| 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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| 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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