| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2019: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2018: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Outline of Final Research Achievements |
Financial institutions have various assets and Mathematical models represent the asset fluctuations and they are essential tools for risk management. However, there is no mathematical model that completely represents the real market. Therefore, financial institutions have a potential risk of the uncertain model. We call it the model risk. In this study, the risk management of derivatives is studied under the assumption that the model risk exists in a multi-period and multi-asset model. We study the minimization of the hedging error and give the robust hedging strategy. Furthermore, when the model is a multi-asset or multi-period model, the amount of calculation is much larger than that of a one-asset and one-period model. We consider the feasibility of the numerical calculation and show a risk management method with a good balance between theory and practicality.
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