"Dynamic Optimality of Yield Curve Strategies"

This paper formulates and analyzes a dynamic optimization problem of bond portfolios within Markovian Heath-Jarrow-Morton term structure models. In particular, we investigate optimal yield curve strategies analytically and numerically, and provide theoretical justification for a typical strategy which is recommended in practice for an expected change in the shape of the yield curve. In the numerical analysis, we utilize a new technique based on the asymptotic expansion approach in order to increase efficiency in computation.

"Pricing Convertible Bonds with Default Risk: A Duffie-Singleton Approach"

We propose a new method to value convertible bonds(CBs). In particular, we explicitly take default risk into consideration based on Duffie-Singleton(1999), and provide a consistent and practical method for relative pricing of securities issued by a firm such as CBs, non-convertible corporate bonds and equities. Moreover, we show numerical examples using Japanese CBs' data, and compare our model with other practical models.

"Style Analysis Based on a General State Space Model and Monte Carlo Filter"

This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical analysis using actual funds' data confirms the validity of our approach.

"Pricing Convertible Bonds with Credit Risk: A Duffie-Singleton Approach "(in Japanese)

This paper proposes a method to price convertible bonds with credit risk using Duffie-Singleton approach to handle credit risk. As such it also provides a method to replicate convertibles by trading common stocks and corporate bonds of the issuing company. Empirical comparison with existing models which incorporate credit risk is provided using Japanese convertible bond data.

Modeling Credit Risk: A Structural Approach with Long-term and Short-term Debts

This paper proposes a structural model to price credit risk of firms with short-term and long-term debts. This enables one to distinguish between default probabilities in the short run and in the long run, and to identify how the composition of debts affects credit risk. We endogenize the banks' decision to bankrupt or save firms in insolvency, and analyze the influence of the governance structure on credit risk valuation.

LATEST RESEARCHES ON RUNNING-SPECIFIC PROSTHESES: TOWARD SOCIAL IMPLEMENTATIONS OF BIOMECHANICS

Recent developments in running-specific prostheses (RSPs) have allowed individuals with lower extremity amputation (ILEAs) to regain the functional capability of running and jumping. However, the biomechanical characteristics of ILEAs using RSPs remain largely unknown. Understanding the biomechanical adaptations that occur during running and jumping with RSPs will assist clinicians and coaches in making objective decisions regarding the most appropriate prostheses, as well as in the fitting and alignment of these devices, for performance improvements in ILEAs. This presentation introduces our project regarding biomechanics of amputee athletes wearing RSPs, and its applications to athletes, prosthetists, manufacturers, and clinicians for the promotion of activity among amputees