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Quantum least square Monte-Carlo algorithm for solving backwardstochastic differential equations
Jun Sekine
The 8th Asia Quantitative Finance Conference, Taipei 2024/08/09
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Many-player Stochasic Games under Epstein-Zin Prefernces and Relative Performance Criteria
Jun Sekine
JAFEE-ISM International Symposium on Quantitative Finance 2023/08/18
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Many-player Stochasic Games under Epstein-Zin Prefernces and Relative Performance Criteria
Jun Sekine
Osaka-UCL Mini-workshop on Stochastics, Numerics and Risk 2023/02/16
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Epstein-Zin型再帰効用と相対パフォーマンス指標を用いたマルチプレイヤー確率微分ゲームの明示的均衡表現
関根 順
日本応用数理学会2022年度年会 2022/09/10
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Backward stochastic difference equation driven by multidimensional random walk on a lattice: convergence analysis via Wasserstein central limit theorem
Jun Sekine
Centre for Financial Mathematics Seminar, University of Wollongong, Australia 2021/10
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Remarks on Arbitrages in Bilateral Derivative Trading with Repo Markets
Jun Sekine
The Second International Symposium on Partial Differential Equations & Stochastic Analysis in Mathematical Finance, Tsinghua International Mathematics Conference Center, Sanya, China 2020/01
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スマートコントラクト：金融工学からの課題（スマートデリバティブコントラクトの開発に向けて）
関根 順
日本応用数理学会2019年度年会, 東京大学 2019/09
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Stochastic Modeling with Randomized Markov Bridges
関根 順
日本応用数理学会2019年度年会, 東京大学 2019/09
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The XVA issues and related BSDEs
Jun Sekine
SIAM Conference on Control and Optimization, Chengdu, China 2019/06
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複合Hawkes型リスク過程を用いた破産確率評価について
関根 順
日本応用数理学会研究部会連合発表会, 筑波大学 2019/03
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複合Hawkes型リスク過程を用いた破産確率評価について
関根 順
日本アクチュアリー会&日本保険・年金リスク学会共催, 産学共同研究集会 2019/01
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スマートデリバティブコントラクトのモデルについて
関根 順
首都大学東京シンポジウム 2018/11
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The XVA issues and related BSDEs
Jun Sekine
Forum "Math-for-Industry", Fudan University, China 2018/11
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On optimal thersholds for pairs trading in one-dimensional diffusion models
関根 順
日本応用数理学会2018年度年会, 名古屋大学 2018/09
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仮想通貨, スマートコントラクト, リスクの計量化：数理ファイナンスの立場から
関根 順
日本応用数理学会2018年度年会, 名古屋大学 2018/09
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On optimal thersholds for pairs trading in one-dimensional diffusion models
Jun Sekine
International Conference on Mathematical Finance & Symposium on the Role of Mathematical Finance on FinTech Business, NIMS, Daejeon, Korea 2018/08
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Optimal investment and consumption in an infinite dimensional factor model with delay
Jun Sekine
Workshop on Stochastic Control;Related Issues;Kansai University 2018/03
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Stochastic modeling with randomized Markov bridges and conditional stochastic differential equations
Jun Sekine
Mathematics of Risk, MATRIX, Melbourne, Australia 2017/11
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Optimal investment and consumption in an infinite dimensional factor model with delay
Jun Sekine
The Fifth Asia Quantitative Finance Conference, Seoul, Korea 2017/04
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Optimal investment and consumption in an infinite dimensional factor model with delay
Jun Sekine
Workshop on Stochastic Analysis; Mathematical Finance; Quindao, China 2016/09
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A filtration enlargement with noisy anticipation for asset pricing
Jun Sekine
Ritsumeikan-UCL Workshop, Ritumeikan, BKC 2016/08
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A filtration enlargement with noisy anticipation for asset pricing
Jun Sekine
6th International IMS-FIPS Workshop, Edmonton, Canada 2016/07
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Prediction with noisy anticipation and its application to asset pricing
Jun Sekine
Sahoro Winter Workshop on Operations Research, Finance and Mathematics, Sahoro, Hokkaido 2016/02
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Prediction with noisy anticipation and its application to asset pricing
Jun Sekine
The 4th Asia Quantitative Finance Conference, Osaka Univ. Nakanoshima Center 2016/02
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Utility maximization with floor constraint: a dual approach
Jun Sekine
NUS-UParis Diderot Workshop on Quantitative Finance, NUS, Singapore 2015/02
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Utility maximization with floor constraint: a dual approach
Jun Sekine
International Conference on Portfolio Selection and Asset Pricing, Kyoto University, 2014/03
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Utility maximization with floor constraint: a dual approach
Jun Sekine
Stochastic Processes and Mathematical Finance, Kansai University 2014/02
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Wishart型行列ファクター過程モデルに関する動的ポートフォリオ最適化
Jun Sekine
2014/01
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Utility maximization with floor constraint
Jun Sekine
2013/12
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Utility maximization with floor constraint
Jun Sekine
Stochastic Processes and Their Statistics in Finance in Okinawa 2013/10
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Utility maximization for a derivative security with discrete stopping time horizon
Jun Sekine
59th World Statistics Congress, Hong-Kong 2013/08
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Long-term optimal investment with drawdown constraint
Jun Sekine
Seminar, Libera Universita Internazionale Degli Studi Sociali, Roma, 2013/05
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Sensitivity analysis for utility maximization via an associated FB-system of SDE
Jun Sekine
Workshop on Finance, Stochastics and Asymptotic Analysis, CSFI, Osaka Univ 2013/02
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An approximation for utility maximization via an associated FB-system of SDE
Jun Sekine
The First Asian Quantitative Finance Conference, NUS, Singapore 2013/01
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An approximation for utility maximization via an associated FBSDE
Jun Sekine
Analysis and Control of Stochastic Partial Differential Equations, Shanghai, Fudan University 2012/12
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非線形富過程を用いた価格付けと期待効用最大化に対するFBSDEアプローチについて
関根 順
第二回数理ファイナンス合宿型セミナー, 大橋会館 2012/11
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Nearly optimal strategies for risk-sensitive portfolio optimization on infinite horizon
Jun Sekine
Conference in Honer of Freddy Delbaen, ETH Zürich, 2012/09
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On hyperbolic growth of long-term Bayesian optimal power-utility
Jun Sekine
Workshop on Stochastic Processes and Their Applications, NCTS, Hsinchu, Taiwan, 2012/03
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Long-term optimal investment with a generalized drawdown constraint
Jun Sekine
Winter Workshop on Finance, Hokkaido Univ. 2012/02
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長期金利のロバストな表現について
関根 順
経済の数理解析, 同志社大学 2011/10
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Wishart自己回帰型ファクターモデルを用いた動的ポートフォリオ最適化
2011/09
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From quantile hedging to large deviations controls with long horizon
Jun Sekine
APS Conference, KTH, Stockholm 2011/07
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Long-term optimal portfolios with state constraints
Jun Sekine
SIAM Conference on Control & Its Applications, Baltimore 2011/07
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Long-term optimal portfolios with state constraints
Jun Sekine
2nd NTH Workshop on Finance and Insurancwe Mathematics, Braunschweig 2011/06
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Long-term optimal portfolios with floor
Jun Sekine
4th Financial Risks International Forum, Paris 2011/03
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Risk-sensitive portfolio optimization with small noise and large risk aversion
Jun Sekine
5th Bachelier Colloquium, Metabief 2011/01
