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Theoretical and empirical analysis of the interest rate spred

Research Project

Project/Area Number 15500183
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Statistical science
Research InstitutionHitotsubashi University

Principal Investigator

TAKAHASHI Hajime  Hitotsubashi University, Graduate School of Economics, Professor, 大学院・経済学研究科, 教授 (70154838)

Project Period (FY) 2003 – 2004
Project Status Completed (Fiscal Year 2004)
Budget Amount *help
¥3,300,000 (Direct Cost: ¥3,300,000)
Fiscal Year 2004: ¥1,400,000 (Direct Cost: ¥1,400,000)
Fiscal Year 2003: ¥1,900,000 (Direct Cost: ¥1,900,000)
Keywordsboundary crossing problem / finite sample space / incomplete market / embedded complete market / barrier option / credit risk / VonMises型統計量の漸近展開 / 天候デリィバティブ / 不完備市場におけるプライシング / 統計的汎関数 / 有限母集団 / 金利スプレッド / Duffie-Singleton モデル
Research Abstract

We have obtained the following results in this project in the last two years : In the field of credit risk, we have obtained an extension of the results of Duffie-Singleton to the multi-factor and discrete time model. The result of which was partially presented at the seminar held in Hitotsubashi University July 2004. Related to the parameter estimation as well as the related field, we have the following results.
1.Asymptotic analysis in finite population : We have obtained the asymptotic expansions in U-statistic and Von Mises statistical functional. The results of which may be used to justify the accuracy of bootstrap method. The research is jointly done by Mr.H.Motoyama.
2.Pricing of barrier type European option : This is a continuation of the work done jointly with Morimoto in 2002. We have obtained the price of barrier type option in discrete time model where the non-linear renewal theory of Takahashi and Woodroofe was fully utilized. The part of the result was presented at the 8^<th> Japan-China Symposium on Statistics (Oct.2004,Guillin China).
3.Pricing on weather derivative : This is jointly done with Tobe and Kawanowa. We have proposed a new type of pricing a temperature derivatives where the prediction of future temperature may be taken into account. We have investigated the accuracy of our model using the real data.
4.We have introduced an embedded complete market inside incomplete market with which each trader may apply the Black-Scholes formula is used to pricing any stock based European type derivatives. The price of option in the market may be determined by the mean of these prices (OLS), median (Mean absolute deviation), or mode (majority rule).

Report

(3 results)
  • 2004 Annual Research Report   Final Research Report Summary
  • 2003 Annual Research Report
  • Research Products

    (4 results)

All 2005

All Journal Article (3 results) Book (1 results)

  • [Journal Article] On embedded complete markets2005

    • Author(s)
      Hajime Takahashi
    • Journal Title

      Hitotsubashi Journal of Economics 46-1

      Pages: 99-110

    • NAID

      110007629878

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] On embedded complete market2005

    • Author(s)
      Hajime TAKAHASHI
    • Journal Title

      Hitotsubashi Journal of Economics Vol 46-1

      Pages: 99-110

    • NAID

      110007629878

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] On Embedded Complete Markets2005

    • Author(s)
      Hajime TAKAHASHI
    • Journal Title

      Hitotsubashi Journal of Economics 46・1(印刷中)

    • NAID

      110007629878

    • Related Report
      2004 Annual Research Report
  • [Book] 文系出身者の為のファイナンス入門2005

    • Author(s)
      高橋 一
    • Publisher
      東洋経済新報社(印刷中)
    • Related Report
      2004 Annual Research Report

URL: 

Published: 2003-04-01   Modified: 2016-04-21  

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