Imai, Junichi

J-GLOBAL         Last updated: Oct 16, 2019 at 02:57
Imai, Junichi
Keio University
Faculty of Science and Technology Department of Administration Engineering
Job title
博士(工学)(Tokyo Institute of Technology)

Research Areas


Academic & Professional Experience

Apr 1994
Sep 1994
May 1996
Mar 1997
日本学術振興会 特別研究員
Apr 1997
Mar 1999
東京工業大学 大学院 社会理工学研究科 経営工学専攻 助手
Apr 1999
Mar 2003
岩手県立大学 総合政策学部 総合政策学科 講師
Jul 1999
Jul 2001
日本学術振興会 海外特別研究員 University of Waterloo, Canada


Mar 1992
経営工学, Faculty of Engineering, Tokyo Institute of Technology
Mar 1994
経営工学専攻, Graduate School, Division of Science and Engineering, Tokyo Institute of Technology
Mar 1997
経営工学専攻, Graduate School, Division of Science and Engineering, Tokyo Institute of Technology

Committee Memberships

Apr 2019
日本リアルオプション学会  会長
Oct 2017
Methodology and Computing in Applied Probability  Associate Editor
JAFEE  Associate Editor
Jan 2014
日本金融・証券計量・工学学会  和文誌編集委員
Mar 2011
日本リアルオプション学会  評議委員

Awards & Honors

Aug 2009
A Generalized Linear Transformation Method for Simulating Meixner Levy Process, Best Paper Award of The 2009 International Conference of Financial Engineering in The World Congress on Engineering 2009, IAENG(International Association of Engineers),
Winner: Junichi Imai and Ken Seng Tan

Published Papers

Otani Y., Imai J.
IAENG International Journal of Applied Mathematics   48(2) 191-205   May 2018   [Refereed]
© 2018 International Association of Engineers. In this paper, we perform an empirical analysis of the dependence structure of international equity and bond markets using the regime-switching copula model. In equity markets, it is observed that neg...
Yuta Fukui, Junichi Imai
International Journal of Real Options and Strategy   6 13-44   2018   [Refereed]
Fukui Yuta, IMAI Junichi
リアルオプション研究   7(2) 37-57   Dec 2015   [Refereed]
Junichi Imai
Asia-Pacific Financial Markets   22(1) 1-26   2015   [Refereed]
杉浦大輔, 今井 潤一
ジャフィー・ジャーナル 金融工学と市場計量分析      2015   [Refereed]
Junichi Imai and Ken Seng Tan
SIAM Journal on Scientific Computing   36(5) A2101-A2121   2014   [Refereed]
Junichi Imai
Mathematics and Computers in Simulation   100 54-71   2014   [Refereed]
Kunio So and Junichi Imai
Methodology and Computing in Applied Probability      2014   [Refereed]
J.Imai and R. Kawai
Journal of Computational and Applied Mathematics   253 264-283   Apr 2013   [Refereed]
Time-changed Lévy過程の下でのアメリカンオプションの評価
杉浦大輔, 今井潤一
ジャフィー・ジャーナル      Apr 2013   [Refereed]
Yuko Otani and Junichi Imai
IAENG International Journal of Applied Mathematics   43(4) 264-283   2013   [Refereed]
Junichi Imai
Monte Carlo Methods and Applications   19(3) 237-259   2013   [Refereed]
In this paper, we investigate simple yet practical schemes to generate random variates from the characteristic function of any continuous distribution. We discuss the generation of non-uniform random variates from a uniform random number generator...
日本オペレーションズ・リサーチ学会和文論文誌   55 177-193   2012   [Refereed]
Junichi Imai and Reiichiro Kawai
Physica A: Statistical Mechanics and Applications   390(23-24) 4411-4425   Nov 2011   [Refereed]
リアルオプション研究   4(1) 1--32   Mar 2011   [Refereed]
R. Kawai and J. Imai
Monte Carlo and Quasi-Monte Carlo Methods 2010   23 471-486   2011   [Refereed]
Infinitely divisible random vectors and Lévy processes without Gaussian component admit representations with shot noise series. To enhance efficiency of the series representation in Monte Carlo simulations, we discuss variance reduction methods, s...
リアルオプション研究   4(2) 169-206   2011   [Refereed]
IMAI Junichi and Kawai Reiichiro
SIAM Journal on Scientific Computing   32(4) 1879-1897   2010   [Refereed]
Junichi Imai and Ken Seng Tan
IAENG International Journal of Applied Mathematics   39(4) 265-275   Sep 2009   [Refereed]
Junichi Imai and Ken Seng Tan
Proceedings of the World Congress on Engineering 2009   II pp1406-1411   Jul 2009   [Refereed]
リアルオプション研究   2 65-87   2009   [Refereed]
This paper investigates the equilibrium investment policies of two different firms under consumers’ preference uncertainty. The incumbent firm, which owns a superior old technology, produces merchandise that can satisfy current consumers at the be...
Junichi Imai and Ken Seng Tan
SIAM Journal on Scientific Computing   31(3) 2282-2302   2009   [Refereed]
In this paper, we develop a simple and yet practically efficient algorithm for simulating high-dimensional exotic options. Our method is based on an extension of Imai and Tan's linear transformation method, which is originally proposed in the cont...
今井 潤一
数理解析研究所講究録   1580 114-123   Feb 2008
Phelim Boyle, Junichi Imai and Ken Seng Tan
Insurance: Mathematics and Economics   43(3) 327-338   2008   [Refereed]
This paper describes a simple and efficient method for determining the optimal portfolio for a risk averse investor. The portfolio selection problem is of long standing interest to finance scholars and it has obvious practical relevance. In a comp...
Junichi Imai and Takahiro Watanabe
Stochastic Processes and Applications to Mathematical Finance:Proceedings of the 6th Ritsumeikan Conference   151-172   2007   [Refereed]
In this paper we develop a valuation model when there exist two competitive firms that face irreversible investment decisions under the demand uncertainty. We propose a numerical procedure to derive both project values and equilibrium strategies i...
今井潤一, 渡辺隆裕
現代ファイナンス   22 75-95   2007   [Refereed]
Junichi Imai and Ken Seng Tan
Journal of Computational Finance   10(2) 129-155   2007   [Refereed]
For a trajectory simulated from s standardized independent normal variates ε = (ε1, . . . , εs )1, the payoff of a European option can be represented as max[g(ε), 0], where the function g(ε) is assumed to be differentiable and it relates to the na...
Junichi Imai and Ken Seng Tan
Monte Carlo and Quasi-Monte Carlo Methods 2002: Proceedings of a Conference held at the National University of Singapore   275-292   2003   [Refereed]
Junichi Imai and Ken Seng Tan
Proceedings of the 2002 Winter Simulation Conference   1502-1510   2003   [Refereed]
Junichi Imai and Phelim Boyle
North American Actuarial Journal   5(3) 31-51   2001   [Refereed]
Dynamic fund protection provides an investor with a floor level of protection during the investment period. This feature generalizes the concept of a put option, which provides only a floor value at a particular time. The dynamic protection featur...
A Real Option Analysis of An Oil Refinery Project
Junichi Imai and Mutsumi Nakajima
Financial Practice and Education   10(2) 78-91   2000   [Refereed]
佐山展生, 今井潤一
経営財務情報の経済分析   123-148   Oct 1999   [Refereed]
今井 潤一
コーポレートファイナンスの理論と実証   109-133   Sep 1998   [Refereed]
今井 潤一
日本経営工学学会論文誌   47(6) 434-442   Feb 1997   [Refereed]
今井潤一, 古川浩一
経営財務諸研究の新潮流   1-42   Jan 1997   [Refereed]


IMAI Junichi
日本OR学会機関誌   (6月)    Jun 2016   [Invited]

Books etc

古川浩一, 蜂谷豊彦, 中里宗敬, 今井潤一 (Part:Joint Work)
中央経済社   Apr 2013   
Monte Carlo and Quasi-Monte Carlo Methods 2010
Reiichiro Kawai and Junichi Imai (Part:Joint Work)
Springer-Verlag   2011   
今井潤一, 渡辺隆裕 (Part:Joint Work, 67-86)
日本リアルオプション学会編,シグマベイスキャピタル   Nov 2006   
古川浩一, 蜂谷豊彦, 中里宗敬, 今井潤一 (Part:Joint Work)
中央経済社   Oct 2006   
リアル・オプション-- 投資プロジェクト評価の工学的アプローチ
IMAI Junichi
中央経済社   Oct 2004   

Conference Activities & Talks

Innovation in Digital Economy: Digital Transformation of Business Models
Robin Schneider and Junichi Imai
Managerial Workshop on INNOVATION & PUBLIC POLICY   26 Jun 2019   International Real Options Conference
日本リアルオプション学会 JAROS2018   2 Dec 2018   
Valuing Investments in Digital Business Transformation
Robin Schneider, Junichi Imai
The 22nd Annual International Conference on Real Options   21 Jun 2018   
Reference-dependent Expected Shortfall: new descriptive risk measures consistent with Prospect theory
Sumito Onozaki, Junichi Imai
Quantitative Methods in Finance 2017 (QMF2017)   14 Dec 2017   
プロスペクト確率優越に整合的なリスク尺度 Reference-dependent Expected Shortfall の提案
小野崎純人, 今井潤一
JARIP2017   2 Dec 2017   

Teaching Experience


Research Grants & Projects

Grant-in-Aid for Scientific Research
Project Year: 2015 - 2019
Grant-in-Aid for Scientific Research
Project Year: 2012 - 2014
Grant-in-Aid for Scientific Research
Project Year: 2009 - 2011    Investigator(s): 枇々木規雄
Grant-in-Aid for Scientific Research
Project Year: 2009 - 2011
Grant-in-Aid for Scientific Research
Project Year: 2006 - 2008