A general study on functions and regulations of advanced derivatives.

• Project/Area Number: 22530311
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Meiji Gakuin University
• Principal Investigator: NISHINA Kazuhiko 明治学院大学, 経済学部, 教授 (30094311)
• Project Period (FY): 2010 – 2012
• Project Status: Completed (Fiscal Year 2012)
• Budget Amount: ¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000); 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: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
• Keywords: ファイナンス / ボラティリティ / デリバティブ / ボラティリティー / 経済厚生 / モデルフリー / Implied volatility / implied volatility

Research Abstract

The implied volatility index has recently gathered wide attention from the viewpoint of national economy as well as financial markets. We have developed a new method of estimating the index and released it on the web, which attracted both researchers and business practitioners in the world

Research Products

• [Journal Article] デリバティブ市場の使命と針路 (2013)
  • Author(s): 仁科一彦
  • Journal Title: 大阪証券取引所「先物・オプションレポ-ト
• [Journal Article] Nonlinear Adjustments of Volatility Expectations to Forecast Errors: Evidence from Markov-Regime Switches in Implied Volatility (2012)
  • Author(s): Nishina, K., Maghrebi, N. and M.J.Holmes
  • Journal Title: Review of Pacific Basin Financial Markets and Policies Volume: Vol.15, No.3
• [Journal Article] デリバティブ市場への期待 (2012)
  • Author(s): 仁科一彦
  • Journal Title: 大阪証券取引所「先物・オプションレポ-ト」
• [Journal Article] Nonlinear Adjustments of Volatility Expectations to Forecast Errors: Evidence from Markov-Regime Switches in Implied Volatility (2012)
  • Author(s): Kazuhiko Nishina
  • Journal Title: Review of Pacific Basin Financial Markets and Policies Volume: 15 Issue: 03 Pages: 1-23
  • DOI: 10.1142/s0219091512500075
  • Peer Reviewed
• [Journal Article] Nonlinear Adjustments of Volatility Expectations to Forecast Errors : Evidence from Markov-Regime Switches in Implied Volatility (2012)
  • Author(s): Kazuhiko Nishina, Nabil Maghrebi, Mark J.Holmes
  • Journal Title: Review of Pacific Basin Financial Markets and Policies Volume: (forthcoming)
  • Peer Reviewed
• [Journal Article] デリバティブ市場からのメッセージ (2011)
  • Author(s): 仁科一彦
  • Journal Title: 大阪証券取引所「先物・オプションレポ-ト」
• [Presentation] The formation of volatility expectations during financial crises (2011)
  • Author(s): Nabil, Maghrebi
  • Organizer: The Asian-Pacific Association of Derivatives
  • Place of Presentation: Pusan, Korea
• [Presentation] Model-Free Volatility Expectations and Risk Perceptions during Financial Crises (2010)
  • Author(s): Maghrebi, Nabil
  • Organizer: The 5^<th> International Conference on Asia-Pacific Financial Markets
  • Place of Presentation: ソウル(韓国)
  • Year and Date: 2010-12-04