Graduate School of Economics and Management / Faculty of Economics, Tohoku University

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Faculty Member

Yoshifumi Muroi

Curriculum Vitae

March 1997Graduated from the School of Science (mathematics) ,University of Tokyo
March 1998Withdrawal from the Master Program of Graduate School of Engineerings, University of Tokyo
March 2004Doctor of Economics, University of Tokyo
April 2004Researcher for the COE program, at the Graduate School of Economics, University of Tokyo
April 2005Researcher at Institute of Monetary and Economic Studies Bank of Japan
July 2006Assistant Professor at Center for the Study Finance and Insurance, Osaka University
June 2007Assistant Professor at Center for the Study Finance and Insurance, Osaka Securities Exchange Co., Ltd. EndowedResearch Fund, Osaka University
April 2009Associate Professor, Graduate School of Economics and Management, Tohoku University

Academic Degree

Ph.D. in Economics, University of Tokyo

Current Position

Associate Professor of Investment and Security Analysis, Graduate School of Economics and Management, Tohoku University

Fields of Research

Mathematical Finance, Mathematical Statistics

Research Topics

Valuation problems of credit derivatives

Valuation problems of complexed derivatives, such as exotic derivatives and derivatives with early exercise feature

Insurance Mathematics (in General)

Statistical Problems including the inference of diffusion processes

Courses

Graduate: (Seminars excl.) Investment and Security Analysis

Undergraduate:(Seminars excl.) Finance

Main Research Results

Pricing of Credit Derivatives with the Asymptotic Expansion Approach, Journal of Computational Finance 135-171 2012

Spectral Binomial Tree: New Algorithms for Pricing Barrier Options, Journal of Computational and Applied Mathematics, (with T. Yamada)107-119, 249, 2013

Discrete Malliavin Calculus and Computations of Greeks in the Binomial Tree, European Journal of Operational Research, (with S. Suda) p349-361, 231, 2013

Computation of Greeks using Binomial Trees in a Jump-Diffusion Model, Journal of Economic Dynamics and Control, (with S. Suda) p93-110, 51, 2015

Pricing of Options in the Singular Perturbed Stochastic Volatility Model, to be published in Journal of Computational and Applied Mathematics (with T. Liu), 2017

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