Profile
Teppei Ogihara（荻原 哲平）
Associate Professor, Department of Mathematical Informatics, Graduate School of Information
Science and Technology, University of Tokyo
2-11-16 Yayoi, Bunkyo-ku, Tokyo, 113-8656
Eng. 12 Bldg. Room 212
Tel: +81-3-5841-7958, ext. 27958
Fax:
E-mail：ogihara@mist.i.u-tokyo.ac.jp
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Curriculum Vitae
| Mar. 2007 | Bachelor degree from Department of Mathematics, The University of Tokyo |
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| Mar. 2009 | Master degree from Graduate School of Mathematical Science, The University of Tokyo |
| Apr. 2009 | Researcher, Mitsubishi UFJ Trust investment Technology Institute Co., Ltd. Jul. 2012 Project Assistant Professor, Center for the Study of Finance and Insurance, Osaka University |
| Jul. 2012 | Project Assistant Professor, Center for the Study of Finance and Insurance, Osaka University |
| Jul. 2014 | Assistant Professor, School of Statistical Thinking, The Institute of Statistical Mathematics |
| Oct. 2015 | PRESTO Researcher, Japan Science and Technology Agency (Concurrent post) Apr. 2016 Assistant Professor, Department of Mathematical Analysis and Statistical Inference, The Institute of Statistical Mathematics |
| Apr. 2016 | Assistant Professor, Department of Mathematical Analysis and Statistical Inference, The Institute of Statistical Mathematics |
| Apr. 2019 | Associate Professor, Mathematics and Informatics Center, The University of Tokyo |
Research Themes
Statistical inference for stochastic processes and applications to financial data analysis
I am studying maximum-likelihood- and Bayes-type estimation for diffusion processes, jump diffusion processes and self-exciting point processes, and the theory of asymptotic efficiency of estimators by using Malliavin calculus. I am also working with high-frequency data in Japanese and US stock markets and forecasting stock volatility and covariation.
Selected Publications
- Teppei Ogihara, Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise, Bernoulli, Volume 24, Issue 4B (2018), pp.3318-3383 (doi:10.3150/17-BEJ962).
- Teppei Ogihara, Local asymptotic mixed normality property for nonsynchronously observed diffusion processes, Bernoulli, Volume 21 (2015), pp.2024-2072 (doi:10.3150/14-BEJ634).
- Teppei Ogihara and Nakahiro Yoshida, Quasi-likelihood analysis for nonsynchronously observed diffusion processes, Stochastic Processes and their Applications, Volume 124 (2014), pp.2954-3008 (doi:10.1016/j.spa.2014.03.014).
- Teppei Ogihara and Nakahiro Yoshida, Quasi-likelihood analysis for the stochastic differential equation with jumps, Statistical Inference for Stochastic Processes, Volume 14 (2011), pp. 189-229 (doi:10.1007/s11203-011-9057-z).