| Budget Amount *help |
¥4,050,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥450,000)
Fiscal Year 2007: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
Fiscal Year 2006: ¥2,100,000 (Direct Cost: ¥2,100,000)
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| Research Abstract |
Based on the recent research trend in the financial engineering, and mathematical and quantitative finance, this research project has challenged various financial technological problems,especially
1. asset allocation problems ;
2. portfolio selection problems ;
3. pricing,replication,and risk hedging problems of financial derivatives,which appear in financial markets with frictions (i.e.,the transaction costs, commission costs, tax,and etc).
Starting with examination of problem formulations, it mainly aimed at an overall research for the establishment of required methods of financial engineering.
In order to understand the present research state of the world in the financial engineering techniques concerning the asset management and asset pricing in financial markets with frictions
1. I have obtained many Japanese and foreign professional literatures which contain the latest related results; and
2. I have actively exchanged useful information and opinions with many domestic and foreign leadin
… More
g researchers.
Especially, in order to collect related literatures and information on the recent trend of the applied research to economics, finance, and financial engineering of the impulse control theory as a promising methodology useful to modeling of the asset management and asset pricing when frictions of financial markets exist. I have actively participated in many small-size seminars, research meetings, and workshops, etc. where domestic leading researchers who work in the related research fields, and I have collected and exchanged valuable research information.
On the other hand
1. the research on pricing of exotic interest-rate derivatives and optimal exercise strategies; and
2. the research on the comparative statics study of the effect on the equilibrium asset prices by the change in the risk attitude of investors in the financial asset market, which have been worked by my research group so far, have been continually promoted, and further interesting results have been obtained, and they have been presented at some related domestic research seminars and research meetings, etc. Less
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