Studies on Optimal Stopping Theory and Its Applications to Financial Economics and Engineering
| Project/Area Number |
23310103
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Osaka University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
NISHIHARA Michi 大阪大学, 大学院経済学研究科, 准教授 (20456940)
TABATA Yoshio 大阪大学, 大学院経済学研究科, 准教授 (30028047)
YAMAZAKI Kazutoshi 関西大学, 工学部, 助教 (50554937)
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| Project Period (FY) |
2011-04-01 – 2014-03-31
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥18,590,000 (Direct Cost: ¥14,300,000、Indirect Cost: ¥4,290,000)
Fiscal Year 2013: ¥5,720,000 (Direct Cost: ¥4,400,000、Indirect Cost: ¥1,320,000)
Fiscal Year 2012: ¥5,720,000 (Direct Cost: ¥4,400,000、Indirect Cost: ¥1,320,000)
Fiscal Year 2011: ¥7,150,000 (Direct Cost: ¥5,500,000、Indirect Cost: ¥1,650,000)
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| Keywords | Optimal Stopping / Financial Economics / Financial Engineering / Risk Management / Real Option / Levy Processes / 最適停止 / ファイナンス / 金融工学 / リスク・マネジメント / リアルオプション / レヴィー課程 / レヴィー過程 |
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| Research Abstract |
Ohnishi mainly studied the theory and applications of optimal stopping problems and optimal stopping games appeared in the pricing of interest rate derivatives. Tabata mainly studied the pricing of derivatives under stochastic Verhulst-Gompertz processes. Nishihara mainly studied the theory of the optimal stopping problems of multi-dimensional diffusion processes, and their applications to the real option problems. Yamazaki studied the theory of the optimal stopping problems and optimal stopping games of Levy processes with negative jumps, and their various applications to financial economics and engineering, and operations research.
All of the members published their research results in many international journals, and at various international conferences, workshops, symposia, seminars, and research meetings held in or outside of Japan.
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Report
(4 results)
Research Products
(112 results)
