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Researcher Information

last modified:2024/01/08

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


Academic Background

Doctor of Science


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



Mathematical analysis

Speciality Keywords

stochastic analysis, mathematical finance

Research Themes

distribution of the hitting time and application to finance



  •  Portfolio optimization with conditional Value-at-Risk under CEV model Yuri Imamura, Benyanee Kosapong The Science Reports of Kanazawa University 66 17-27 2023/09/13 
  •  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
  •  Carr–Nadtochiy’s weak reflection principle for Markov chains on Zd Yuri Imamura  Japan Journal of Industrial and Applied Mathematics 2020/08/06

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  •  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
  •  On a symmetrization of diffusion processes Jiro Akahori, Yuri Imamura Quantitative Finance  14 7 1211-1216 2013/12
  •  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
  •  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
  •  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
  •  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

  • 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)

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  • 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)


Arts and Fieldwork


Theme to the desired joint research

○a distribution of time homogeneous stochastic processes

Grant-in-Aid for Scientific Research


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)

International Project

International Students

Lecture themes

Others (Social Activities)

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