Research on non-linear pricing of assets

• Project/Area Number: 22510153
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: Tokyo Metropolitan University
• Principal Investigator: TANAKA Keiichi 首都大学東京, 社会(科)学研究科, 教授 (00381442)
• Project Period (FY): 2010-10-20 – 2014-03-31
• Project Status: Completed (Fiscal Year 2013)
• Budget Amount: ¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000); Fiscal Year 2013: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2012: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2011: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
• Keywords: ファイナンス / レジームスイッチ / リスク測度 / 無差別価格

Research Abstract

We conducted a research on non-linear asset pricing models. A non-linear pricing is related to an idea of aversion to uncertainty. We focused on the uncertainty of regime switching intensities to avoid. An investor's decision problem under an environment with regime switching parameters in infinite time horizon has been solved. We also studied pricing models under which the dynamics of the short interest rates is regime switched among several models. We obtained the prices of zero-coupon bond and other contingent claims under the model.

Research Products

• [Journal Article] First Passage Time in Real Options (2013)
  • Author(s): Tanaka,K.
  • Journal Title: 京都大学数理解析研究所講究録 Volume: 1818 Pages: 17-32
• [Journal Article] Asymptotic Expansion Formula of Option Prices under Multifactor Heston Model (2013)
  • Author(s): Nagashima,K., Chung,T.K., Tanaka,K.
  • Journal Title: 首都大学東京経営学専攻Research Paper Series Volume: 121 Pages: 1-40
• [Journal Article] First Passage Time in Real Options (2013)
  • Author(s): Keiichi Tanaka
  • Journal Title: 京都大学数理解析研究所 講究録 Volume: 1818 Pages: 17-32
• [Journal Article] Asymptotic Expansion Formula of Option Price under Multifactor Heston Model (2013)
  • Author(s): Kazuki Nagashima, Tsz-Kin Chung, Keiichi Tanaka
  • Journal Title: 首都大学東京 Research Paer Series Volume: 121 Pages: 1-40
• [Journal Article] Irreversible Investment with Regime Switching : Revisit with Linear Algebra (2012)
  • Author(s): Tanaka,K.
  • Journal Title: 首都大学東京経営学専攻Research Paper Series Volume: 105 Pages: 1-38
• [Journal Article] Irreversible Investment with Regime Switching : Revisit with Linear Algebra (2012)
  • Author(s): Keiichi Tanaka
  • Journal Title: 首都大学東京経営学専攻Research paper Series Volume: 105 Pages: 1-38
• [Journal Article] Applications of Gram–Charlier expans ion and bond moments for pricing of interest rates and credit risk (2010)
  • Author(s): Tanaka,K., Yamada,T. and Watanabe,T.
  • Journal Title: Quantitative Finance Volume: 10(6) Pages: 645-662
  • Peer Reviewed
• [Journal Article] Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk (2010)
  • Author(s): Tanaka, K., Yamada, T., Watanabe, T.
  • Journal Title: Quantitative Finance Volume: Vol.10 No.6 Pages: 645-662
  • Peer Reviewed
• [Presentation] Bond Pricing under Regime Switching Among Several Short Rate Models (2014)
  • Author(s): Tanaka,K.
  • Organizer: 2013年度確率モデルシンポジウム
  • Place of Presentation: 東京理科大学
  • Year and Date: 2014-01-24
• [Presentation] Bond Pricing under Regime Switching Among Several Short Rate Models (2014)
  • Author(s): Tanaka,K.
  • Organizer: JAFEE 2013冬季大会
  • Place of Presentation: 慶應義塾大学
  • Year and Date: 2014-01-11
• [Presentation] Irreversible Regime Switching in Real Option (2012)
  • Author(s): Tanaka,K.
  • Organizer: RIMS Workshop on Financial Modeling and Analysis
  • Place of Presentation: 京都大学
  • Year and Date: 2012-09-18
• [Presentation] Irreversible Investment with Regime Switching : Revisit with Linear Algebra (2012)
  • Author(s): Tanaka,K.
  • Organizer: Annual International Real Options Conference
  • Place of Presentation: ロンドン
  • Year and Date: 2012-07-27
• [Presentation] Irreversible Investment with Regime Switching : Revisit with Linear Algebra (2012)
  • Author(s): Tanaka,K.
  • Organizer: SIAM Conference on Financial Mathematics & Engineering (FM12)
  • Place of Presentation: ミネアポリス
  • Year and Date: 2012-07-09
• [Presentation] Regime Switching in Real Option (2012)
  • Author(s): Tanaka,K.
  • Organizer: Bachelier Finance Society
  • Place of Presentation: シドニー
  • Year and Date: 2012-06-19
• [Presentation] Irreversible Investment under Regime Switching (2012)
  • Author(s): Tanaka,K.
  • Organizer: Acturial and Financial Mathematics
  • Place of Presentation: ブラッセル
  • Year and Date: 2012-02-09
• [Presentation] Irreversible Investment with Regime Switching : Revisit with Linear Algebra (2012)
  • Author(s): Keiichi Tanaka
  • Organizer: RIMS Workshop on Financial Modeling and Analysis
  • Place of Presentation: 京都
• [Presentation] Irreversible Investment with Regime Switching : Revisit with Linear Algebra (2012)
  • Author(s): Keiichi Tanaka
  • Organizer: SIAM Conference on Financial Mathematics & Engineering (FM12)
  • Place of Presentation: Minneapolis, USA
• [Presentation] Irreversible Investment with Regime Switching : Revisit with Linear Algebra (2012)
  • Author(s): Keiichi Tanaka
  • Organizer: Annual International Real Options Conference
  • Place of Presentation: London, UK
• [Presentation] Regime Switching in Real Options (2012)
  • Author(s): Keiichi Tanaka
  • Organizer: Bachelier Finance Society
  • Place of Presentation: Sydney, Australia
• [Presentation] Irreversible Investment under Regime Switching (2011)
  • Author(s): Tanaka,K.
  • Organizer: Quantitative Methods in Finance 2011
  • Place of Presentation: シドニー
  • Year and Date: 2011-12-16
• [Presentation] Regime Switching in Real Option (2011)
  • Author(s): Tanaka,K.
  • Organizer: RIMS研究集会「不確実・不確定環境下における数理的意思決定とその周辺」
  • Place of Presentation: 京都大学
  • Year and Date: 2011-11-09
• [Presentation] Irreversible Investment under Regime Switching (2011)
  • Author(s): Tanaka,K.
  • Organizer: 2011年度OR学会秋季研究発表会
  • Place of Presentation: 甲南大学
  • Year and Date: 2011-09-16
• [Presentation] Bond Pricing under Regime Switching Among Several Short Rate Models
  • Author(s): Keiichi Tanaka
  • Organizer: JAFEE 2013冬季大会
  • Place of Presentation: 慶應義塾大学
• [Presentation] Bond Pricing under Regime Switching Among Several Short Rate Models
  • Author(s): Keiichi Tanaka
  • Organizer: 2013年度確率モデルシンポジウム
  • Place of Presentation: 東京理科大学
• [Book] Methods and Applications of Statistics in Business, Finance, and Management Science (1.Alternatives to Black-Scholes Formulation in Financeを執筆) (2010)
  • Author(s): Kijima, M., Tanaka, K. (eds.N.Balakrishnan)
  • Total Pages: 696
  • Publisher: JOHN WILEY & SONS