Faculty of Science and Technology
Profile Information
- Affiliation
- Researcher, Faculty of Science and Technology Department of Information and Communication Sciences, Sophia University
- Degree
- 博士 (数理科学)(東京大学大学院数理科学研究科)
- J-GLOBAL ID
- 201901008006630754
- researchmap Member ID
- B000374433
Research Areas
2Research History
4-
Apr, 2020 - Mar, 2023
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Dec, 2018 - Mar, 2020
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Apr, 2018 - Nov, 2018
Education
3-
Apr, 2015 - Mar, 2018
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Apr, 2013 - Mar, 2015
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Apr, 2009 - Mar, 2013
Papers
2-
Japanese Journal of Statistics and Data Science, Mar, 2019 Peer-reviewed
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ADVANCED MODELLING IN MATHEMATICAL FINANCE: IN HONOUR OF ERNST EBERLEIN, 189 131-146, 2016 Peer-reviewedThis paper discusses estimation of correlation between hidden semimartingales. We show the consistency and the asymptotic mixed normality of the proposed correlation estimator in a high frequency setting. As an example, estimation of covariance between intensity processes of doubly stochastic point processes will be mentioned.
Presentations
11-
Kinosaki Seminar“ Data Science & Causality", 2019
Professional Memberships
2Research Projects
1-
科学研究費助成事業 若手研究, 日本学術振興会, Apr, 2020 - Mar, 2023