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PROFESSIONAL EXPERIENCE Dean, Faculty of Business Sciences (April 2018 – March 2021) Faculty
of Business Sciences, University of Tsukuba, Tokyo, Japan Chair,
Master's Program in Systems Management (April 2015 – March 2017) Faculty
of Business Sciences, University of Tsukuba, Tokyo, Japan Professor (April 2013 –- present) Faculty
of Business Sciences, University of Tsukuba, Tokyo, Japan Associate
Professor (January 2002 – March 2013) Graduate
School of Business Sciences, University of Tsukuba, Tokyo, Japan Postdoctoral Scholar (May 2000 – December 2001) Control and Dynamical Systems,
California Institute of Technology, USA Host Adviser: Dr. John Doyle JSPS Research Fellow (April 1998 – April 2000) Japan Society for the Promotion of Science Research Fellowship EDUCATION Ph.D., Engineering (March 1998) Department of Systems
Science, Tokyo Institute of Technology Dissertation title: ``Global Optimization for Robust Control Synthesis Based on the Matrix Product Eigenvalue Problem'' Adviser: Dr. Shinji Hara M.S., Engineering (March 1995) Department of Systems
Science, Tokyo Institute of Technology Master's thesis title: ``Numerical Optimization for Constantly Scaled H-infinity Control Problem via Output Feedback'' Adviser: Dr. Shinji Hara B.S., Engineering (March 1993) Department of Electrical and Electronic Engineering, University of
Chiba, Japan Adviser: Dr. Mitsuji Sampeii TEACHING EXPERIENCE Courses Taught in University of Tsukuba (January 2002 – present) ''Mathematical Finance'' (Ph.D. Course) ''Advanced Topics in Financial
Engineering'' (Ph.D. Course) ''Financial Engineering'' (Master's Program) ''Investment Science'' (Master's
Program) ''Introduction to Finance'' (Master's
Program) ''Data Analysis'' (Master's Program, 2002—2004) ''Financial Risk Management'' (Master's
Program, 2002) ''Mathematical Model'' (Master's
Program, 2002) ''Corporate Finance'' (Master's Program, 2004—2005) Courses Taught in Other Universities (January 2002 – present) ''Financial
Mathematics 1,'' ''Financial Mathematics 2''
( ''Selected
Topics in Industrial and Systems
Engineering'' (Master's
Program, Chuo University, 2005 — 2012) ''Dynamic
Asset Pricing Theory'' (Master's
Program, ''Advanced
Finance'' (Professional
Career Program, Instructor of Mathematics and
Undergraduate Research Project
(April
1995 – March 1998) Department of Mechatronics,
Tokyo University of Technology, Japan Teaching Assistant (April 1995 – March 1996) Department of Systems Science,
Tokyo Institute of Technology, Japan Course Lecturer
(September
2001 – December 2001) BEM (Business, Economics, and Management)
and CDS (Control and Dynamical Systems) cross-listed
course Title: ''Stochastic Simulation in Finance (CDS270/BEM110)'' Graduate-level course in stochastic
calculus and simulation with applications to computational
finance (not previously offered in department) RECENT RESEARCH PROJECTS Construction of risk management system to support renewable energy P2P transactions (April 2020 – March 2025), Japan Society of for the Promotion of Science/Grant-in-Aid for Scientific Research (A), JPY44,720,000. Risk management system for losses caused by trading electricity in whole sales market using weather derivatives (April 2019 – March 2024), Japan Society for the Promotion of Science/Grant-in-Aid for Challenging Research (Exploratory), 6,500,000 (JPY). Constructions of forecast based strategies and real-time experiment systems for electricity trading market (April 2016 – March 2020), Japan Society for the Promotion of Science/Grant-in-Aid for Scientific Research(A), JPY28,730,000. Construction of Unified Management System for Market Risk and Energy Portfolios (April 2013 – March 2016), Japan Society for the Promotion of Science/Grant-in-Aid for Scientific Research (B), JPY16,120,000. Dynamic Hedging of Multi-Asset Basket Options and its Application to Diversified Portfolio Management (April 2010 – March 2013), Japan Society for the Promotion of Science/Grant-in-Aid for Scientific Research (C), JPY4,290,000. Establishment of Pricing and Hedging Methodologies for Illiquid Asset Derivatives (April 2007 – March 2010), Japan Society for the Promotion of Science/Grant-in-Aid for Scientific Research (C), JPY 4,420,000. Value-at-Risk Optimization of Multi-Dimensional Portfolios in a Multi-Period Setting (April 2007 – March 2010), Japan Society for the Promotion of Science/Grant-in-Aid for Young Scientists (B), JPY 3,700,000. PAST RESEARCH EXPERIENCE Postdoctoral
Research (April 1998 – December
2001) Control and Dynamical Systems,
California Institute of Technology Project:
Stochastic control and its applications to computational and mathematical
finance 1.
Pricing and computation of options and other derivatives on heavy
tailed distributions 2.
Development of stochastic optimization technique based on dynamic
programming 3.
Modeling of stock market taking into account risk management techniques 4.
VaR (Value-at-Risk) estimation for dynamic hedging
Ph.D. Thesis Research
(April 1995 – March
1998) Department of Systems Science, Tokyo Institute of Technology, Japan Project:
Global optimization for robust control synthesis based on the Matrix Product Engenvalue 5.
Propsed general framework for robust control
synthesis leading to nonconvex optimization 6.
Developed global optimization algorithm for solving the MPEP 7.
Demonstrated computational complexity analysis for the proposed global
optimization technique 8.
Applied a branch and bound
method to reduce the computational complexity
Master' Thesis Research
(April 1993 – March
1995) Department of Systems Science, Tokyo Institute of Technology, Japan Project:
Numerical Optimization for Constantly Scaled H-infinity Control Problem via
Output Feedback 9.
Proposed global optimization technique with polynomial order complexity
for the diagonal case 10.
Developed efficient local optimization algorithm to solve constantly
scaled H-infinity control problem AWARDS Best Faculty Member (February
2024) Awarded to the achievement in research and education for the academic year of 2023 among all faculty members in University of Tsukuba. Award talk title: ``Derivatives and Market Design for Renewable Energy Transactions'' Best Faculty Member (February 2014) Awarded to the achievement in research and education for the academic year of 2012 among all faculty members in University of Tsukuba. Award talk title: ``Energy risk management and derivatives'' JAFEE Best Paper Award (March 2012) Awarded to the best papers that appeared in the JAFEE journal and Asia-Pacific Financial Markets. Title: ``Optimal design of wind derivatives based on prediction errors,'' appeared in the JAFEE journal, vol. 7, 2008 (in Japanese). SICE Best Paper Award (August 1998) Awarded to the year's best paper that appeared in the transactions on the Society of Instrumentation an Control Engineers, Japan. Title: ``epsilon-Feasibility for H-infinity Control Problem with Constant Diagonal,'' appeared in the SICE Transactions, vol. 33, 1997.
Young Author's Award
(February 1996) Awarded to the year's top junior researchers who gave a presentation in the conferences of the SICE. Title: ``H-infinity Control Problem with Constant Diagonal Scaling,'' presented in the 17th SICE Symposium on Dynamical System Theory, 1994. FELLOWSHIPS PROFESSIONAL AFFILIATIONS The Institute of Electrical and Electronics Engineers (IEEE) The Society of Instrumentation and Control Engineers (SICE) The Japanese Association of Financial Econometrics and Engineering (JAFEE) Nippon Finance Association The Operations Research Society of Japan Institute for Operations Research and the Management Sciences (INFORMS) PROFESSIONAL ACTIVIEIES President
of JAFEE (2023—present) Board
Committee Member of JAFEE (2005—present) Member of the IFAC Technical Committee on Economic, Business, and Financial Systems (2015—present) Member of the IEEE Technical Committee on Information Systems for Design and Marketing (2006—present) Academic
Editor of Energies, MDPI (2020—present) Associate
Editors of Asia Pacific Financial Markets (2005—present) and JAFEE Journal (2006—2023) Editorial
board member of Journal of Transdisciplinary
Federation of Science and Technology (2007—2012). Organizing Committee of
the 1st Conference on Transdisciplinary
Federation of Science and Technology (2005) |
