Imai, Junichi
イマイ ジュンイチ
Imai, Junichi
Faculty of Science and Technology Department of Industrial and Systems Engineering/ProfessorBasic Information
Specialty
Financial Engineering, Computational Finance, Real Option Analysis, Risk Management
Related Links
Researcher Number
10293078
Paper Review Qualification
Thesis Guide Qualification in the Graduate School of Science and Technology : Master/Doctor
Biography
Research experience
東京工業大学工学部ティーチングアシスタント
日本学術振興会 特別研究員
東京工業大学 大学院 社会理工学研究科 経営工学専攻 助手
Research
Reseach overview
We focus on developing efficient computational methods in finance, especially Monte Carlo and quasi-Monte Carlo methods. These methods are used to price complex financial derivatives and to control financial risk. We are also interested in the real option approach that helps management obtain the optimal investment decisions under uncertainty.
Research Interests
- Real Option Analysis
- Financial Engineering
- Monte Carlo and Quasi-Monte Carlo methods
- Financial Risk Management
Research areas
Social systems engineering / Social System Engineering/Safety System
Safety engineering / Social System Engineering/Safety System
Research theme
Approximate Dynamic Pr0gramming & Reinforcement Learning
quasi Monte Carlo method for computational finance
real option analysis