Scientific Research


Classes (Bachelors)

Classes (Graduate Schools)

International Project

International Students

Lecture themes

Others (Social Activities)

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