| Project/Area Number |
16H03123
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Tokyo Metropolitan University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
木島 正明 広島大学, 情報科学部, 教授 (00186222)
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| Project Period (FY) |
2016-04-01 – 2020-03-31
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| Project Status |
Completed (Fiscal Year 2019)
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| Budget Amount *help |
¥16,510,000 (Direct Cost: ¥12,700,000、Indirect Cost: ¥3,810,000)
Fiscal Year 2019: ¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2018: ¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2017: ¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2016: ¥6,370,000 (Direct Cost: ¥4,900,000、Indirect Cost: ¥1,470,000)
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| Keywords | ファイナンス / デリバティブの価格付け / 担保付取引 / マルチカーブ |
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| Outline of Final Research Achievements |
Based on the theory under the single interest-curve curve environment, basic theories for pricing derivatives under the multi-curve environment was reconsidered and reconstructed. Moreover, based on the reconstructed theory, a tractable and useful two-curve model for OIS and LIBOR curves was proposed. Additionally, the initial margin valuation adjustment (IMVA), which is derived from the same reason for generating the multi-curve environment, was also studied. We also studied some other themes, such as pricing interest-rate sensitive products, approximation methods under stochastic volatility models, stochastic interest rate model with a regime-switching property, and so on. And, we proposed a framework for analyzing the market price of liquidity risk, which is considered as one reason for generating the multi-curve environment.
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| Academic Significance and Societal Importance of the Research Achievements |
既存のマルチカーブ環境下の価格付け理論を再整理したが，再整理は学術分野では評価されにくいためか未だ掲載に至っていない．しかし，研究分担者の木島が執筆したテキストには再整理の結果と応用が詳細に記載されており，実務の方々にマルチカーブの理論をわかりやすく紹介したことの意義は大きい．また，提案したOISとLIBORのツーカーブモデルはLIBOR-OISスプレッドが負にならないという特性を持ち，実務的に重要な提案であると考えている．さらに，基礎理論だけでなく，関連する研究も幅広く行った．まだマルチカーブ理論に応用できていない研究成果も，将来的には繋がり貢献できると考えている．
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