Waseda Business School
(Graduate School of Business and Finance)

Faculty

NAKAZATO Daisuke, Professor

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Profile

Professor Nakazato received a Ph.D. from MIT. Before joining WASEDA University, he worked for Industrial Bank of Japan (IBJ) as a financial engineer. Through projects at IBJ, he jointly worked with Dr. Fisher Black and Dr. Robert Litterman. At WASEDA University, he has taught derivatives modeling, mathematical finance, credit modeling and incomplete markets, derivative modeling, foundation of interest rate derivatives and credit risk, financial engineering and risk management, and computational finance laboratory.

Academic Degrees

Ph.D. in Operations Research, MIT

Master of Science in Mathematics, MIT

Selected Publications

Ph.D. Thesis: Transient Distributional Results in Queues with Applications to Queuing Networks, September 1990.

“The distributional Little’s law and its applications”, (with D. Bertsimas), Operations Research, 43, 2, 298-310, 1995.

“Determination of the adequate capital for default protection under the one-factor Gaussian term structure model ”, Journal of Banking & Finance, 24, 329-352, 2000.

Analytical Financial Engineering (Japanese), ISBN 4-322-10289-1, 2002.

Courses in charge

Derivatives Modeling (MSc. in Finance)

Mathematical Finance (MSc. in Finance)

Credit Modeling and Incomplete Markets (MSc. Seminar topics)

Derivative Modeling (Evening MBA in Japanese)

Foundation of Interest Rate Derivatives and Credit Risk (Evening MBA in Japanese)

Financial Engineering and Risk Management (Evening MBA in Japanese)

Computational Finance Laboratory (Evening MBA Seminar topics in Japanese)

 Others

URL of Personal Home Page: http://alum.mit.edu/www/d.nakazato

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