Professor Hideki Iwaki

Area and Subject Taught Financial Engineering
Research Theme(s) Studies of Finance by the Financial Engineering Approach
Academic Degrees PhD in Economics, Kyoto University, PhD in Management Science and Engineering, University of Tsukuba
Keywords for Research Field Mathematical Finance, Financial Engineering, Actuarial Science
Office Phone Number Not Public

Research Overview

My main research topics are valuation and optimal control of uncertain future cash flow based on mathematical approaches applying stochastic processes and stochastic controls. Since entering graduate school, I have studied pricing financial derivatives by no-arbitrage pricing methods developed by Harrison and Kreps, and Harrison and Pliska, as well as optimal portfolio selection in continuous-time economy, in other words, Merton’s problems in finance. Recently, my research interest is in both axiomatic derivation of alternative decision making methods to the expected utility theory advocated by von Neumann and Morgenstern, and its application to financial fields, that is, derivation of equilibrium prices in the general equilibrium in addition to asset valuation and optimal portfolio selection of individual economic agents, and even its application to risk management. More specifically, I have recently conducted such research as axiomatic transformation of an objective probability measure to a subjective measure and its applications.

Notable Publications and Works

“Comparative Statics and Portfolio Choices under the Phantom Decision Model,”The 4th East Asia RMI Workshop at Konkuk Univeristy, Seoul, Korea, 2017.
“Phantom aversion and portfolio choices: The comparative statics,” 6th International Conference of the Financial Engineering and Banking Society, University of Málaga, Spain, 2016.
H.Iwaki and Y.Osaki “A dual theory of the smooth ambiguity model,” Economic Theory Vol. 56, 2014, pp.275-289.
H.Iwaki, Fundamental Mathmatics for Economics and Finance with Maxima, 2012, Kyoritsu Shuppan (in Japanese).
H.Iwaki and Y.Osaki “Some Properties Induced by Optimal Expectations,” Finance Research Letters Vol.7, 2010, pp.98-102.
H. Iwaki, Stochastic Calculus and Finance, 2008, Kyoritsu Shuppan (in Japanese)
H.Iwaki and S.Yumae “An Efficient Frontier for Participating Policies in a Continuous-Time Economy,” Insurance: Mathematics & Economics Vol.35, 2005, pp.611-625.
H.Iwaki “An Economic Premium Principle in a Continuous-Time Economy,”Journal of the Operations Research Society of Japan,” Vol.45, 2003, pp.346 - 361.
K.Aonuma and H.Iwaki, Bonds, Interest rates and FX, 2003 Kinzai Institute for Financial Aff airs, Inc. (in Japanese) H.Iwaki, M.Kijima and Y.Morimoto “An Economic Premium Principle in a Multiperiod Time Horizon,” Insurance: Mathematics & Economics Vol.28, 2002, pp.325 - 339.
M.Kijima and H.Iwaki, Basic Mathematics for Economics and Financial Engineering, 1999, Asakura Shoten (in Japanese). H.Iwaki, Derivatives ‒theory and its application-, 1998, Asakura Shoten (in Japanese).