TAKEHARA Kohta
准教授
竹原 浩太 タケハラ コウタ たけはら こうた
プロフィール
所属
東京都立大学経営学研究科 経営学専攻
最終学歴・学位
博士(経済学)
専門・研究分野
金融工学,数理ファイナンス,応用確率解析
研究
研究テーマ
デリバティブの価格付け,金融における数値解法,
漸近展開法の応用,非正規分布を中心とする漸近展開法,
時間遅れのある確率過程による制御について 等
研究キーワード
デリバティブ,数値解法,漸近展開法,時間遅れのある確率微分方程式
詳細情報
Hiroyasu Ando, Kohta Takehara, and Miki U. Kobayashi,
“Time-delayed feedback control of diffusion in random walkers,”
Phys. Rev. E 96, 012148-012153, 2017.
Kohta Takehara, Masashi Toda and Akihiko Takahashi,
“A General Computation Scheme for a High-Order Asymptotic Expansion Method,” International Journal of Theoretical and Applied Finance, Vol. 15-6, pp.903-927, 2012.
Kohta Takehara, Masashi Toda and Akihiko Takahashi,
"Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options," International Journal of Business and Finance Research, Vol. 5-3, pp.87-100, 2011.
Akihiko Takahashi and Kohta Takehara,
“A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options,”
International Journal of Theoretical and Applied Finance, Vol.13-8, pp.1179-1221, 2010.
Kohta Takehara, Akihiko Takahashi and Masashi Toda,
"New Unified Computation Algorithm in a High-Order Asymptotic Expansion Scheme," Recent Advances in Financial Engineering(the Proceedings of KIER-TMU International Workshop on Financial Engineering 2009), pp.231-251, 2010.
Akihiko Takahashi and Kohta Takehara,
“Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options,”
International Journal of Theoretical and Applied Finance, Vol.11-4, pp.381-401, 2008.
Akihiko Takahashi and Kohta Takehara,
“An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates,” Asia-Pacific Financial Markets, Vol.14, pp. 69-121, 2007.
“Time-delayed feedback control of diffusion in random walkers,”
Phys. Rev. E 96, 012148-012153, 2017.
Kohta Takehara, Masashi Toda and Akihiko Takahashi,
“A General Computation Scheme for a High-Order Asymptotic Expansion Method,” International Journal of Theoretical and Applied Finance, Vol. 15-6, pp.903-927, 2012.
Kohta Takehara, Masashi Toda and Akihiko Takahashi,
"Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options," International Journal of Business and Finance Research, Vol. 5-3, pp.87-100, 2011.
Akihiko Takahashi and Kohta Takehara,
“A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options,”
International Journal of Theoretical and Applied Finance, Vol.13-8, pp.1179-1221, 2010.
Kohta Takehara, Akihiko Takahashi and Masashi Toda,
"New Unified Computation Algorithm in a High-Order Asymptotic Expansion Scheme," Recent Advances in Financial Engineering(the Proceedings of KIER-TMU International Workshop on Financial Engineering 2009), pp.231-251, 2010.
Akihiko Takahashi and Kohta Takehara,
“Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options,”
International Journal of Theoretical and Applied Finance, Vol.11-4, pp.381-401, 2008.
Akihiko Takahashi and Kohta Takehara,
“An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates,” Asia-Pacific Financial Markets, Vol.14, pp. 69-121, 2007.
- オプション理論特殊研究
- オプション理論特殊演習
- オプション理論
- クレジットデリバティブ
- 上級オプション理論
- ファイナンス演習
- ファイナンス考究
- 研究指導(竹原)
- 研究指導(竹原)
- 研究指導(竹原)
- 研究指導(竹原)
- 特別研究(竹原)
- 特別研究(竹原)
- 特別研究(竹原)
- 特別研究(竹原)
- 組織再編前旧課程の同時開講科目等が含まれており、掲載されている全ての科目を開講するわけではありません。
連絡先
研究室
丸の内研究室02