Kazuhiro YASUDA

Kazuhiro YASUDA
Systems Engineering and Science (Management Science Track)
Mathematical Finance Laboratory
Research Fields
Stochastic control, Stochastic Numerical Analysis, Mathematical Finance, Financial Mathematics
Stochastic Analysis, Stochastic Differential Equations, Probability Theory, Option Pricing, Portfolio Optimization
 There are many phenomena that randomly fluctuate over time in daily life. In my research, fluctuations of financial assets, like stock prices, are considered as random phenomena over time and are modeled using mathematical model, especially stochastic models. Based on such models, I study problems in mathematical finance using stochastic analysis. For example, pricing of derivatives, Greeks calculations (sensitivity analysis), portfolio optimization problems (expected utility maximization problems), risk management in finance and so on. I am also interested in mathematics arising from finance like stochastic control problems, numerical analysis for those financial problems, etc. Moreover in the last few years, I study about insurance problems using theories from mathematical finance and stochastic analysis.