相原伸一 (Ichi Shin Aihara) - マイポータル

基本情報

所属: 諏訪東京理科大学システム工学部機械システム工学科諏訪東京理科大学システム工学部機械システムデザイン工学科教授

学位: 工学博士(京都大学)

J-GLOBAL ID: 200901010075216835
researchmap会員ID: 5000019200

研究キーワード

研究分野

ものづくり技術（機械・電気電子・化学工学） / 制御、システム工学 /

学歴

委員歴

2006年 - 2014年

日本金融証券計量工学学会, 論文誌(Asia-Pacific Financial Markets) の編集者

MISC

237

ADAPTIVE FILTERING FOR STOCHASTIC RISK PREMIA IN BOND MARKET

ShinIchi Aihara, Arunabha Bagchi

INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL 8(3B) 2203-2214 2012年3月
ADAPTIVE FILTERING FOR STOCHASTIC RISK PREMIA IN BOND MARKET

ShinIchi Aihara, Arunabha Bagchi

INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL 8(3B) 2203-2214 2012年3月
IDENTIFICATION OF BATES STOCHASTIC VOLATILITY MODEL BY USING NON-CENTRAL CHI-SQUARE RANDOM GENERATION METHOD

ShinIchi Aihara, Arunabha Bagchi, Saikat Saha

2012 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH AND SIGNAL PROCESSING (ICASSP) 3905-3908 2012年
IDENTIFICATION OF BATES STOCHASTIC VOLATILITY MODEL BY USING NON-CENTRAL CHI-SQUARE RANDOM GENERATION METHOD

ShinIchi Aihara, Arunabha Bagchi, Saikat Saha

2012 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH AND SIGNAL PROCESSING (ICASSP) 3905-3908 2012年
Identification Problem for Heston Stochastic Volatility Model by Using Non-central Chi-Square Random Generation Method

ShinIchi AIHARA, Arunabha BAGCHI, Saikat SAHA

Proceedings of the 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications 229-234 2011年
Adaptive Mean-Variance Hedging of Bond Options with Stochastic Risk Term

相原伸一, Arunabha BAGCHI

Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications 134-139 2011年
IDENTIFICATION OF ELECTRICITY SPOT MODELS BY USING CONVOLUTION PARTICLE FILTER

ShinIchi Aihara, Arunabha Bagchi, Emad Imreizeeq

INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL 7(1) 61-72 2011年1月
Identification Problem for Heston Stochastic Volatility Model by Using Non-central Chi-Square Random Generation Method

ShinIchi AIHARA, Arunabha BAGCHI, Saikat SAHA

Proceedings of the 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications 229-234 2011年
Adaptive Mean-Variance Hedging of Bond Options with Stochastic Risk Term

相原伸一, Arunabha BAGCHI

Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications 134-139 2011年
IDENTIFICATION OF ELECTRICITY SPOT MODELS BY USING CONVOLUTION PARTICLE FILTER

ShinIchi Aihara, Arunabha Bagchi, Emad Imreizeeq

INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL 7(1) 61-72 2011年1月
Identification of affine term structures from yield curve data

Shin Ichi Aihara, Arunabha Bagchi

International Journal of Theoretical and Applied Finance 13(2) 259-283 2010年3月
Identification of affine term structures from yield curve data

Shin Ichi Aihara, Arunabha Bagchi

International Journal of Theoretical and Applied Finance 13(2) 259-283 2010年3月
Identification of Electricity Spot Models from Futures Prices

ShinIchi AIHARA, Arunabha BAGCHI, Emad IMREIZEEQ

Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Applications 217-222 2010年
Parameter Estimation of Term Structures Modeled by Stochastic Hyperbolic Systems

ShinIchi AIHARA, Arunabha BAGCHI

INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL 6(1) 171-182 2010年
Identification of Electricity Spot Models from Futures Prices

ShinIchi AIHARA, Arunabha BAGCHI, Emad IMREIZEEQ

Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and Its Applications 217-222 2010年
Parameter Estimation of Term Structures Modeled by Stochastic Hyperbolic Systems

ShinIchi AIHARA, Arunabha BAGCHI

INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL 6(1) 171-182 2010年
Empirical identification of affine term structures from yield curve data

相原伸一, Arunabha BAGCHI

Proceedings of the 40th ISCIE international symposium on stochastic systems theory and its applications 354-359 2009年
Parameter estimation of electricity spot models from futures prices

S. Aihara, A. Bagchi, E. Imreizeeq

IFAC Proceedings Volumes (IFAC-PapersOnline) 15(1) 1457-1462 2009年
ON PARAMETER ESTIMATION OF STOCHASTIC VOLATILITY MODELS FROM STOCK DATA USING PARTICLE FILTER - APPLICATION TO AEX INDEX

Shin Ichi Aihara, Arunabha Bagchi, Saikat Saha

INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL 5(1) 17-27 2009年1月
Empirical identification of affine term structures from yield curve data

相原伸一, Arunabha BAGCHI

Proceedings of the 40th ISCIE international symposium on stochastic systems theory and its applications 354-359 2009年

もっとみる

書籍等出版物

A semigroup approach to the maximumlikelihood stateestimation ofstochastic parabolicsystems 共著

Progress in Nonlinear Differential Equations and Their Applications 2000年
A semigroup approach to the maximumlikelihood stateestimation ofstochastic parabolicsystems 共著

Progress inNonlinear Differential Equations andTheir Applications 2000年
A semigroup approach to the maximumlikelihood stateestimation ofstochastic parabolicsystems 共著

Progress in Nonlinear Differential Equations and Their Applications 2000年
A semigroup approach to the maximumlikelihood stateestimation ofstochastic parabolicsystems 共著

Progress inNonlinear Differential Equations andTheir Applications 2000年

講演・口頭発表等

IDENTIFICATION OF BATES STOCHASTIC VOLATILITY MODEL BY USING NON-CENTRAL CHI-SQUARE RANDOM GENERATION METHOD

2012 IEEE International Conference on Acoustics, Speech, and Signal Processing 2012年
Estimating Volatility and Model Parameters of Stochastic Volatility Models with Jumps Using Exact Particle Filter

7th World Congress of the Bachelier Finance Society 2012年
IDENTIFICATION OF BATES STOCHASTIC VOLATILITY MODEL BY USING NON-CENTRAL CHI-SQUARE RANDOM GENERATION METHOD

2012 IEEE International Conference on Acoustics, Speech, and Signal Processing 2012年
Estimating Volatility and Model Parameters of Stochastic Volatility Models with Jumps Using Exact Particle Filter

7th World Congress of the Bachelier Finance Society 2012年
Identification Problem for Heston Stochastic Volatility Model by Using Non-central Chi-Square Random Generation Method

ISCIE ・ The 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications 2011年
Identification of Stochastic systems -From Engineering to Finance-

Conference on Stochastic Models and their Applications 2011年
Identification Problem for Heston Stochastic Volatility Model by Using Non-central Chi-Square Random Generation Method

ISCIE ・ The 43rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications 2011年
Identification of Stochastic systems -From Engineering to Finance-

Conference on Stochastic Models and their Applications 2011年
Adaptive Mean-Variance Hedging of Bond Options with Stochastic Risk Term

The 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications 2010年
Mean-Variance Hedging of Bond Options with Stochastic Risk Premia

Quantitative Methods in Fiance 2010 2010年
Adaptive Mean-Variance Hedging of Bond Options with Stochastic Risk Term

The 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications 2010年
Mean-Variance Hedging of Bond Options with Stochastic Risk Premia

Quantitative Methods in Fiance 2010 2010年
Parameter Identification of Affine Term Structures from Yield Curve Data

日本金融・証券計量・工学学会 (JAFEE)・JAFEE 2008年度冬季大会 2009年
Identification of Electricity Spot Models from Futures Prices

The 41st ISCIE Intenational Symposium on Stochastic Systems Theory and Its Applications 2009年
Filtering and Option Pricing for Electricity Contacts Modeled by Stochastic Hyperbolic Systems

IFAC Workshop on Control of Distrubuted Parameter Systems 2009年
Parameter Estimation of electricity Spot Models from Futures Prices

15th IFAC Symposium on System Identification 2009年
Identification of Electricity Spot Models from Futures Prices

The 41st ISCIE Intenational Symposium on Stochastic Systems Theory and Its Applications 2009年
Filtering and Option Pricing for Electricity Contacts Modeled by Stochastic Hyperbolic Systems

IFAC Workshop on Control of Distrubuted Parameter Systems 2009年
Parameter Estimation of electricity Spot Models from Futures Prices

15th IFAC Symposium on System Identification 2009年
Filtering and Empirical Identification of Affine Term Structure from Yield Curve Data

Twente大学主催 Bagchi教授６０歳記念シンポジュウム 2008年

もっとみる

相原伸一

基本情報

研究キーワード

研究分野

学歴

委員歴

MISC

書籍等出版物

講演・口頭発表等

所属学協会

共同研究・競争的資金等の研究課題

メニュー