Hata Hiroaki

Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model 

Mathematical Control & Related Fields, 14(1) 16-50, Mar, 2024  Peer-reviewedLead author

Numerical study for expected power utility maximization of insurers 

Proceedings of the 53th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings), 2022 93-101, Aug, 2022  Peer-reviewedLead author

Expressions of forward starting option price in Hull–White stochastic volatility model 

Decisions in Economics and Finance, 45 101-135, Jun, 2022  Peer-reviewedLead author

Optimal investment and reinsurance of insurers with lognormal stochastic factor model 

Mathematical Control & Related Fields, 12(2) 531-531, Jun, 2022  Peer-reviewedLead author

Risk-sensitive asset management with lognormal interest rates 

Asia-Pacific Financial Markets, 28(2) 169-206, May, 2021  Peer-reviewedLead author

Optimal investment-consumption-insurance with partial information 

Japan Journal of Industrial and Applied Mathematics, 37(1) 309-338, Jan, 2020  Peer-reviewedLead author

Risk-sensitive portfolio optimization problem for a large trader with inside information 

Japan Journal of Industrial and Applied Mathematics, 35(3) 1037-1063, Oct, 2018  Peer-reviewedLead author

An optimal consumption problem for general factor models 

SIAM Journal on Control and Optimization, 56(5) 3149-3183, Sep, 2018  Peer-reviewedLead author

Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model 

Scandinavian Actuarial Journal, 2018(5) 357-378, May 28, 2018  Peer-reviewedLead author

An optimal consumption and investment problem with partial information 

Advances in Applied Probability, 50(1) 131-153, Mar 1, 2018  Peer-reviewedLead author

Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps 

Asia-Pacific Financial Markets, 24(3) 221-252, Nov, 2017  Peer-reviewedLead author

An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model 

RIMS Kôkyûroku, 2030(2030) 143-150, May, 2017  Lead author

Risk-sensitive asset management in a general diffusion factor model: risk-seeking case 

Japan Journal of Industrial and Applied Mathematics, 34(1) 59-98, Apr, 2017  Peer-reviewedLead author

A market model with medium/long-term effects due to an insider 

Quantitative Finance, 13(3) 421-437, Mar, 2013  Peer-reviewedLead author

Risk-sensitive asset management with Wishart-autoregressive-type factor model 

Journal of Mathematical Finance, 3(1A) 222-229, Mar, 2013  Peer-reviewed

On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: II. Verification Theorem 

SIAM Journal on Control and Optimization, 50(4) 2401-2430, 2012  Peer-reviewedLead author

On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: I. Existence of solution 

SIAM Journal on Control and Optimization,, 50(4) 2373-2400, 2012  Peer-reviewedLead author