京都大学 大学院経済学研究科・経済学部
Source: http://www.econ.kyoto-u.ac.jp/en/faculty-members/professor/egamimasahiko/ Parent: http://www.econ.kyoto-u.ac.jp/en/faculty-members/professor/
DEPARTMENT FACULTY
Professor
Masahiko EGAMI
Basic Information
- Academic Degrees: : Princeton University,Ph.D.(Operations Research and Financial Engineering)
- Courses in charge: \ : [Undergraduate] \ : [Graduate]
- Fields of Research: : Financial Engineering, Applied Probability, Stochastic Optimization
- Keywords: : Stochastic Control, Fluctuations of Levy Processes, Credit Risk
Selected Publications
- “A Continuous-Time Search Model with Job Switch and Jumps”(with M.Xu), Mathematical Methods of Operations Research,Mathematical Methods of Operations Research, 70, 2, 241-267, 2009.
- “Optimal Reinsurance Strategy under Fixed Cost and Delay”(with V.R.Young), Stochastic Process and Their Applications,Stochastic Processes and their Applications, 119, 3, 1015-1034, 2009.
- “A Framework for the Study of Expansion Options”, Loan Commitments and Agency Costs, Journal of Corporate Finance, 15(3), 345-357, 2009.
- “A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions”, SIAM Journal on Control and Optimization: 47(3)1191-1218, 2008.
- “Optimizing Venture Capital Investments in a Jump Diffusion Model”(with E.Bayraktar),Mathematical Methods of Operations Research: 67(1) 21-42, 2008.
- “An Analysis of Monotone Follower Problems for Diffusion Processes” (with E.Bayraktar),Mathematics of Operations Research: 33(2) 336-350, 2008.
- “The Effects of Implementation Delay on Decision-Making under Uncertainty”（with E.Bayraktar),Stochastic Processes and Their Applications 117(3) 333-358,2007.
- “An Approximation Method for Analysis and Valuation of Credit Correlation Derivatives”（with K.Esteghamat)，Jorunal of Banking and Finance 30(2) 341-364,2006.
Membership of Professional Organizations
- Bachelier Finance SocietyInstitute of Mathematical Statistics