Jun Sekine

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Notes on backward stochastic differential equations for computing XVA	2024-04-03	Paper
Backward stochastic difference equations on lattices with application to market equilibrium analysis	2023-12-17	Paper
Stochastic modelling with randomized Markov bridges	2022-07-06	Paper
Stochastic modelling with randomized Markov bridges	2022-04-29	Paper
ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL	2021-10-26	Paper
Optimal portfolio for a highly risk-averse investor: A differential game interpretation	2019-03-12	Paper
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps	2018-12-03	Paper
Order estimates for the exact Lugannani-Rice expansion	2016-04-04	Paper
A one-factor conditionally linear commodity pricing model under partial information	2015-08-06	Paper
Long-Term Optimal Investment with a Generalized Drawdown Constraint	2014-01-23	Paper
Long-term optimal portfolios with floor	2012-11-15	Paper
Risk-sensitive portfolio optimization with two-factor having a memory effect	2012-03-09	Paper
Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem	2010-12-03	Paper
A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM	2009-02-26	Paper
On a robustness of quantile hedging: Complete market's case	2009-02-06	Paper
Marginal distribution of some path-dependent stochastic volatility model	2008-09-29	Paper
On exponential hedging and related quadratic backward stochastic differential equations	2006-11-17	Paper
A note on long-term optimal portfolios under drawdown constraints	2006-11-02	Paper
https://portal.mardi4nfdi.de/entity/Q5482561	2006-08-28	Paper
Dynamic Minimization of Worst Conditional Expectation of Shortfall	2005-05-09	Paper
https://portal.mardi4nfdi.de/entity/Q3158932	2005-02-01	Paper
On superhedging under delta constraints	2002-09-05	Paper
https://portal.mardi4nfdi.de/entity/Q2742565	2001-09-23	Paper
Information geometry for symmetric diffusions	2001-02-18	Paper
Mean-variance hedging in continuous-time with stochastic interest rate	2000-03-14	Paper
The Hilbert Riemannian structure of equivalent Gaussian measures associated with the Fisher information	1996-01-15	Paper
https://portal.mardi4nfdi.de/entity/Q3985356	1992-06-27	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Jun Sekine