Takashi Kato

J-GLOBAL         Last updated: Sep 27, 2018 at 23:39
 
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Name
Takashi Kato
URL
https://sites.google.com/site/takashikatomathfinance/
Affiliation
Association of Mathematical Laboratrory (AMFiL)
Job title
Representative Director
Degree
MS (Mathematical Sciences)(The University of Tokyo), Ph, D. (Mathematical Sciences)(The University of Tokyo)

Research Areas

 
 

Academic & Professional Experience

 
Apr 2017
 - 
Today
Representative Director, Association of Mathematical Finance Laboratory (AMFiL)
 

Education

 
Apr 2003
 - 
Mar 2006
Ph.D. Course, Graduate School of Mathematical Science, The University of Tokyo
 
Apr 2001
 - 
Mar 2003
MS Course, Graduate School of Mathematical Science, The University of Tokyo
 
Apr 1999
 - 
Mar 2001
Department of Mathematics, Faculty of Science, The University of Tokyo
 
Apr 1997
 - 
Mar 1999
College of Arts and Sciences, The University of Tokyo
 
Apr 1994
 - 
Mar 1997
Tokyo Gakugei University Senior High School
 

Published Papers

 
Hidehiro Kaise, Takashi Kato and Yusuke Takahashi
Proceedings of the 23rd International Symposium on Mathematical Theory of Networks and Systems (MTNS2018)   692-699   Jul 2018   [Refereed]
We consider variational problems with path-dependent terminal costs. Motivated from Mogulskii’s theorem in large deviation theory and dynamic importance sampling for path-dependent rare events, we focus on particular forms of Lagrangians with supe...
Takashi Kato
Journal of Mathematical Finance   8(1) 197-226   Feb 2018   [Refereed]
We study the asymptotic behavior of the difference Tex as Tex, where Tex is a risk measure equipped with a confidence level parameter Tex, a...
Takashi Kato
Algorithmic Finance   7(1-2) 1-14   Jun 2018   [Refereed]
In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for deriving a verification theorem for an adaptive optimization proble...
Takashi Kato
Communications on Stochastic Analysis   11(3) 265-285   Sep 2017   [Refereed]
In this study, we extend an optimal execution problem with convex market impact function studied in Kato (2014) to the case where a market impact function is S-shaped, that is, concave on Tex and convex on Tex for...
Takashi Kato
International Journal of Theoretical and Applied Finance, 23 pages   20(5)    Jun 2017   [Refereed]
We study the asymptotic behavior of the difference between the values at risk Tex and Tex for heavy-tailed random variables Tex and Tex with Tex for application in sensitivity analysi...
Takashi Kato, Jun Sekine and Kenichi Yoshikawa
Japan Journal of Industrial and Applied Mathematics   33(1) 25-61   Feb 2016   [Refereed]
The Lugannani-Rice formula is a saddlepoint approximation method for estimating the tail probability distribution function, which was originally studied for the sum of independent identically distributed random variables. Because of its tractabili...
On Mathematical Model for Pricing Financial Securities with Longevity Risk
Takashi Kato
JILI Journal (to appear)   193    Dec 2015
Kensuke Ishitani and Takashi Kato
Communications on Stochastic Analysis   9(3) 343-366   Sep 2015   [Refereed]
This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here, we inve...
Takashi Kato
JSIAM Letters   7 33-36   May 2015   [Refereed]
The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almgren-Chriss model, which is a standard model for optimal execution. ...
Kensuke Ishitani and Takashi Kato
Communications on Stochastic Analysis   9(1) 113-129   Mar 2015   [Refereed]
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a deterministic...

Conference Activities & Talks

 
Mathematical Models of Systemic Risk and their Issues [Invited]
Takashi Kato
IMES Seminar, BOJ   7 Oct 2015   
Due to recent repeated financial crises, discussions on systemic risk have
been activated from both theoretical and practical aspects. Practical policies for preventing worldwide bankruptcy of financial system are examined by regulators and financ...
Takashi Kato
数学連携ワークショップ -- 金融・経済学に使われる数学 --   14 Sep 2015   
On Mathematical Model for Pricing Financial Securities with Longevity Risk [Invited]
Takashi Kato
Seminar on Insurance   12 Sep 2015   
Takashi Kato
Young Summer Seminar on Probability (YSS2015)   18 Aug 2015   
Takashi Kato
Young Summer Seminar on Probability (YSS2015)   18 Aug 2015   
Takashi Kato, Teppei Ogihara, and Hideyuki Takada
43rd JAFEE Meeting (2015, Summer)   8 Aug 2015   
Takashi Kato
科研費ワークショップ『圏論的観点に基づくリスク尺度理論の構築と応用』   5 Aug 2015   
Due to recent repeated financial crises, discussions on systemic risk have
been activated from both theoretical and practical aspects. Practical policies for preventing worldwide bankruptcy of financial system are examined by regulators and financ...
Takashi Kato
Seminar on Tuesday, Osaka University   12 May 2015   
dX_t = f(X_t)dt [Invited]
Takashi Kato
研究会『方程式でつながる科学』   31 Mar 2015   
Takashi Kato
Spring Seminar 2015, Department of Mathematics, Meijo University   17 Feb 2015   
KW: coupled diffusion processes, stochastic control problem, stochastic differential game, Hamilton-Jacobi-Bellman (HJB) equations, systemic risks, regulator's dilemma (diversity-diversification trade-off), flash crash, high frequency trading (HFT...
Takashi Kato
Spring Seminar 2015, Department of Mathematics, Meijo University   17 Feb 2015   
KW: coupled diffusion processes, stochastic control problem, stochastic differential game, Hamilton-Jacobi-Bellman (HJB) equations, systemic risks, regulator's dilemma (diversity-diversification trade-off), flash crash, high frequency trading (HFT...
Takashi Kato
Spring Seminar 2015, Department of Mathematics, Meijo University   17 Feb 2015   
KW: financial risk and uncertainty, risk measures (VaR etc.), pension fund management (policy asset allocation, fund management, rebalancing, order execution), Basel Accords, Knightian uncertainty, the black swan
Takashi Kato
Spring Seminar 2015, Department of Mathematics, Meijo University   17 Feb 2015   
KW: financial risk and uncertainty, risk measures (VaR etc.), pension fund management (policy asset allocation, fund management, rebalancing, order execution), Basel Accords, Knightian uncertainty, the black swan
Takashi Kato
Spring Seminar 2015, Department of Mathematics, Meijo University   16 Feb 2015   
KW: stochastic differential equations (SDEs), martingales, relative entropy, derivatives, no-arbitrage pricing theory, complete markets, hedging, utility-indifference pricing
Takashi Kato
Spring Seminar 2015, Department of Mathematics, Meijo University   16 Feb 2015   
KW: stochastic differential equations (SDEs), martingales, relative entropy, derivatives, no-arbitrage pricing theory, complete markets, hedging, utility-indifference pricing
Takashi Kato
Spring Seminar 2015, Department of Mathematics, Meijo University   16 Feb 2015   
KW: random walks, Brownian motions, stochastic control problem, dynamic programming principle (DPP), portfolio, utility functions, market liquidity
Takashi Kato
Spring Seminar 2015, Department of Mathematics, Meijo University   16 Feb 2015   
KW: random walks, Brownian motions, stochastic control problem, dynamic programming principle (DPP), portfolio, utility functions, market liquidity
Takashi Kato, Teppei Ogihara, and Hideyuki Takada
Financial Modeling and Analysis (FMA2014)   26 Nov 2014   
Takashi Kato
RIMS Workshop on Nonlinear Macroeconomic Dynamics   18 Sep 2014   
Due to recent repeated financial crises, discussions on systemic risk have
been activated from both theoretical and practical aspects. Practical policies for preventing worldwide bankruptcy of financial system are examined by regulators and financ...
Takashi Kato
JSIAM Annual Conference 2014   5 Sep 2014   

Misc

 
Takashi Kato
Short note      May 2016
In this short note, we study an optimization problem of expected implementation shortfall (IS) cost under general shaped market impact functions. In particular, we find that an optimal strategy is a VWAP (volume weighted average price) execution s...
Takashi Kato
Preprint      Jan 2013
We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discrete-time framework is determined by temporary equilibria via agents' ...
Takashi Kato
Preprint      Jul 2011
We study an optimal execution problem in the presence of market impact where the security price follows a geometric Ornstein-Uhlenbeck process, which implies the mean-reverting property, and show that the optimal strategy is a mixture of initial/t...

Awards & Honors

 
Sep 2015
Non-Linearity, Resilience, Uncertainty of Market Impact Functions and Their Effects on Execution Strategies, JSIAM Best Paper Award (2015), The Japan Society for Industrial and Applied Mathematics (JSIAM)
Winner: Kensuke Ishitani and Takashi Kato
 

Committee Memberships

 
Apr 2013
 - 
Mar 2016
Graduate School of Engineering Science, Osaka University  Computer Committee
 
Apr 2013
 - 
Mar 2016
Graduate School of Engineering Science, Osaka University  Web/email Committee
 
Apr 2012
 - 
Mar 2016
Graduate School of Engineering Science, Osaka University  Energy Conservation Promotion Committee
 
Apr 2012
 - 
Mar 2016
Center for the Study of Finance and Insurance (CSFI), Osaka University  Faculty menber
 
Dec 2014
 - 
Dec 2014
2014年度中之島ワークショップ 金融工学・数理計量ファイナンスの諸問題 2014 (Nakanoshima Workshop 2014)  Session Organizer
 
Mar 2014
 - 
Mar 2014
金融リスクの計測・管理・制御と資本市場に纏わる諸問題  Session Organizer
 
Jan 2014
 - 
Jan 2014
第三回数理ファイナンス合宿型セミナー (3rd Camp Seminar on Mathematical Finance)  Organizer
 
Dec 2013
 - 
Dec 2013
2013年度中之島ワークショップ 金融工学・数理計量ファイナンスの諸問題 2013 (Nakanoshima Workshop 2013)  Session Organizer
 
Mar 2013
 - 
Mar 2013
数学・数理科学と諸科学・産業の協働によるイノベーション創出のための研究促進プログラム 金融リスクの計測・管理・制御に纏わる数理  Session Organizer/Session Coordinator
 
Nov 2012
 - 
Nov 2012
2012年度中之島ワークショップ 金融工学・数理計量ファイナンスの諸問題 2012 (Nakanoshima Workshop 2012)  Session Organizer
 

Teaching Experience

 
 

Research Grants & Projects

 
Nonliear Market Impact: Theoretical and Empirical Studies on Optimal Execution and High Frequent Limit/Market Order Data
JSPS: Grants-in-Aid for Scientific Research
Project Year: Apr 2015 - Mar 2018    Investigator(s): Takashi Kato
Nonlinearity and Uncertainty of Market Impact and their Effect on Large Traders' Execution Strategies
The Zengin Foundation for Studies on Economics and Finance: Grant-in-Aid from Zengin Foundation for Studies on Economics and Finance, 2014
Project Year: Feb 2015 - Feb 2016    Investigator(s): Kensuke Ishitani
Mathematical Model for Pricing Financial Securities with Longevity Risk
JILI: Grant-in-Aid for Life Insurance
Project Year: May 2014 - Mar 2015    Investigator(s): Takashi Kato
Mathematical Finance
JSPS: Grants-in-Aid for Scientific Research
Project Year: Oct 2003 - Mar 2006    Investigator(s): Takashi Kato

Social Contribution

 
Display panel at Osaka Exchange
[Contribution]  Osaka Exchange  (Osaka Exchange)  2 Feb 2015 - 2 Feb 2015
[Lecturer, Planner, Organizing Member]  Takashi Kato  23 Aug 2011 - 27 Sep 2014
Private seminar on probability theory and mathematical finance have been held at Tokyo.
[Presenter]  3rd Symposium on Complex Systems  24 Sep 2013 - 24 Sep 2013
[Presenter]  10 Sep 2013 - 10 Sep 2013
[Presenter]  CREST and 4th Ritsumeikan-Florence Workshop on Risk, Simulation and Related Topics  8 Mar 2012 - 8 Mar 2012
Volunteer Lecturer of "Seminar on Stochastic Processes"
[Lecturer]  State Street Global Advisors (SSGA)  20 Jun 2008 - 31 Mar 2009
Lectures for (financial) practitioners. Basics on stochastic processes have been studied.