TANAKA Keiichi
教授
田中 敬一 タナカ ケイイチ たなか けいいち
プロフィール
最終学歴・学位
大阪大学大学院経済学研究科博士後期課程修了 博士(経済学)
専門・研究分野
数理ファイナンス(金利モデル、信用リスクモデル等)
研究
研究テーマ
Asset pricing theory, Term structure models, Credit risk
詳細情報
Optimal timing for short covering of an illiquid security, (with Tsz-Kin Chung), Journal of the Operations Research Society of Japan,58, pp.165-183, 2015
金融・実物資産市場における最適取引戦略, オペレーションズ・リサーチ,60, pp.138-143, 2015
Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model, (with Kazuki Nagashima, Tsz-Kin Chung), Asia-Pacific Financial Markets,21, pp.351-396, 2014
First Passage Time in Real Options Kokyuroku No.1818, Research Institute for Mathematical Science, Kyoto University, 2013
Value Function of Real Options with Regime Switching Kokyuroku No.1802, Research Institute for Mathematical Science, Kyoto University, 2012
Alternatives to Black-Scholes Formulation in Finance, (with Masaaki Kijima), in Methods and Applications of Statistics in Business, Finance, and Management Science, pp.1-22, ed. by N. Balakrishnan, Wiley-Blackwell, 2010
Applications of Gram-Charlier Expansion and Bond Moments for Pricing of Interest Rates and Credit Risk, (with Takeshi Yamada and Toshiaki Watanabe), Quantitative Finance, Vol. 10 No.6 pp.645-662, 2010
Yield Spread Options under the DLG model, (with Masaaki Kijima and Tony Wong), in Modelling Interest Rates, ed. by Fabrio Mercurio, RISK book, 2009
A Multi-Quality Model of Interest Rates, (with Masaaki Kijima and Tony Wong), Quantitative Finance, Vol. 9 No.2 pp.133-145, 2009
A Latent Process Model for the Pricing of Corporate Securities, (with Masaaki Kijima, Teruyoshi Suzuki), Mathematical Methods of Operations Research, Vol.69 No. 3 pp.439-455, 2009
金融・実物資産市場における最適取引戦略, オペレーションズ・リサーチ,60, pp.138-143, 2015
Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model, (with Kazuki Nagashima, Tsz-Kin Chung), Asia-Pacific Financial Markets,21, pp.351-396, 2014
First Passage Time in Real Options Kokyuroku No.1818, Research Institute for Mathematical Science, Kyoto University, 2013
Value Function of Real Options with Regime Switching Kokyuroku No.1802, Research Institute for Mathematical Science, Kyoto University, 2012
Alternatives to Black-Scholes Formulation in Finance, (with Masaaki Kijima), in Methods and Applications of Statistics in Business, Finance, and Management Science, pp.1-22, ed. by N. Balakrishnan, Wiley-Blackwell, 2010
Applications of Gram-Charlier Expansion and Bond Moments for Pricing of Interest Rates and Credit Risk, (with Takeshi Yamada and Toshiaki Watanabe), Quantitative Finance, Vol. 10 No.6 pp.645-662, 2010
Yield Spread Options under the DLG model, (with Masaaki Kijima and Tony Wong), in Modelling Interest Rates, ed. by Fabrio Mercurio, RISK book, 2009
A Multi-Quality Model of Interest Rates, (with Masaaki Kijima and Tony Wong), Quantitative Finance, Vol. 9 No.2 pp.133-145, 2009
A Latent Process Model for the Pricing of Corporate Securities, (with Masaaki Kijima, Teruyoshi Suzuki), Mathematical Methods of Operations Research, Vol.69 No. 3 pp.439-455, 2009
日本ファイナンス学会, JAFEE, 日本経済学会, 日本オペレーションズリサーチ学会
- 金融経済学
- 演習(田中)
- 演習(田中)
- 卒業論文(田中)
- 金融経済学
- 演習(田中)
- 演習(田中)
- 卒業論文(田中)
- 経済数学
- 経済学特別演習(計量経済学)
- 研究指導(田中)
- 研究指導(田中)
- 経済学特別講義(マクロ経済学のための動学的最適化)
- 経済学特別講義(経済学のための確率論)
- 金融経済学特殊研究
- 金融経済学特殊演習
- 金融経済学特別研究
- 金融経済学特別演習
- 特別研究(田中)
- 特別研究(田中)
- 特別研究(田中)
- 特別研究(田中)
- 金融経済学特殊研究
- 金融経済学特殊研究
- 統計学Ⅰ
- 統計学II
- 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
3号館313号室
メールアドレス
tanaka-keiichi●tmu.ac.jp
(メールを送信される場合は●を@に変換してください)