Comprehensive Studies on Financial Asset Management and Asset Pricing under Assumptions of Price Processes with Random Jumps
| Project/Area Number |
20510135
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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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 | Osaka University |
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Principal Investigator |
OHNISHI Masamitsu Osaka University, 大学院・経済学研究科, 教授 (10160566)
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| Project Period (FY) |
2008 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2010: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2009: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2008: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
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| Keywords | ファイナンス・金融工学 / ジャンプを伴う拡散過程 / 最適停止 / 確率制御 / インパルス制御 / 自由境界問題 / 準変分不等式 / 金融市場モデル / 金融工学 / 最適停止問題 / 自由境界値問題 / 金利の期間構造モデル / エキゾチックな金利デリバティブ / リスク回避性 / インパルス制御理論 |
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| Research Abstract |
Under the assumption that the prices of financial assets and/or values of financial variables follow some diffusion type stochastic processes with random jumps, we have been tried to execute comprehensive studies on financial asset management and arbitrage pricing/replication/hedging of various financial derivatives (derivative assets and contracts) from the various viewpoints of modeling and formalization, theoretical analysis, algorithmic and numerical methods, and so on, and we have obtained a lot of new fruitful results.
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Report
(4 results)
Research Products
(15 results)
