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Study on risk management with an imperfect trading strategy based on a uncertain market model

Research Project

Project/Area Number 23740080
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field General mathematics (including Probability theory/Statistical mathematics)
Research InstitutionKyushu University

Principal Investigator

MATSUMOTO Koichi  九州大学, 経済学研究科(研究院), 准教授 (30380687)

Project Period (FY) 2011-04-28 – 2015-03-31
Project Status Completed (Fiscal Year 2014)
Budget Amount *help
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2013: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2011: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Keywords数理ファイナンス / 金融工学 / モデルリスク / リスク管理 / リスク測度 / デリバティブ
Outline of Final Research Achievements

In a financial institution, a risk manager uses a mathematical model to represent the financial market. A risk manager plans and calculates an optimal trading strategy, based on the mathematical model. But it is impossible to know the true model of the market and it is difficult to realize the optimal strategy. In this study I assume that the market model is uncertain and a risk manager cannot realize his or her trading strategy perfectly. Under this condition, I consider how the market risk is managed. I study a multi-period risk measure, an optimal hedging strategy and how to measure the model risk.

Report

(5 results)
  • 2014 Annual Research Report   Final Research Report ( PDF )
  • 2013 Research-status Report
  • 2012 Research-status Report
  • 2011 Research-status Report
  • Research Products

    (16 results)

All 2015 2014 2013 2012 2011

All Journal Article (7 results) (of which Peer Reviewed: 4 results,  Acknowledgement Compliant: 2 results) Presentation (9 results) (of which Invited: 1 results)

  • [Journal Article] Pricing Interest Rate Derivatives with Model Risk2015

    • Author(s)
      Koichi Matsumoto, Satoshi Hosokawa
    • Journal Title

      Journal of Financial Engineering

      Volume: 2 Issue: 01 Pages: 1550003-1550003

    • DOI

      10.1142/s2345768615500038

    • NAID

      40019631538

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Pricing Derivatives on Two Assets with Model Risk2014

    • Author(s)
      Koichi Matsumoto, Maki Ichikawa
    • Journal Title

      Discussion Paper Series, Graduate School of Economics, Kyushu University

      Volume: 2014-2 Pages: 1-20

    • NAID

      40020096163

    • Related Report
      2014 Annual Research Report
    • Acknowledgement Compliant
  • [Journal Article] Tail VaR Measures in a Multi-period Setting2014

    • Author(s)
      Koichi Matsumoto, Yuta Katsuki
    • Journal Title

      Applied Mathematical Finance

      Volume: 印刷中 Issue: 3 Pages: 270-297

    • DOI

      10.1080/1350486x.2013.851449

    • NAID

      40017031335

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Journal Article] Option Replication in Discrete Time with Illiquidity2013

    • Author(s)
      Koichi Matsumoto
    • Journal Title

      Applied Mathematical Finance

      Volume: 20 Pages: 167-190

    • NAID

      40016726158

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] Pricing Interest Rate Derivatives with Model Risk2013

    • Author(s)
      Koichi Matsumoto, Satoshi Hosokawa
    • Journal Title

      Discussion Paper Series, Graduate School of Economics, Kyushu University

      Volume: 2013-3 Pages: 1-17

    • NAID

      40019631538

    • Related Report
      2012 Research-status Report
  • [Journal Article] Simple Improvement Method for Upper Bound of American Option2011

    • Author(s)
      Koichi Matsumoto, Mika Fuji, Kengo Tsubota
    • Journal Title

      An International Journal of Probability and Stochastic Processes

      Volume: 83 Pages: 449-466

    • NAID

      40016782881

    • Related Report
      2011 Research-status Report
    • Peer Reviewed
  • [Journal Article] Hedging Derivatives with Model Risk2011

    • Author(s)
      Koichi Matsumoto
    • Journal Title

      Discussion Paper Series, Graduate School of Economics, Kyushu University

      Volume: 2011-9 Pages: 1-20

    • NAID

      40019041653

    • Related Report
      2011 Research-status Report
  • [Presentation] Scenario Sets for Multi-period Risk Measurement with an Application to Tail VaR measures2015

    • Author(s)
      Koichi Matsumoto (joint work with Y. Katsuki)
    • Organizer
      JARIPフォーラム2015
    • Place of Presentation
      日本大学(東京都世田谷区)
    • Year and Date
      2015-03-30
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Pricing Derivatives on Two Assets with Model Risk2014

    • Author(s)
      Koichi Matsumoto (joint work with M. Ichikawa)
    • Organizer
      Quantitative Methods in Finance Conference (QMF) 2014
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2014-12-17
    • Related Report
      2014 Annual Research Report
  • [Presentation] Model Risk in Pricing Interest Rate Derivatives2014

    • Author(s)
      Koichi Matsumoto (joint work with S. Hosokawa)
    • Organizer
      8th World Congress of the Bachelier Finance Society
    • Place of Presentation
      Burussels, Belgium
    • Year and Date
      2014-06-14
    • Related Report
      2014 Annual Research Report
  • [Presentation] Weak Time Consistency and its Application to Tail VaR Measures2014

    • Author(s)
      Koichi Matsumoto (joint work with Y. Katsuki)
    • Organizer
      九州確率論セミナー
    • Place of Presentation
      九州大学(福岡県福岡市)
    • Year and Date
      2014-04-11
    • Related Report
      2014 Annual Research Report
  • [Presentation] Multi-period Tail VaR Measures2014

    • Author(s)
      Koichi Matsumoto
    • Organizer
      第3回数理ファイナンス合宿型セミナー
    • Place of Presentation
      Shizuoka, Japan
    • Related Report
      2013 Research-status Report
  • [Presentation] Pricing Interest Rate Derivatives with Model Risk2013

    • Author(s)
      Koichi Matsumoto
    • Organizer
      Quantitative Methods in Finance Conference (QMF) 2013
    • Place of Presentation
      Sydney, Australia
    • Related Report
      2013 Research-status Report
  • [Presentation] Model Risk and Partial Super-hedging of Derivatives2012

    • Author(s)
      Koichi Matsumoto
    • Organizer
      7th World Congress of the Bachelier Finance Society
    • Place of Presentation
      Sydney, Australia
    • Related Report
      2012 Research-status Report
  • [Presentation] Trinomial Models for Model Risk2012

    • Author(s)
      Koichi Matsumoto
    • Organizer
      第2回数理ファイナンス合宿型セミナー
    • Place of Presentation
      Tokyo, Japan
    • Related Report
      2012 Research-status Report
  • [Presentation] Hedging Derivatives with Model Risk2011

    • Author(s)
      Koichi Matsumoto
    • Organizer
      Quantitative Methods in Finance Conference (QMF) 2011
    • Place of Presentation
      Sydney, Australia
    • Related Report
      2011 Research-status Report

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Published: 2011-08-05   Modified: 2019-07-29  

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