高田英行／准教授

メニュー

高田英行

金融工学
数理ファイナンス

＜論文＞

H. Nakagawa and H. Takada, Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method, Journal of Financial Engineering, Vol. 1, No.3, (2014)
T. Ochiai, H. Takada and J. Nacher, Quantifying the behavior of price dynamics at opening time in stock market, Physica A 413, pp.534-543 (2014)
H. Takada, Multi-name Extension to the Credit Grades and an Efficient Monte Carlo Method, Journal of Mathematical Finance, Vol. 4, pp.188-206 (2014)
H. Takada and U. Sumita, Credit risk model with contagious default dependencies affected by macro-economic condition, European Journal of Operational Research, Vol.214, Issue2, 365-379 (2011)
H. Takada, U. Sumita, and K. Takahashi, Pricing collateralized debt obligations with Markov-modulated Poisson processes, Quantitative Finance, Vol.11, issue 12, 1761-1771 (2011)
K. Giesecke, H. Kakavand, M. Mousavi and H, Takada, Exact and efficient simulation of correlated defaults, SIAM Journal of Financial Mathematics, Vol.1, pp.868-896 (2010)
H. Takada, U. Sumita and H. Jin, Development of computational algorithms for evaluating option prices associated with square-root volatility processes, Methodology and computing in applied probability, Vol.11, No.4, 687-703 (2009)