| Budget Amount *help |
¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2013: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2012: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2011: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Research Abstract |
Three main studies on estimations and numerical analysis in mathematical finance were considered. 1. A convergence rate to the real value of an approximation of the Bayesian estimator with respect to a number of data and choice of approximating parameters were theoretically given. Effects of filtering in expected utility maximization problems were also studied. 2. Using the Malliavin calculus, Greeks, which is one of risk measure, under a financial model with fractional Brownian motions were given and some effects were numerically confirmed. 3. Existence of jumps in Japanese stock markets and estimations of the distribution were studied. Existence of asset bubbles was also studied.
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