Personnel Information

写真a

SUZUKI Kiyoshi


Title

Specially appointed professor

Field

―

Homepage URL

https://researchmap.jp/20AbbeyRoad

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Research Interests 【 display / non-display 】

  • Stochastic Control

  • Financial Engineering

  • Portfolio Selection Problem

  • Quantitative strategy

  • Finance

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Graduating School 【 display / non-display 】

  • The University of Tokyo， Faculty of Science

    University， 1989.03， Graduated， Japan

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Graduate School 【 display / non-display 】

  • The University of Tokyo， Graduate School, Division of Science

    Master's Course， 1991.03， Completed， Japan

  • Hitotsubashi University， Graduate School, Division of Business Administration

    Doctor's Course， 2021.09， Completed， Japan

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Degree 【 display / non-display 】

  • Ph. D. in Finance， Humanities & Social Sciences / Money and finance， Hitotsubashi University， Coursework， 2021.09

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Campus Career 【 display / non-display 】

  • Shiga University Data Science and AI Innovation Research Promotion Center，Specially appointed professor， 2023.08 - Now

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External Career 【 display / non-display 】

  • Nomura Research Institute Corporate Research Department， Analyst， 1991.04 - 1993.06

  • Nomura Research Institute Financial Technology Research Department， 1993.07 - 1994.12

  • Nomura Research Institute Investment Research Department， 1994.12 - 1995.11

  • Nomura Trust Bank, Tokyo Deposit and FX Market Department, Foreign Exchange Dealing Division, FX Forward and Option Dealing Desk， 1995.12 - 1997.05

  • Nomura Securities Inc. Financial Engineering Research Center， 1997.06 - 2006.06

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Association Memberships 【 display / non-display 】

  • The Securities Analysts Association of Japan， 1995.04 - Now

  • NIPPON FINANCE ASSOCIATION， 2011.04 - Now

  • The Japanese Association of Financial Econometrics and Engineering (JAFEE)， 2011.04 - Now

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Research Areas 【 display / non-display 】

  • Financial Engineering

  • Financial Econometrics

  • Optimization

  • Financial Risk Management

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Qualification acquired 【 display / non-display 】

  • Securities Analyst

  • Software Design & Development Engineer/Information Processing Engineer, Class 1

  • Registered FSA (Financial Services Agency, the United Kingdom)

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Papers 【 display / non-display 】

  • Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach， Mathematics of Operations Research， vol.46 (1) (p.336 - 360) ， 2021.02, Kiyoshi Suzuki

    DOI:10.1287/moor.2020.1059, Research paper (scientific journal)， Single Author

    Authorship：Lead author,　Last author,　Corresponding author  

  • Optimal pair-trading strategy over long/short/square positions—empirical study， Quantitative Finance， vol.18 (1) (p.97 - 119) ， 2018.01, Kiyoshi Suzuki

    DOI:10.1080/14697688.2017.1346277, Research paper (scientific journal)， Single Author

    Authorship：Lead author,　Last author,　Corresponding author  

  • Optimal switching strategy of a mean-reverting asset over multiple regimes， Automatica， vol.67 (p.33 - 45) ， 2016.05, Kiyoshi Suzuki

    DOI:10.1016/j.automatica.2015.12.023, Research paper (scientific journal)， Single Author

    Authorship：Lead author,　Last author,　Corresponding author  

  • The well-posed solution to the optimal portfolio problem， 2015.06, Kiyoshi Suzuki

    Research paper (scientific journal)， Single Author

    Authorship：Lead author  

  • Convertible Bond Market Trend (3)， GEKKAN SHIHONSHIJYOU (2005/01) (233) (p.43 - 62) ， 2005.01, Kiyoshi Suzuki

    Research paper (scientific journal)， Single Author

    Authorship：Lead author,　Last author,　Corresponding author  

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Books 【 display / non-display 】

  • KABUSHIKIUNYOUTOTOUSHISENRYAKU KABUSHIKI portfolio UNYOUNO RIRONTO JITSUMU (Japanese), KINZAI, 2002.10, Yasuyuki Kato, Kiyoshi Suzuki, Tomonori Uchiyama, et al.

    ，Chapter 10: Convertible Bond Investment, Joint author

  • Financial Engineering Dictionary, TOYO-KEIZAI SHINPOSYA, 2001.09, Nomura Securities Financial Research Center

    ，Corresponding Editor, Joint editor

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Review Papers 【 display / non-display 】

  • Sell-off of the stock index futures under its theoretical price， Osaka Stock Exchange, Futures and Options Report, 2002/11（Vol.14 No.11）， vol.14 (11) ， 2002.11, Kiyoshi Suzuki

    Article, review, commentary, editorial, etc. (trade magazine, newspaper, online media), Single Author

  • Visualization of the stock index futures market (1): Data from the fundamental macro to the market micro-structure， Osaka Stock Exchange, Futures and Options Report, 2003/02（Vol.15 No.2）， 2003.02, Kiyoshi Suzuki

    Article, review, commentary, editorial, etc. (trade magazine, newspaper, online media), Single Author

  • Visualization of the stock index futures market (2): Data from the fundamental macro to the market micro-structure， Osaka Stock Exchange, Futures and Options Report, 2003/03（Vol.15 No.3）， vol.15 (3) ， 2003.03, Kiyoshi Suzuki

    Article, review, commentary, editorial, etc. (trade magazine, newspaper, online media), Single Author

  • Visualization of the stock index futures market (3): Data from the fundamental macro to the market micro-structure， Osaka Stock Exchange, Futures and Options Report, 2003/04（Vol.15 No.4）， vol.15 (4) ， 2003.04, Kiyoshi Suzuki

    Article, review, commentary, editorial, etc. (trade magazine, newspaper, online media), Single Author

  • Nikkei 225 Options Gamma-short strategy (1) : Hedge simulation with intraday data， Osaka Stock Exchange, Futures and Options Report, 2005/01（Vol.17 No.1）， 2005.01, Kiyoshi Suzuki

    Article, review, commentary, editorial, etc. (trade magazine, newspaper, online media), Single Author

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Artistic and sporting activities 【 display / non-display 】

  • [System]: Core deposit management system， 2018.05

    Software

  • [System]: Equity portfolio optimization system， 1998.05

    Software

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Presentations 【 display / non-display 】

  • JAFEE 2021 winter conference, ， 2022.02，2022.02.19， A Viscosity Solution as a Piecewise Classical Solution to an Optimal Switching and Free Boundary Problem with Simultaneous Multiple Switches， Oral presentation (general)

  • NIPPON FINANCE ASSOCIATION 23rd Conference (2015), ， 2015.06，2015.06.07， The well-posed solution to the optimal portfolio problem， Oral presentation (general)

  • ， 2012.10，2012.10.04， Optimal switching strategy of a mean-reverting asset over multiple regimes， Oral presentation (invited, special)

  • NIPPON FINANCE ASSOCIATION 20th Conference (2012), ， 2012.05，2012.05.26， Optimal switching strategy of a mean-reverting asset over multiple regimes， Oral presentation (general)

  • Kyoto University Applied Financial Engineering Symposium, International presentation， 2004.03，2004.03.12， Optimal tracking for asset allocation with fixed and proportional transaction costs， Public lecture, seminar, tutorial, course, or other speech

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Committee Memberships 【 display / non-display 】

  • Automatica (IFAC, the International Federation of Automatic Control)， Peer-reviewer， 2021.10 - 2021.12

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Charge of on-campus class subject 【 display / non-display 】

  • オペレーションズ・リサーチ特講，2024.10 - 2025.03

  • 演習Ⅱ，2024.10 - 2025.03

  • 演習Ⅳ，2024.10 - 2025.03

  • 演習Ⅰ，2024.04 - 2024.09

  • 証券分析とポートフォリオ・マネジメントⅡ，2024.04 - 2024.09

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Media Coverage 【 display / non-display 】

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