| 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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| 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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