Analysis of Wiener functional and derivative pricing
| Project/Area Number |
17540107
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
|
|---|
| Research Institution | Hitotsubashi University |
|---|
Principal Investigator |
FUJITA Takahiko Hitotsubashi University, Graduate School of Commerce and Management, Professor (50144316)
|
|---|
| Project Period (FY) |
2005 – 2007
|
| Project Status |
Completed (Fiscal Year 2007)
|
| Budget Amount *help |
¥2,610,000 (Direct Cost: ¥2,400,000、Indirect Cost: ¥210,000)
Fiscal Year 2007: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2006: ¥800,000 (Direct Cost: ¥800,000)
Fiscal Year 2005: ¥900,000 (Direct Cost: ¥900,000)
|
|---|
| Keywords | random walk / Brownian motion / Bessel process / Exotic option / Black Scholes model / Infinitely divisible distribution / Cauchy distrbution / Riemann zeta function / エクスカーション / 無限分解可能性 / べッセル過程 / レヴィ測度 / 逆正弦測度 / ブラック・ショールズモデル / 数理ファイナンス / 金融工学 / 順位統計量 |
|---|
| Research Abstract |
(1)On research of exotic options written by rank statistics
(2)On distribution theory for fragments of random walk , Brownian motion and Bessel processe straddling independent Exponential times
(3)A stochastic approach to special values of the Riemann zeta function
(4)On research of orderstatistics
(5)On research of new exotic derivative products (meander option)
Especially, with Bertoin, J., Yor, M. and Roynette, B., I obtained the explicit calculation of the distribution of fragments of random walk, Brownian motion, Bessel processe straddling independent exponential times and the infinitely divisibility of such distributions, of which Levy Hintchin measure is a kind of arcsine laws.
straddling independent exponential times and the infinitely divisibility of such distributions, of which Levy Hintchin mesure is a kind of aresine laws.
|
Report
(4 results)
Research Products
(39 results)
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
[Book] 道具としての金融工学2005
Author(s)
藤田岳彦
Total Pages
256
Publisher
日本実業出版社
Description
「研究成果報告書概要(和文)」より
Related Report
