Research Activities of Arturo Kohatsu-Higa

(Photo Courtesy of Nikkei BP Planning)

Coordinates


Arturo Kohatsu-Higa

Osaka University
Graduate School of Engineering Sciences
Machikaneyama cho 1-3, Osaka 560-8531, Japan
Ph: 81--6--6850--6462, Fax:81-6-6850-6496
Office: Building J, 614
E-mail: kohatsu AT sigmath.es.osaka DASH u.ac.jp

How to get to my office

  • Here is a map of Toyonaka Campus. My building is the one surrounded by buildings 6, 17, 14, 15 and 27 which does not have any number on the map.
  • Another map
  • If you want to know various (cheap or expensive, long ot short) ways to get to Toyonaka campus, here they are. I reccomend to take the bus to Hotarugaike (which has a first stop at Itami airport) and then the monorail to Shibahara. The whole trip should take about 2 hours.
  • If you are visiting me and you are looking desperately for a hotel nearby. Please look at this hotel information guide (no responsabilities taken).

    • Research topics:

    Professional Activities

  • Stochastic Modeling Techniques and Data Analysis (SMTDA2010) International Conference (June 8-11, 2010 Chania Crete Greece)
  • ICM Satellite conference on probability and stochastic processes (Bangalore, India, 13th to 17th August 2010)
  • Spring School on Stochastic Calculus and Numerics in Mathematical Sciences, 9 April - 15 April, 2010. National Taiwan University
  • I am a member of the Center for the Study of Finance and Insurance at Osaka University
  • Associated Editor for Asia-Pacific Financial Markets
  • Associated Editor for Stochastic Processes and their Applications (until May 2011)
  • Associated Editor for Acta Applicandae Mathematicae (until 2013)
  • We have created a team that has been selected for a CREST Research Project entitled
  • "Mathematical structure of complex financial products and infinite dimensional analysis"
  • Post-Doc positions in the project
  • CREST Seminars

    • Some published articles:

  • Papers not available in this page can be sent upon request.

    1. .V. Bally and A. Kohatsu-Higa. "Lower bounds for densities of Asian type stochastic differential equations . . To appear in Journal of Functional Analysis,
    2. A. Kohatsu-Higa and S. Ortiz. Weak Kyle-Back equilibrium models for Max and ArgMax . . To appear in SIAM Journal on Financial Mathematics,
    3. R. Kawai and A. Kohatsu-Higa. Computation of Greek and multidimensional density estimation for asset price models with time-changed Brownian Motion . . To appear in Applied Mathematical Finance,
    4. J.M. Corcuera and A. Kohatsu-Higa. Statistical Inference and Malliavin Calculus . . To appear in Seminar on Stochastic Analysis, Random Fields and Applications V ,
    5. A. Kohatsu-Higa and K. Yasuda. A review of recent results on Malliavin Calculus and its applications . . Radon Series on Computational and Applied Mathematics, , Walter de Gruyter, 2009, vol 8,
    6. Giulia Di Nunno, A. Kohatsu-Higa, Thilo Meyer-Brandis, Bernt Oksendal, Frank Proske and Agnes Sulem. "Anticipative Stochastic Control for Levy processes with Application to Insider Trading" . . Mathematical Modelling and Numerical Methods in Finance. Handbook of Numerical Analysis, Bensoussan and Zhang (eds.), , 2008.North Holland
    7. A. Kohatsu-Higa, K. Yasuda, Estimation of Densities for Heston-type Models through the Malliavin-Thalmaier Method and its Application to the Calculation of Greeks, . . International Journal of Innovative Computing, Information and Control, , to appear
    8. A. Kohatsu-Higa, K. Yasuda, Simulation on multidimensional density functions through the Malliavin-Thalmaier formula and its application to finance, . . Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, , to appear.
    9. H. Tanaka and A. Kohatsu-Higa. An Operator Approach for Markov Chain Weak Approximations with an Application to Infinite Activity L\'{e}vy Driven SDEs. . Annals of Applied Probability, . 2009, Vol. 19, No. 3, 1026-1062
    10. A. Kohatsu-Higa and K. Yasuda. Estimating Multidimensional Density Functions using the Malliavin-Thalmaier Formula. . SIAM Journal of Numerical Analysis, . Volume 47, Issue 2, pp. 1546-1575 (2009)
    11. A. Kohatsu-Higa and K. Yasuda. Estimating Multi-dimensional density functions for random variables in Wiener space. . C. R. Math. Acad. Sci. Paris, , vol. 346, 335-338, 2008.
    12. A. Kebaier and A. Kohatsu-Higa. An Optimal Control Variance Reduction Method for Density Estimation. Stochastic Processes and their applications, , Vol. 118, 2143-2180, 2008.
    13. A. Kohatsu-Higa. Models for insider trading with finite utility. . Paris-Princeton Lectures on Mathematical Finance Series: Lecture Notes in Mathematics, , Vol. 1919,103-172, 2007.
    14. A. Kohatsu-Higa. and M. Yamazato. Enlargement of filtrations with random times for processes with jumps. Stochastic Processes and their applications, , Volume 118, Issue 7, July 2008, Pages 1136-1158.
    15. E. Clement, A. Kohatsu-Higa. and D. Lamberton. A duality approach for the weak approximations of stochastic differential equations. . Annals of Applied Probability, 2006 Vol. 16, No. 3 , 1124-1154.
    16. A. Kohatsu-Higa. and A. Sulem. A large trader-insider model. . Procceedings of the Ritsumeikan Congress on Stochastic Process and Mathematical Finance, 2005.
    17. A. Kohatsu-Higa. and A. Sulem. Utility maximization in an insider influenced market. . Mathematical Finance, , Vol 16, 1, January 2006, 153--179.
    18. F. Antonelli, A. Kohatsu-Higa. Densities of one dimensional bsde's Potential Analysis , 22, N3, 263-287, 2005.
    19. Bermin, H.-P., A. Kohatsu-Higa, J. Perell?, 2005, Hints for an extension of the early exercise premium formula for American options, Physica A 355, 152-157.
    20. S. Ogawa, A. Kohatsu-Higa. A BPE model for the Burgers equation. Publications of the Research Institute for the Mathematical Sciences, 40, 487-505, 2004.
    21. J.M. Corcuera, P. Imkeller, A. Kohatsu-Higa and D. Nualart. Additional utility of insiders with imperfect dynamical information. Finance and Stochastics, 8, 437-450 2004.
    22. E. Gobet and A. Kohatsu-Higa. Computation of Greeks for Barrier and Lookback Options using Malliavin Calculus. Electronic Communications in Probability. 8, 51-62 (2003).
    23. A. Kohatsu-Higa and M. Yamazato. On moments and tail behaviors of storage processes. Journal of Applied Probability, 20, 1069-1086, 2003.
    24. A. Kohatsu-Higa and M. Montero. Malliavin Calculus in Finance. Handbook of Computational Finance. Birkhauser, 2004.
    25. A. Kohatsu-Higa. Lower bounds for denisties of uniformly elliptic non-homogeneous diffusions. Procceedings of the Stochastic Inequalities Conference in Barcelona. Progress in Probability, 56, 323-338.
    26. A. Kohatsu-Higa. Lower bound estimates for densities of uniformly elliptic random variables on Wiener space. Probability Theory and Related Fields, 126, 421-457, 2003.
    27. A. Kohatsu-Higa and M. Montero. Malliavin Calculus applied to finance. Physica A 320, 548--570 (2003)
    28. G. Bernis, E. Gobet, A. Kohatsu-Higa. Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options. Mathematical Finance, 13, 99-113, 2003
    29. H.-P. Bermin, A. Kohatsu-Higa, M. Montero. Local Vega index and variance reduction methods. Mathematical Finance, 13, 85-97, 2003.
    30. A. Kohatsu-Higa, R. Pettersson. Variance Reduction Methods for Simulation of Densities on Wiener Space SIAM Journal on Numerical Analysis , vol40, 431-450, 2002.
    31. F. Antonelli, A. Kohatsu-Higa. Rate of convergence of a particle method to the solution of the Mc Kean - Vlasov 's Equation . Annals of Applied Probability v. 12, 423-476 (2002).
    32. A. Kohatsu-Higa, D. Marquez, M. Sanz. Logarithmic estimates for the density of hypoelliptic two parameter diffusions. Journal of Functional Analysis, v.190, 481-506, (2002).
    33. A. Kohatsu-Higa, D. Marquez, M. Sanz. Asymptotic behaviour of the density in a parabolic spde. Journal of Theoretical Probability, 14, 427-462, 2001.
    34. A. Kohatsu-Higa. Sankya, Series A, , (63), 194-228, 2001. Stratonovich type sde's with normal reflection driven by semimartingales. Sankya, Series A, , (63), 194-228, 2001.
    35. A. Kohatsu-Higa. Weak approximations: A Malliavin calculus approach Mathematics of Computation, (70), 135-172, 2001.
    36. F. Antonelli, A. Kohatsu-Higa. Filtration stability of backward sde's. Stochastic Analysis and Its Applications, vol 18, 11-37, 2000.
    37. A. Kohatsu-Higa, S. Ogawa. Monte Carlo Methods Weak rate of convergence for an Euler scheme of nonlinear SDE's. Monte Carlo Methods and Its Applications, vol 3, 327-345, 1997.
    38. A. Kohatsu-Higa, J. Leon. Anticipating Stochastic Differential Equations of the Stratonovich type., Applied Mathematics and Optimization, vol. 36, 263-289, 1997.
    39. A. Kohatsu-Higa, J. Leon, D. Nualart. Stochastic differential equations with random coefficients. Bernoulli, vol 3, 2, 233-245, 1997.
    40. A. Kohatsu-Higa. High order It\^o-Taylor approximations to heat kernels. Journal of Mathematics of Kyoto University, vol 37, 1, 129-151, 1997.
    41. A. Kohatsu-Higa, M. Sanz. Existence and regularity of the density for solutions to stochastic differential equations with boundary conditions. Stochastics and Stochastic Reports, vol 60, 1-22, 1997.
    42. M. Ferrante, A. Kohatsu-Higa, M. Sanz. Strong approximations for stochastic differential equations with boundary conditions. Stochastic Processes and their Applications, vol. 61, 323-337, 1996.
    43. H. Ahn, A. Kohatsu-Higa. Numerical Solutions of Anticipating Stochastic Differential Equations. Stochastics and Stochastic Reports, vol. 54, 247-269, 1995.
    44. A. Kohatsu-Higa. Weak Convergence of Infinite Order U-processes. Statistics and Probability Letters, vol. 12, 1991, 145-151.
    45. A. Kohatsu-Higa. Weak Convergence of a Sequence of Stochastic Processes Related with U-statistics. Osaka Journal of Mathematics. vol. 27, 1990, 361-371.
    46. A. Kohatsu-Higa. The Euler approximation for stochastic differential equations with boundary conditions. Proceedings of the ``Workshop on Turbulent Diffusion and Related Problems in Stochastic Numerics". The Institute of Statistical Mathematics, Tokio, 1996.
    47. A. Kohatsu-Higa, P. Protter. The Euler scheme for SDE's driven by semimartingales. In Stochastic analysis on infinite dimensional spaces, 1994. H. Kunita and H.Kuo (Eds.), 141-151, Pitman Research Notes in Mathematics Series ,vol. 310, 1994.

    My courses, master program and PhD thesis

    In the first year of the master program students will deliver weekly seminars where the basics of stochastic calculus will be exposed from a mathematical point of view.

    Here are some of the topics where I may direct master and doctor dissertations. If you want more information, please contact me.

  • Malliavin Calculus in Finance. Monte Carlo simulation. Error analysis. Insider trading. Lower bound estimates for densities of random variables in Wiener space.

    Here I am with some of my students. (Photo Courtesy of Nikkei BP Planning)

    Years later they are 立派な社会人

    >

    Seminars and other activities

    For a complete list of all seminars in our research group you can check the webpage of the Aida-Nagai laboratory.

    Other interesting sites

    Other Past Activities

  • Vlad Bally delivered a series of lectures on Malliavin Calculus and the hypoelliptic condition for diffusion processes.
  • At the end of october up until the middle of November there will be a series of talks by Peter Tankov (Paris 7) and Rama Cont (Ecole Polytechnique) on Calibration for Financial Models.
  • I reccomend this course as it will also contain some practical sessions with data which will be held at the computer room of the department. At the end there will also be a couple of sessions by R. Kawai (Daiwa Securities) on basics of Levy processes and their applications in Finance. If you are interested in attending take a peek at the webpage of the center.     Center for the Study of Finance and Insurance at Osaka University or contact me or the center.
  • There was a series of talks by Prof. Frederic Udina (UPF, Barcelona, Spain) on kernel density estimation on July 10-12 (1:30-3:00pm) together with a seminar on universal portfolios on Tuesday July 11, 4:30pm. All these meetings will take place in the seminar room D515. For more information visit the announcement page at http://elis.sigmath.es.osaka-u.ac.jp/research/20060710/top.html
  • We organized     Workshop on Mathematical Finance and Stochastic Control
  • Workshop on Computational Finance
  • Workshop on Stochastic Analysis and Finance at City University of Hong Kong