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YASUDA Kazuhiro
Faculty of Science and Engineering Department of Industrial and Systems Engineering
Associate Professor
Researchmap URL
https://researchmap.jp/read0147106
Career
■ Career
- Apr. 2016 - Present
Hosei University, Graduate School of Science and Engineering, Major in Systems Engineering (Management Science Track) - Apr. 2013 - Present
Hosei University, Faculty of Science and Engineering, Associate Professor - Apr. 2010 - Present
Hitotsubashi University, Center for General Education, Part-time lecturer - Apr. 2024 - Mar. 2026
東京女子大学, 非常勤講師 - Apr. 2023 - Jun. 2023
Tsuda University, Part-time lecturer - Apr. 2022 - Sep. 2022
Tokyo Woman’s Christian University, Part-time lecturer - Apr. 2016 - Sep. 2016
Tokyo Metropolitan University, （都市教養学部 経営学系 経営学コース）, Part-time lecturer - Apr. 2016 - Sep. 2016
Tokyo Metropolitan University, 都市教養学部 経営学系 経営学コース, Part-time lecturer - Oct. 2015 - Mar. 2016
Tokyo Metropolitan University, Graduate school of science, Part-time lecuter - Apr. 2014 - Mar. 2016
Hosei University, Graduate School of Science and Engineering, Major in Systems Engineering (Management Track) - Apr. 2014 - Mar. 2016
法政大学 大学院, 理工学研究科 システム工学専攻（経営系）, 兼任 - Apr. 2008 - Mar. 2013
Hosei University, Faculty of Science and Engineering, Assistant Professor - Apr. 2011 - Sep. 2011
Tokyo Metropolitan University, （都市教養学部 経営学系 経営学コース）, Part-time lecturer - Apr. 2011 - Sep. 2011
Tokyo Metropolitan University, 都市教養学部 経営学系 経営学コース, Part-time lecturer
Research activity information
■ Award
- May 2009
The Institute of Systems, Control and Information Engineers, Sunahara Prize (The Institute of Systems, Control and Information Engineers) - May 2009
The Institute of Systems, Control and Information Engineers, Encouragement Prize (The Institute of Systems, Control and Information Engineers)
- Expected power utility maximization of insurers
H. Hata; K. Yasuda
Asia-Pacific Financial Markets, Sep. 2024, [Reviewed] - Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model
H. Hata; K. Yasuda
Mathematical Control and Related Fields, Mar. 2024, [Reviewed] - An expected exponential utility maximization problem for Bitcoin miners
K. Yasuda
Japan Journal of Industrial and Applied Mathematics, Jan. 2024, [Reviewed] - Expressions of Forward Starting Option Price in Hull–White Stochastic Volatility Model
H. Hata; N.-L. Liu; K. Yasuda
Decisions in Economics and Finance, Jun. 2022, [Reviewed] - Numerical study for expected power utility maximization of insurers
H. Hata; K. Yasuda
Proceedings of the 53rd ISCIE international symposium on stochastic systems theory and its applications, Apr. 2022, [Reviewed] - Effect of Zero-cost Interval in Running Cost for Stochastic Impulse Control Problems
R. Naito; K. Yasuda
Transactions of the Institute of Systems, Control and Information Engineers, Aug. 2019, [Reviewed] - Classical and restricted impulse control for the exchange rate under a stochastic trend model
Wolfgang J. Runggaldier; Kazuhiro Yasuda
Journal of Economic Dynamics and Control, 01 Jun. 2018, [Reviewed] - Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model
Hiroaki Hata; Kazuhiro Yasuda
Scandinavian Actuarial Journal, 28 May 2018, [Reviewed] - Tuning of a Bayesian Estimator under Discrete Time Observations and Unknown Transition Density
A. Kohatsu-Higa; N. Vayatis; K. Yasuda
Theory of Stochastic Processes, 2018, [Reviewed] - Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
Arturo Kohatsu-Higa; Antoine Lejay; Kazuhiro Yasuda
Journal of Computational and Applied Mathematics, Dec. 2017, [Reviewed] - On Malliavin Sensitivity Analysis with Polynomial Growth Payoff Functions under the Black-Scholes Model
K. Yamamura; K. Yasuda
JSIAM Letters, Feb. 2017, [Reviewed] - On Classical and Restricted Impulse Stochastic Control for the Exchange Rate
Giulio Bertola; Wolfgang J. Runggaldier; Kazuhiro Yasuda
Applied Mathematics and Optimization, Oct. 2016, [Reviewed] - Effects on Hedging Errors of First-to-Default Swap from Parameter Estimation Errors
H. Hebiguchi; K. Yasuda
Proceedings of the 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings), May 2016, [Reviewed] - Numerical Comparisons of Expected Log-Utility Maximization Problem with a Factor Model under Several Situations
Y. Asakura; K. Yasuda
Proceedings of the 47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings), May 2016, [Reviewed] - On Effects of Estimations and Information for Expected Log-Utility Maximization Problems
Y. Asakura; K. Yasuda
Proceedings of the 45th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings), Aug. 2014 - Strong Consistency of Bayesian Estimator for the Ornstein-Uhlenbeck Process
A. Kohatsu-Higa; N. Vayatis; K. Yasuda
Inspired by Finance, Nov. 2013, [Reviewed] - An Ornstein-Uhlenbeck Type Process which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure
A. Kohatsu-Higa; K. Yasuda
Malliavin Calculus and Stochastic Analysis, Mar. 2013, [Reviewed] - Sensitivity Analysis of Expectation with respect to Stochastic Differential Equations with Long Memory through Malliavin Calculus
K. Yasuda
Transactions of the Institute of Systems, Control and Information Engineers, Nov. 2012, [Reviewed] - Some Numerical Results of Sensitivity Analysis for Expected Values w.r.t. Linear SDE with Long Memory
K. Yasuda
Proceedings of the 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Application (CD-ROM), May 2012, [Reviewed] - Testing for Levy Type Jumps in Japanese Stock Market under the Financial Crisis Using High-Frequency Data
Yoshiaki Barada; Kazuhiro Yasuda
International Journal of Innovative Computing Information and Control, Mar. 2012, [Reviewed] - Testing for Jumps in Japanese Stock Market under the Financial Crisis through High-frequency Data
Y. Barada; Y. Kubo; K. Yasuda
Proceedings of The 42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (CD-ROM), May 2011, [Reviewed] - Volatility estimations under the financial crisis in the Japanese market and testing for jumps
K. Aoki; Y. Barada; M. Tamura; K. Yasuda
Proceedings of The 42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (CD-ROM), May 2011, [Reviewed] - Estimation of densities for Heston-type models through the Malliavin-Thalmaier method and its application to the calculation of Greeks
Arturo Kohatsu-Higa; Kazuhiro Yasuda
International Journal of Innovative Computing Information and Control, Jan. 2010, [Reviewed] - Simulation on multidimensional density functions through the Malliavin-Thalmaier formula and its application to finance
A. Kohatsu-Higa; K. Yasuda
Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, May 2009, [Reviewed] - Estimating multidimensional density functions using the Malliavin-Thalmaier formula
A. Kohatsu-Higa; Kazuhiro Yasuda
SIAM Journal on Numerical Analysis, 2009, [Reviewed] - Estimating multidimensional density functions for random variables in Wiener space
A. Kohatsu-Higa; Kazuhiro Yasuda
Comptes Rendus Mathematique, Mar. 2008, [Reviewed]
- A review of some recent results on Malliavin Calculus and its applications
A. Kohatsu-Higa; K. Yasuda
Advanced Financial Modelling (Radon Series on Computational and Applied Mathematics), Oct. 2009
- Jun. 2015 - Present
The Japan Society for Industrial and Applied Mathematics (JSIAM) - Jul. 2013 - Present
Japanese Association of Financial Econometrics and Engineering (JAFEE) - Sep. 2008 - Present
The Institute of Systems, Control and Information Engineers (ISCIE) - Apr. 2008 - Present
Mathematical Society of Japan (MSJ)
- 数理ファイナンスにおける不完全情報下での確率制御問題の新展開
基盤研究(C)
法政大学
Apr. 2024 - Mar. 2028 - New developments of estimations and numerical analysis in finance
Grant-in-Aid for Young Scientists (B)
Hosei University
2011 - 2013
