Efficient numerical methods in the computational finance
| Project/Area Number |
21710157
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Keio University |
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Principal Investigator |
IMAI Junichi 慶應義塾大学, 理工学部, 准教授 (10293078)
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| Project Period (FY) |
2009 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2011: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2010: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2009: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
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| 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 / 金融工学 / 数理工学 / レヴィ過程 |
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| Research Abstract |
In this research project, I have proposed so called "Generalized Linear Transformation Method" that is proposed under Levy models. To be explicit, we develop new methods that are based on the explicit form of probability density function, series representation of the infinitely divisible distribution, using inverse Levy measure method, and using characteristic functions via discrete Fourier transformation. These methods enables us enhance the numerical efficiency of QMC method by minimizing the effective dimensions of the problems.
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Report
(4 results)
Research Products
(34 results)
