Studies on mathematical model for power derivatives
| Project/Area Number |
22560455
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Control engineering
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| Research Institution | Tokyo University of Science, Suwa |
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Principal Investigator |
AIHARA Shin'ichi 諏訪東京理科大学, システム工学部, 教授 (70202455)
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2012: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2010: ¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
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| Keywords | システム工学 / 制御工学 / 電力債券 / 電力デリバティブ / オプション価格 / モデル化 / 電力債権 |
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| Research Abstract |
The mathematical modes for power derivatives areconstructed. Especially, we obtain the new results for the following three items:1)We construct the estimation scheme for the term structure of power derivativeswith their parameters by using convolution filter. 2)We propose the estimation procedure for identifying the market price of risk andits parameters.3)The estimation algorithm for volatility process and its includedparameters is proposed by using the Non-central chi- square random generation method.
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Report
(4 results)
Research Products
(17 results)
