IMAMURA Yuri

J-GLOBAL         Last updated: Oct 29, 2019 at 13:44
 
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Name
IMAMURA Yuri
E-mail
imamurayse.kanazawa-u.ac.jp
Affiliation
Kanazawa University
Section
Institute of Science and Engineering Faculty of Mathematics and Physics
Job title
Assistant Professor
Degree
Doctor of Science(Ritsumeikan University)
Research funding number
40633194
ORCID ID
0000-0002-4507-9248

Research Areas

 
 

Academic & Professional Experience

 
Apr 2019
 - 
Today
Associate Profesor, School of Mathematics and Physics, Kanazawa University
 
Apr 2012
 - 
Mar 2013
Administrative Assistant, Department of Mathematical Science, Ritsumeikan University
 
Apr 2013
 - 
Mar 2016
Assistant Professor, Department of Mathematical Science, Ritsumeikan University
 
Apr 2016
 - 
Mar 2019
Assistant Professor, School of Management, Tokyo University of science,
 

Education

 
Apr 2009
 - 
Mar 2011
Graduate School, Division of Integrated Science, Ritsumeikan University
 
Apr 2003
 - 
Mar 2007
Department of Mathematical Sciences, Faculty of Science, Ritsumeikan University
 
Apr 2007
 - 
Mar 2009
Mathematics, Graduate School, Division of Integrated Science, Ritsumeikan University
 

Committee Memberships

 
Apr 2018
 - 
Mar 2021
The Japan Society for Industrial and Applied Mathematics  editorial committee member
 
Jul 2015
 - 
Jun 2017
The Japanese Association of Financial Econometrics and Engineering  第12期広報担当理事
 
Jul 2013
 - 
Jun 2015
The Japanese Association of Financial Econometrics and Engineering  第11期広報担当理事
 

Published Papers

 
Yuuki Ida, Yuri Imamura
JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS   34(3) 833-843   Nov 2017   [Refereed]
Yuri Imamura, Yuta Ishigaki, Toshiki Okumura
Monte Carlo Methods and Applications   20(4) 223-235   Dec 2014   [Refereed]
Jirô Akahori and Yuri Imamura
QUANTITATIVE FINANCE   14(7) 1211-1216   Dec 2013   [Refereed]
Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi dimensional Brownian Motion
Yuri Imamura, Katsuya Takagi
Asia-Pacific Financial Markets   1(20) 71-81   Mar 2013   [Refereed]
Some Simulation Results of the Put-Call Symmetry Method Applied to Stochastic Volatility Models
Yuri Imamura, Yuta Ishigaki, Takuya Kawagoe, Toshiki Okumura
The Proceedings of 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications   242-245   2012   [Refereed]

Conference Activities & Talks

 
離散モデルにおけるweak reflection principle
IMAMURA Yuri
4 Mar 2019   
離散時間モデルにおけるCarr -Nadtochiy変換
IMAMURA Yuri
Fukuoka University Probability Seminar   27 Dec 2018   
A Discrete Scheme of Static Hedging of Barrier Options
IMAMURA Yuri
Quantitative Methods in Finance 2018 Conference   12 Dec 2018   
A Discrete Version of Carr-Nadtochiy Transform [Invited]
IMAMURA Yuri
Workshop Stochastic Processes with Applications in Finance and Related Fields   14 Sep 2018   
A Discrete Scheme of Static Hedging of Barrier Options
IMAMURA Yuri
2 nd Interdisciplinary & Research Alumni Symposium iJaDe2018   6 Sep 2018   

Teaching Experience

 
 

Research Grants & Projects

 
Asymptotic static hedging of a timing risk
Japan Society for the Promotion of Science: Grant-in-Aid for Young Scientists (B)
Project Year: Apr 2014 - Mar 2018    Investigator(s): IMAMURA Yuri
Timing risk is an uncertainty associated to the instant at which the payoff payment of derivative is executed.This project proposes a methodology to hedge it via static positions in derivatives without timing risk (plain vanilla options) under a m...
Heat Kernel Approach in Financial Engineering of New Generation
Japan Society for the Promotion of Science: Grant-in-Aid for Scientific Research (B)
Project Year: Apr 2013 - Mar 2018    Investigator(s): AKAHORI Jiro
The project contributed, from the perspective of stochastic calculus, to the new developments in the field of financial engineering after the financial crisis. In the new generation modelling, more sophisticated theoretical foundations
explaining ...
Generalization of Put-Call Symmetry Method and Its Applications
JSPS: Grant-in-Aid for Research Activity start-up
Project Year: Sep 2012 - Mar 2013    Investigator(s): IMAMURA Yuri
Firstly, I have fully determined the Put-Call type symmetrizations for generic multi-dimensional diffusion processes. The results were published as a joint paper with Prof. Jiro Akahori at Ritsumeikan University. Secondly, I have obtained an asymp...