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/matsuihiroyuki/ Parent: http://www.econ.kyoto-u.ac.jp/en/faculty-members/professor/
DEPARTMENT FACULTY
Professor
Hiroyuki MATSUI
Basic Information
- Academic Degrees: : D. Engineering (Tokyo Institute of Technology)
- Courses in charge: \ : [Undergraduate] Management information, Decision Making \ : [Graduate] Organizational information & communication systems, Management Mathematics
- Fields of Research: : Planning Theory
- Keywords: : Planning Theory, Decision Making Support, Gaming Simulation
Selected Publications
- “An Approximation Method for Analysis and Valuation of Credit Correlation Derivatives”（with K.Esteghamat)，Jorunal of Banking and Finance 30(2) 341-364,2006.
- “The Effects of Implementation Delay on Decision-Making under Uncertainty”（with E.Bayraktar),Stochastic Processes and Their Applications 117(3) 333-358,2007.
- “An Analysis of Monotone Follower Problems for Diffusion Processes” (with E.Bayraktar),Mathematics of Operations Research: 33(2) 336-350, 2008.
- “Optimizing Venture Capital Investments in a Jump Diffusion Model”(with E.Bayraktar),Mathematical Methods of Operations Research: 67(1) 21-42, 2008.
- “A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions”, SIAM Journal on Control and Optimization: 47(3)1191-1218, 2008.
- “A Framework for the Study of Expansion Options”, Loan Commitments and Agency Costs, Journal of Corporate Finance, 15(3), 345-357, 2009.
- “Optimal Reinsurance Strategy under Fixed Cost and Delay”(with V.R.Young), Stochastic Process and Their Applications（forthcoming）.
- “A Continuous-Time Search Model with Job Switch and Jumps”(with M.Xu), Mathematical Methods of Operations Research（forthcoming）.
Membership of Professional Organizations
- Bachelier Finance SocietyInstitute of Mathematical Statistics