A Study on efficient computational methods in Finance

• Project/Area Number: 18710126
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Social systems engineering/Safety system
• Research Institution: Keio University (2008); Tohoku University (2006-2007)
• Principal Investigator: IMAI Junichi Keio University, 理工学部, 准教授 (10293078)
• Project Period (FY): 2006 – 2008
• Project Status: Completed (Fiscal Year 2008)
• Budget Amount: ¥3,830,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥330,000); Fiscal Year 2008: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000); Fiscal Year 2007: ¥1,200,000 (Direct Cost: ¥1,200,000); Fiscal Year 2006: ¥1,200,000 (Direct Cost: ¥1,200,000)
• Keywords: ファイナンス / 準モンテカルロ法 / シミュレーション工学 / 数理工学 / 金融工学

Research Abstract

本研究では,準モンテカルロ法の計算精度を高める分散減少法としてLinearTransformation method(LT法)を提案し,それらがオプション評価のみならず金融工学の諸問題に適用できることを示した.また,Generalized Linear Transformation method(GLT法)を提案し,従来のガウス過程ベースの確率過程のみならず,より一般のLevy processの場合にも活用できる具体的計算手法を提案した.

Research Products

• [Journal Article] An accelerating quasi-MonteCarlo method for option pricing under the generalized hyperbolic Le'vy process (2009)
  • Author(s): J. Imai and K.S. Tan
  • Journal Title: SIAM Journal on Scientic Computing (掲載決定)
  • Peer Reviewed
• [Journal Article] Computation of optimal portfolios using simulation-based dimension reduction (2008)
  • Author(s): Phelim Boyle, Junichi Imai, and Ken Seng Tan
  • Journal Title: insurance : Mathematics and Economics 43(3) Pages: 327-338
  • Peer Reviewed
• [Journal Article] NIGレヴィ過程下における効率的な準モンテカルロ法を用いたオプション評価 (2008)
  • Author(s): 今井潤一
  • Journal Title: 数理解析研究所講究録1580,「ファイナンスの数理解析とその応用」 Pages: 114-123
  • Peer Reviewed
• [Journal Article] Computation of Optimal Portfolios using Simulation-based Dimension Reduction (2008)
  • Author(s): P. Boyle, J. Imai and K.S. Tan
  • Journal Title: Insurance : Mathematics and Economics 343 (3) Pages: 327-338
  • Peer Reviewed
• [Journal Article] 競争状況下でのリアルオプションと柔軟性の罠 (2007)
  • Author(s): 今井潤一,渡辺隆裕
  • Journal Title: 現代ファイナンス 22 Pages: 75-95
  • NAID: 130007528283
  • Peer Reviewed
• [Journal Article] The Investment Game under Uncertainty: An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage, in Stochastic Processes and Applications to Mathematical Finance (2007)
  • Author(s): Junichi Imai and Takahiro Watanabe,
  • Journal Title: Proceedings of the 6th Ritsumeikan Conference Pages: 151-172
  • Peer Reviewed
• [Journal Article] A General Dimension Reduction Technique For Derivative Pricing (2007)
  • Author(s): Junichi Imai, Ken Seng Tan
  • Journal Title: Journal of Computational Finance 10・2 Pages: 129-155
• [Journal Article] A General Dimension Reduction Technique For Derivative Pricing (2006)
  • Author(s): Junichi Imai and Ken Seng Tan
  • Journal Title: Journal of Computational Finance 10(2) Pages: 129-155
  • Peer Reviewed
• [Journal Article] An accelerating quasi-Monte Carlo method for option pricing under the generalized hyperbolic Levy process.
  • Author(s): Junichi Imai and Ken Seng Tan.
  • Journal Title: SIAM Journal on Scientific Computing
  • Peer Reviewed
• [Presentation] 準モンテカルロ法を利用したLevy 過程のシミュレーション (2009)
  • Author(s): 今井潤一
  • Organizer: オペレーションズ・リサーチ学会東北支部会
  • Place of Presentation: 東北大学
  • Year and Date: 2009-03-31
• [Presentation] 準モンテカルロ法を利用したLe'vy過程のシミュレーション (2009)
  • Author(s): 今井潤一
  • Organizer: オペレーションズリサーチ学会東北部会
  • Place of Presentation: 東北大学
  • Year and Date: 2009-03-31
• [Presentation] 準モンテカルロ法の高速化技法:一般化線形変換による分散減少法と一般化双曲レヴィ分布への適用 (2009)
  • Author(s): 今井潤一
  • Organizer: 日本銀行金融研究所セミナー
  • Place of Presentation: 日本銀行
  • Year and Date: 2009-02-05
• [Presentation] 準モンテカルロ法の高速化技法 : 一般化線形変換による分散減少法と一般化双曲レヴィ分布への適用 (2009)
  • Author(s): 今井潤一
  • Organizer: 日本銀行金融研究所セミナー
  • Place of Presentation: 日本銀行
  • Year and Date: 2009-02-05
• [Presentation] An Enhanced Quasi-Monte Carlo Method for simulating Levy Process (2008)
  • Author(s): 今 井潤一
  • Organizer: 金融工学・数理計量ファイナンスの諸問題2008
  • Place of Presentation: 大阪大学金融・保険教育センター(CSFI)
  • Year and Date: 2008-12-07
• [Presentation] An Enhanced Quasi-Monte Carlo Method for simulating Le' vy Process (2008)
  • Author(s): 今井潤一
  • Organizer: 金融工学・数理計量ファイナンスの諸問題2008
  • Place of Presentation: 大阪大学金融・保険教育センター(CSFI)
  • Year and Date: 2008-12-07
• [Presentation] A numerical approach for accelerating QMC method under the Generalized Hyperbolic Levy Process (2008)
  • Author(s): Junichi Imai
  • Organizer: 日本オペレーションズ・リサーチ学会研究部会,「ファイナンスと意思決定」
  • Place of Presentation: 首都大学東京秋葉原サテライトキャンパス
  • Year and Date: 2008-11-19
• [Presentation] マルコフ完全均衡と離散選択モデルを用いたイノベーションのジレンマの分析 (2008)
  • Author(s): 今井潤一
  • Organizer: 日本リアルオプション学会2008年研究発表大会(JAROS2008)
  • Place of Presentation: 明海大学
  • Year and Date: 2008-11-09
• [Presentation] マルコフ完全均衡と離散選択モデルを用いたイノベーションのジレこイマの分析 (2008)
  • Author(s): 今井潤一
  • Organizer: 日本リアルオプション学会2008年研究発表大会(JAROS2008)
  • Place of Presentation: 明海大学
  • Year and Date: 2008-11-09
• [Presentation] A numerical approach for accelerating QMC method under the Generalized Hyperbolic Le'vy Process (2008)
  • Author(s): 今井潤一
  • Organizer: 日本オペレ-ションズ・リサーチ学会研究部会,「ファイナンスと意思決定」
  • Place of Presentation: 首都大学東京
  • Year and Date: 2008-11-09
• [Presentation] レヴィ過程のための(準)モンテカルロ・シミュレーション (2008)
  • Author(s): 今井潤一
  • Organizer: 特別セッション,日本リアルオプション学会2008年研究発表大会(JAROS2008)
  • Place of Presentation: 明海大学
  • Year and Date: 2008-11-08
• [Presentation] レヴィ過程のための(準)モンテカルロ・シミュレーション (2008)
  • Author(s): 今井潤一
  • Organizer: 日本リアルオプション学会2008年研究発表大会(JAROS2008)
  • Place of Presentation: 明海大学
  • Year and Date: 2008-11-08
• [Presentation] リアルオプション・アプローチによるイノベーション選択 (2008)
  • Author(s): 今井潤一
  • Organizer: 日本経営財務研究学会第32回全国大会
  • Place of Presentation: 東洋大学
  • Year and Date: 2008-09-28
• [Presentation] リアルオプションアプローチによるイノベーション選択 (2008)
  • Author(s): 今井潤一
  • Organizer: 日本経営財務研究学会第32回全国大会
  • Place of Presentation: 東洋大学
  • Year and Date: 2008-09-28
• [Presentation] An Accelerating Quasi-Monte Carlo Method for Option Pricing under the Generalized Hyperbolic Levy Process (2008)
  • Author(s): J. Imai and K.S. Tan
  • Organizer: 12th International Congress on Insurance : Mathematics & Economics
  • Place of Presentation: Tsinghua University, Dalian, China
  • Year and Date: 2008-07-18
• [Presentation] An Accelerating Quasi-Monte Carlo Method for Option Pricing under the Generalized Hyperbolic Levy Process (2008)
  • Author(s): Junichi Imai and Ken Seng Tan
  • Organizer: 12th International Congress on Insurance : Mathematics & Economics
  • Place of Presentation: School of Economics and Management, Tsinghua University, Dalian, China
  • Year and Date: 2008-07-17
• [Presentation] An Enhanced Quasi-Monte Carlo Method for simulating generalized hyperbolic Levy process (2008)
  • Author(s): Ken Seng Tan and Junichi Imai
  • Organizer: Eighth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing MCQMC2008)
  • Place of Presentation: Universite de Montreal, CANADA
  • Year and Date: 2008-07-08
• [Presentation] An Enhanced Quasi-Monte Carlo Method for simulating generalizedh : perbolic Levy process (2008)
  • Author(s): J. Imai and K.S. Tan
  • Organizer: Eighth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC2008)
  • Place of Presentation: University de Montreal, CANADA
  • Year and Date: 2008-07-06
• [Presentation] An Accelerating Quasi-Monte Carlo Method for Option Pricing under the Generalized Hyperbolic Levy Process (2008)
  • Author(s): Junichi Imai and Ken Seng Tan
  • Organizer: 2008 Daiwam, Young Researchers' International Workshop on Finance
  • Place of Presentation: Kyoto University, JAPAN
  • Year and Date: 2008-03-03
• [Presentation] An Accelerating Quasi-Monte Carlo Method for Option Pricing under the Generalized Hyperbolic Levy Process (2008)
  • Author(s): Junichi Imai and Ken Seng Tan
  • Organizer: 2008 Daiwa Young Researchers' International Workshop on Finance
  • Place of Presentation: Kyoto University
  • Year and Date: 2008-03-02
• [Presentation] Accelerating quasi-Monte Carlo method for option pricing under the generalized hyperbolic Levy process (2007)
  • Author(s): 今井潤一
  • Organizer: 平成19年度京都大学数理解析研究所/科学研究費補助金研究集会
  • Place of Presentation: 京都大学数理解析研究所
  • Year and Date: 2007-11-20
• [Presentation] Accelerating quasi-Monte Carlo method for option pricing under the generalized hyperbolic Le'vy process (2007)
  • Author(s): 今井潤一
  • Organizer: 京都大学数理解析研究所/科学研究費補助金研究集会
  • Place of Presentation: 京都大学数理解析研究所
  • Year and Date: 2007-11-20
• [Presentation] Enhancing the dimension reduction technique using the effective dimension distribution (2006)
  • Author(s): Junichi Imai and Ken Seng Tan
  • Organizer: Bachelier Finance 2006 4th World Congress
  • Place of Presentation: Hitotsubashi University, Tokyo, JAPAN
  • Year and Date: 2006-08-18
• [Presentation] The Enhanced LT method using Effective Dimension Distribution (2006)
  • Author(s): Junichi Imai and Ken Seng Tan,
  • Organizer: Festkolloquium in Honour of Phelim Boyle
  • Place of Presentation: University of Waterloo, CANADA
  • Year and Date: 2006-06-29
• [Presentation] Valuing Switching Options by Simulation and an Application to Oil Refinery (2006)
  • Author(s): Junichi Imai
  • Organizer: 10th Annual International Conference on Real Options
  • Place of Presentation: Columbia University, New York, United States
  • Year and Date: 2006-06-14
• [Remarks]
  • URL: http://www.ae.keio.ac.jp/Iab/soc/imai/
• [Remarks]
  • URL: http://www.econ.tohoku.ac.jp/~jimai/