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Equilibrium analysis of financial markets with transaction costs

Research Project

Project/Area Number 25245046
Research Category

Grant-in-Aid for Scientific Research (A)

Allocation TypeSingle-year Grants
Section一般
Research Field Money/ Finance
Research InstitutionKyoto University

Principal Investigator

Hara Chiaki  京都大学, 経済研究所, 教授 (90314468)

Co-Investigator(Kenkyū-buntansha) 木島 正明  広島大学, 情報科学部, 教授 (00186222)
田 園  龍谷大学, 経済学部, 准教授 (10609895)
西出 勝正  一橋大学, 大学院経済学研究科, 教授 (40410683)
深澤 正彰  大阪大学, 基礎工学研究科, 教授 (70506451)
Project Period (FY) 2013-04-01 – 2018-03-31
Project Status Completed (Fiscal Year 2018)
Budget Amount *help
¥29,900,000 (Direct Cost: ¥23,000,000、Indirect Cost: ¥6,900,000)
Fiscal Year 2017: ¥6,110,000 (Direct Cost: ¥4,700,000、Indirect Cost: ¥1,410,000)
Fiscal Year 2016: ¥6,110,000 (Direct Cost: ¥4,700,000、Indirect Cost: ¥1,410,000)
Fiscal Year 2015: ¥6,110,000 (Direct Cost: ¥4,700,000、Indirect Cost: ¥1,410,000)
Fiscal Year 2014: ¥6,110,000 (Direct Cost: ¥4,700,000、Indirect Cost: ¥1,410,000)
Fiscal Year 2013: ¥5,460,000 (Direct Cost: ¥4,200,000、Indirect Cost: ¥1,260,000)
Keywordsミクロ経済学 / 数理ファイナンス / 金融市場 / 取引費用 / 均衡 / 流動性 / 曖昧さ / 経済理論 / 金融論 / 経済学 / 金融工学
Outline of Final Research Achievements

In economics and finance, the analysis of financial markets has been conducted under the assumption that there is no transaction cost. However, many types of transaction costs are present in the guise of bid-ask spreads, liquidity, and commissions. Any further analysis of the case of no transaction cost would not help us give a practical policy prescription to various problems arising from the cost structure and uncertainty that are unique to financial markets. In this project, we formulated transaction costs in various mathematical models and obtained implication to the financial markets in general.

Academic Significance and Societal Importance of the Research Achievements

取引費用が市場参加者全般に与える影響を正しく査定するためには,取引費用が個々の参加者に与える影響を分析するだけでは不十分である.取引費用の影響は,どれほど大きなリスクに直面しているか,またはどの程度のリスクなら許容できるか,といった参加者の特性に依存するが,それらは参加者間で異なるので,金融市場の均衡状態を詳しく分析することが必要である.本研究課題の学術的意義は,精緻な数理的な手法でこの均衡分析を深化発展させたことである.社会的意義は,それらの分析から得られた実務的・政策的含意を,公開シンポジウムを通じて広く実務家に知らせたことである.

Report

(6 results)
  • 2018 Final Research Report ( PDF )
  • 2017 Annual Research Report
  • 2016 Annual Research Report
  • 2015 Annual Research Report
  • 2014 Annual Research Report
  • 2013 Annual Research Report
  • Research Products

    (115 results)

All 2019 2018 2017 2016 2015 2014 2013 Other

All Int'l Joint Research (11 results) Journal Article (32 results) (of which Int'l Joint Research: 9 results,  Peer Reviewed: 30 results,  Open Access: 3 results,  Acknowledgement Compliant: 6 results) Presentation (66 results) (of which Int'l Joint Research: 36 results,  Invited: 25 results) Funded Workshop (6 results)

  • [Int'l Joint Research] ビーレフェルト大学(ドイツ)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] パリ経済大学/パリ大学Dauphine校(フランス)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] ウイーンメアリー大学/ウォーリック大学(英国)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] カーネギーメロン大学(米国)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] ニューヨーク市立大学/ミシガン州立大学(米国)

    • Related Report
      2016 Annual Research Report
  • [Int'l Joint Research] エコールポリテクニーク/メーヌ大学(フランス)

    • Related Report
      2016 Annual Research Report
  • [Int'l Joint Research] ポンペウファブラ大学(スペイン)

    • Related Report
      2016 Annual Research Report
  • [Int'l Joint Research] ウルム大学(ドイツ)

    • Related Report
      2016 Annual Research Report
  • [Int'l Joint Research] Singapore Management University(Singapore)

    • Related Report
      2015 Annual Research Report
  • [Int'l Joint Research] Universite Paris 7(France)

    • Related Report
      2015 Annual Research Report
  • [Int'l Joint Research] Ulm University(Germany)

    • Related Report
      2015 Annual Research Report
  • [Journal Article] Optimal Initial Capital Induced by the Optimized Certainty Equivalent2019

    • Author(s)
      Takuji Arai, Takao Asano, and Katsumasa Nishide
    • Journal Title

      Insurance: Mathematics and Economics

      Volume: 85 Pages: 115-125

    • DOI

      10.1016/j.insmatheco.2019.01.006

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations2019

    • Author(s)
      M. Fukasawa and T. Takabatake
    • Journal Title

      Bernoulli

      Volume: Forthcoming Pages: 000-000

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Short-term at-the-money asymptotics under stochastic volatility models2019

    • Author(s)
      O. El Euch, M. Fukasawa, J. Gatheral and M. Rosenbaum
    • Journal Title

      SIAM Journal on Financial Mathematics

      Volume: Forthcoming Pages: 000-000

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] The microstructural foundations of leverage effect and rough volatility2018

    • Author(s)
      El Euch Omar、Fukasawa Masaaki、Rosenbaum Mathieu
    • Journal Title

      Finance and Stochastics

      Volume: 22 Issue: 2 Pages: 241-280

    • DOI

      10.1007/s00780-018-0360-z

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Perfect hedging under endogenous permanent market impacts2018

    • Author(s)
      Fukasawa Masaaki、Stadje Mitja
    • Journal Title

      Finance and Stochastics

      Volume: 22 Issue: 2 Pages: 417-442

    • DOI

      10.1007/s00780-017-0352-4

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Equilibrium returns with transaction costs2018

    • Author(s)
      Bouchard Bruno、Fukasawa Masaaki、Herdegen Martin、Muhle-Karbe Johannes
    • Journal Title

      Finance and Stochastics

      Volume: 22 Issue: 3 Pages: 569-601

    • DOI

      10.1007/s00780-018-0366-6

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Local asymptotic normality property for fractional Gaussian noise under high-frequency observations2018

    • Author(s)
      Brouste Alexandre、Fukasawa Masaaki
    • Journal Title

      The Annals of Statistics

      Volume: 46 Issue: 5 Pages: 2045-2061

    • DOI

      10.1214/17-aos1611

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] A unified approach tor the pricing of options relating to averages2017

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Review of Derivatives Research

      Volume: 印刷中 Issue: 3 Pages: 203-229

    • DOI

      10.1007/s11147-017-9128-4

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed
  • [Journal Article] An analytical approximation for pricing VWAP options2017

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Quantitative Finance

      Volume: 印刷中 Issue: 7 Pages: 1119-1133

    • DOI

      10.1080/14697688.2016.1260758

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Does the Hurst index matter for option prices under fractional volatility?2017

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Annals of Finance

      Volume: 13 Issue: 1 Pages: 55-74

    • DOI

      10.1007/s10436-016-0289-1

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Analytical pricing of single barrier options under local volatility models2017

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Quantitative Finance

      Volume: 16 Issue: 6 Pages: 867-886

    • DOI

      10.1080/14697688.2015.1101483

    • Related Report
      2016 Annual Research Report 2015 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Short-time at-the-money skew and rough fractional volatility2017

    • Author(s)
      Masaaki Fukasawa
    • Journal Title

      Quantitative Finance

      Volume: 17 Issue: 2 Pages: 189-198

    • DOI

      10.1080/14697688.2016.1197410

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Leaders, Followers, and Equity Risk Premium in Booms and Busts2016

    • Author(s)
      Makoto, Goto, Katsumasa, Nishide, Ryuta Takashima
    • Journal Title

      Journal of Banking & Finance

      Volume: Available online 10 October Pages: 1-14

    • DOI

      10.1016/j.jbankfin.2016.08.010

    • NAID

      120006876266

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Asymptotic replication with modified volatility under small transaction costs2016

    • Author(s)
      Jiatu Cai and Masaaki Fukasawa
    • Journal Title

      Finance and Stochastics

      Volume: 20 Issue: 2 Pages: 381-431

    • DOI

      10.1007/s00780-016-0294-2

    • Related Report
      2016 Annual Research Report 2015 Annual Research Report
    • Peer Reviewed / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] nvestment under Regime Uncertainty: Impact of Competition and Preemption2016

    • Author(s)
      Katsumasa Nishide and Kyoto Yagi
    • Journal Title

      International Journal of Industrial Organization

      Volume: 45 Pages: 47-58

    • DOI

      10.1016/j.ijindorg.2016.01.001

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Capital structure and investment decisions under time-inconsistent preferences2016

    • Author(s)
      Yuan Tian
    • Journal Title

      Journal of Economic Dynamics and Control

      Volume: 65 Pages: 83-104

    • DOI

      10.1016/j.jedc.2016.02.001

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access / Acknowledgement Compliant
  • [Journal Article] Heston-type Stochastic Volatility with a Markov Switching Regime2015

    • Author(s)
      Robert J. Elliott, Katumasa Nishide and Carlton-James U. Osakwe
    • Journal Title

      Journal of Futures Markets

      Volume: 未定 Issue: 9 Pages: 902-919

    • DOI

      10.1002/fut.21761

    • Related Report
      2016 Annual Research Report 2015 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] A chaos expansion approach for the pricing of contingent claims2015

    • Author(s)
      H. Funahashi and M. Kijima
    • Journal Title

      Journal of Computational Finance

      Volume: 18 Pages: 27-58

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A chaos expansion approach for the pricing of contingent claims2015

    • Author(s)
      Hideharu Funahashi and Masaaki Kijima
    • Journal Title

      Journal of Computational Finance

      Volume: 18 Pages: 1-31

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Credit-equity modeling under a latent Levy firm process2014

    • Author(s)
      Kijima, M. and Siu, C.C.
    • Journal Title

      International Journal of Theoretical and Applied Finance

      Volume: 17 Issue: 03 Pages: 1-41

    • DOI

      10.1142/s0219024914500216

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Risk evaluation of mortgage-loan portfolios in a low interest rate environment2014

    • Author(s)
      Masaaki Kijima, Youichi Suzuki, and Yasuhiro Tamba
    • Journal Title

      Journal of Risk

      Volume: 16 Pages: 1-35

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] An extension of the chaos expansion approximation for the pricing of exotic basket options2014

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Applied Mathematical Finance

      Volume: 21 Issue: 2 Pages: 109-139

    • DOI

      10.1080/1350486x.2013.812855

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations2014

    • Author(s)
      A. Brouste, Msaaki Fukasawa, H. Hino, S. M. Iacus, K. Kamatani, Y. Koike, H. Masuda, R. Nomura, T. Ogihara, Y. Shimizu, M. Uchida, and N. Yoshida
    • Journal Title

      Journal of Statistical Software

      Volume: 57 Pages: 1-51

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Efficient discretization of stochastic integrals2014

    • Author(s)
      Masaaki Fukasawa
    • Journal Title

      Finance and Stochastics

      Volume: 18 Issue: 1 Pages: 175-208

    • DOI

      10.1007/s00780-013-0215-6

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Volatility derivatives and model-free implied leverage2014

    • Author(s)
      Masaaki Fukasawa
    • Journal Title

      International journal of Theoretical and Applied Finance

      Volume: 17 Issue: 01 Pages: 1450002-1450002

    • DOI

      10.1142/s0219024914500022

    • NAID

      120006937137

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] An extension of the chaos expansion approximation for the pricing of exotic basket options2014

    • Author(s)
      H. Funahashi and M. Kijima
    • Journal Title

      Applied Mathematical Finance

      Volume: 不明

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Risk Evaluation of Mortgage-Loan Portfolios under Low Interest-Rate Environment2014

    • Author(s)
      M. Kijima, Y. Suzuki, and Y. Tamba
    • Journal Title

      Journal of Risk

      Volume: 不明

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] On the Risk Evaluation Method Based on the Market Model2014

    • Author(s)
      M. Kijima and Y. Muromachi
    • Journal Title

      Advances in Nonlinear Economic Dynamics and Quantitative Finance, Springer Festschrift

      Volume: 不明

    • Related Report
      2013 Annual Research Report
  • [Journal Article] Pricing of Discount Bonds with a Markov Switching Regime2014

    • Author(s)
      R. J. Elliott and K. Nishide
    • Journal Title

      Annals of Finance

      Volume: 不明

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Pricing of Discount Bonds with a Markov Switching Regime2013

    • Author(s)
      Elliott, R.J. and K. Nishide
    • Journal Title

      Annals of Finance

      Volume: 10 Issue: 3 Pages: 509-522

    • DOI

      10.1007/s10436-013-0244-3

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Convex risk measure for good deal bounds2013

    • Author(s)
      T. Arai and M. Fukasawa
    • Journal Title

      Mathematical Finance

      Volume: (to appear) Issue: 3 Pages: 464-484

    • DOI

      10.1111/mafi.12020

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] CVA評価における誤方向リスクについて2013

    • Author(s)
      西出勝正
    • Journal Title

      年金ストラテジー

      Volume: 202 Pages: 4-5

    • Related Report
      2013 Annual Research Report
  • [Presentation] The asymptotic expansion of the regular discretization error of Ito integrals2019

    • Author(s)
      深澤 正彰
    • Organizer
      Stochastic Processes and Related Topics
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Equilibrium returns with transaction costs2019

    • Author(s)
      深澤 正彰
    • Organizer
      Workshop on Financial Risks and Their Management
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The volatility skew, the skewness of return, and the model-free implied leverage2019

    • Author(s)
      深澤 正彰
    • Organizer
      VXJ 10周年記念ワークショップ
    • Related Report
      2017 Annual Research Report
  • [Presentation] Ambiguity, Sharpe Ratio, and Alphas: Some decision-theoretic issues2018

    • Author(s)
      原 千秋
    • Organizer
      The Sookmyung Math Finance Conference
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Ambiguity, Sharpe Ratio, and Alphas2018

    • Author(s)
      原 千秋
    • Organizer
      The International Conference on Mathematical Finance
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Dynamic investment and financing with internal and external liquidity management2018

    • Author(s)
      田 園
    • Organizer
      RIMS Workshop on Financial Modeling and Analysis
    • Related Report
      2017 Annual Research Report
  • [Presentation] Option games with time-inconsistent preferences2018

    • Author(s)
      田 園
    • Organizer
      The Sixth Asian Quantitative Finance Conference
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Option games with time-inconsistent preferences2018

    • Author(s)
      田 園
    • Organizer
      2018 FMA Annual Meeting
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Dynamic investment, financing and liquidity management under risk and ambiguity2018

    • Author(s)
      田 園
    • Organizer
      CUFE Workshop on Actuarial Risk Analysis and Decision Making
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Option games with time-inconsistent preferences2018

    • Author(s)
      田 園
    • Organizer
      CUFE Workshop on Actuarial Risk Analysis and Decision Making
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Auction versus Dealership Markets: Impact of Proprietary Trading with Transaction Fees2018

    • Author(s)
      西出 勝正
    • Organizer
      Annual International Conference on Macroeconomic Analysis and International Finance 2018
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Optimal Initial Capital Induced by the Optimal Certainty Equivalent2018

    • Author(s)
      西出 勝正
    • Organizer
      日本経済学会 2018 年度春季大会
    • Related Report
      2017 Annual Research Report
  • [Presentation] Default Contagion and Systemic Risk in the Presence of Credit Default Swaps2018

    • Author(s)
      西出 勝正
    • Organizer
      4th International Conference on Social Sciences Economics and Finance
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Optimal Initial Capital Induced by the Optimal Certainty Equivalent2018

    • Author(s)
      西出 勝正
    • Organizer
      平成 30 年度数理解析研究所研究集 会 ファイナンスの数理解析とその応用
    • Related Report
      2017 Annual Research Report
  • [Presentation] Brokered versus Dealer Markets: Impact of Proprietary Trading with Transaction Fees2018

    • Author(s)
      西出 勝正
    • Organizer
      Australia and New Zealand Business and Social Science Research Conference 2018
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Short-term at-the-money asymptotics under stochastic volatility models2018

    • Author(s)
      深澤 正彰
    • Organizer
      9th International Workshop on Applied Probability
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Hedging and calibration for log-normal rough volatility models2018

    • Author(s)
      深澤 正彰
    • Organizer
      10th World Congress of Bachelier Finance Society
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] The asymptotic expansion of the regular discretization error of Ito integrals2018

    • Author(s)
      深澤 正彰
    • Organizer
      Advanced Methods in Mathematical Finance
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Hedging under small transaction costs2018

    • Author(s)
      深澤 正彰
    • Organizer
      Innovative Research in Mathematical Finance
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Pricing of Credit Default Swaps with CIR-Type Default Intensities2017

    • Author(s)
      西出 勝正
    • Organizer
      日本オペレーションズリサーチ学会2017年春季研究発表会
    • Place of Presentation
      沖縄県市町村自治会館
    • Year and Date
      2017-03-15
    • Related Report
      2016 Annual Research Report
  • [Presentation] Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees2017

    • Author(s)
      Katsumasa Nishide
    • Organizer
      International Conference on Business, Finance and Economics 2017
    • Place of Presentation
      シンガポール
    • Year and Date
      2017-03-10
    • Related Report
      2016 Annual Research Report
    • Invited
  • [Presentation] Default Contagion and Systemic Risk in the Presence of Credit Default Swap2017

    • Author(s)
      Katsumasa Nishide
    • Organizer
      Winter Workshop on Operations Research, Finance and Mathematics 2017
    • Place of Presentation
      札幌(北海道)
    • Year and Date
      2017-02-20
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Debt Rollover, Bankruptcy, and Debt Maturity2017

    • Author(s)
      Yuan Tian
    • Organizer
      Winter Workshop on Operations Research, Finance and Mathematics
    • Place of Presentation
      札幌(北海道)
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework2016

    • Author(s)
      西出 勝正
    • Organizer
      平成28年度数理解析研究所研究集会(ファイナンスの数理解析とその応用)
    • Place of Presentation
      京都大学
    • Year and Date
      2016-11-28
    • Related Report
      2016 Annual Research Report
  • [Presentation] Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework2016

    • Author(s)
      Katsumasa Nishide
    • Organizer
      6th Global Business and Finance Research Conference
    • Place of Presentation
      台北(台湾)
    • Year and Date
      2016-10-27
    • Related Report
      2016 Annual Research Report
    • Invited
  • [Presentation] Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework2016

    • Author(s)
      西出 勝正
    • Organizer
      日本オペレーションズリサーチ学会2016年秋季研究発表会
    • Place of Presentation
      山形大学
    • Year and Date
      2016-09-15
    • Related Report
      2016 Annual Research Report
  • [Presentation] Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework2016

    • Author(s)
      Katsumasa Nishide
    • Organizer
      Ninth World Congress of Bachelier Finance Society
    • Place of Presentation
      ニューヨーク(米国)
    • Year and Date
      2016-07-15
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework2016

    • Author(s)
      西出 勝正
    • Organizer
      日本経済学会2016年度春季大会
    • Place of Presentation
      名古屋大学
    • Year and Date
      2016-06-18
    • Related Report
      2016 Annual Research Report
  • [Presentation] Monopolistic dealer versus broker: Impact of proprietary trading with transaction fees2016

    • Author(s)
      西出勝正
    • Organizer
      AJRC and HIAS Joint Conference on Recent Issues in Finance and Macroeconomics
    • Place of Presentation
      キャンベラ(オーストラリア)
    • Year and Date
      2016-03-21
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Implied ambiguity and ambiguity aversion2016

    • Author(s)
      原千秋
    • Organizer
      The 4th Asian Quantitative Finance Conference
    • Place of Presentation
      大阪大学中之島センター(大阪府・大阪市)
    • Year and Date
      2016-02-23
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Does the Hurst index matter for option prices under fractional volatility?2016

    • Author(s)
      木島正明
    • Organizer
      The 4th Asian Quantitative Finance Conference
    • Place of Presentation
      大阪大学中之島センター(大阪府・大阪市)
    • Year and Date
      2016-02-22
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Perfect hedging under endogenous permanent market impact2016

    • Author(s)
      深澤正彰
    • Organizer
      The 4th Asian Quantitative Finance Conference
    • Place of Presentation
      大阪大学中之島センター(大阪府・大阪市)
    • Year and Date
      2016-02-21
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Asymptotic replication with modified volatility under small transaction costs2016

    • Author(s)
      深澤正彰
    • Organizer
      Winter Workshop on Operations Research, Finance and Mathematics 2016
    • Place of Presentation
      十勝サホロリゾート(北海道・上川郡新得町)
    • Year and Date
      2016-02-17
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Implied ambiguity and ambiguity aversion2016

    • Author(s)
      原千秋
    • Organizer
      Winter Workshop on Operations Research, Finance and Mathematics 2016
    • Place of Presentation
      十勝サホロリゾート(北海道・上川郡新得町)
    • Year and Date
      2016-02-16
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] On the Ross Recovery under the Hull--White Model2016

    • Author(s)
      Masaaki Kijima
    • Organizer
      STS 2016
    • Place of Presentation
      ソウル(韓国)
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Implied ambiguity and ambiguity aversion2016

    • Author(s)
      Chiaki Hara
    • Organizer
      Asian Economic Institute Meeting
    • Place of Presentation
      北京大学
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Debt Rollover, Bankruptcy, and Debt Maturity2016

    • Author(s)
      Yuan Tian
    • Organizer
      大阪大学中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題 2016」
    • Place of Presentation
      大阪大学中之島センター
    • Related Report
      2016 Annual Research Report
  • [Presentation] Monopolistic dealer versus broker: Impact of proprietary trading with transaction fees2015

    • Author(s)
      田園
    • Organizer
      INFORM 2015
    • Place of Presentation
      フィラデルフィア(アメリカ)
    • Year and Date
      2015-11-03
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Monopolistic dealer versus broker: Impact of proprietary trading with transaction fees2015

    • Author(s)
      西出勝正
    • Organizer
      日本オペレーションズリサーチ学会2015年周期研究発表会
    • Place of Presentation
      九州工業大学
    • Year and Date
      2015-09-10
    • Related Report
      2015 Annual Research Report
  • [Presentation] An analytical approximation for pricing VWAP options2015

    • Author(s)
      木島正明
    • Organizer
      AMMF2015 Workshop
    • Place of Presentation
      アンジェ(フランス)
    • Year and Date
      2015-09-04
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Money supply, asset prices, and interest rates within a general equilibrium framework2015

    • Author(s)
      西出勝正
    • Organizer
      日本オペレーションズリサーチ学会北海道支部・サマースクール
    • Place of Presentation
      稚内総合文化センター(北海道・稚内市)
    • Year and Date
      2015-08-05
    • Related Report
      2015 Annual Research Report
  • [Presentation] Heston-type stochastic volatility with a Markov switching regime2015

    • Author(s)
      西出勝正
    • Organizer
      The 27th European Conference on Operations Research
    • Place of Presentation
      グラスゴー(イギリス)
    • Year and Date
      2015-07-13
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Monopolistic dealer versus broker: Impact of proprietary trading with transaction fees2015

    • Author(s)
      田園
    • Organizer
      The Third Asian Quantitative Finance Conference
    • Place of Presentation
      香港(中国)
    • Year and Date
      2015-07-08
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Capital structure, investment, and default decisions under time-inconsistent preferences2015

    • Author(s)
      田園
    • Organizer
      The 2015 Annual Meeting of the Asian Finance Association
    • Place of Presentation
      湖南(中国)
    • Year and Date
      2015-07-01
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Monopolistic dealer versus broker: Impact of proprietary trading with transaction fees2015

    • Author(s)
      西出勝正
    • Organizer
      The 7th International IFABS Conference
    • Place of Presentation
      杭州(中国)
    • Year and Date
      2015-06-27
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Analytical pricing of barrier options under local volatility models2015

    • Author(s)
      木島正明
    • Organizer
      CEF2015
    • Place of Presentation
      台北(台湾)
    • Year and Date
      2015-06-20
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Asset demand and ambiguity aversion2015

    • Author(s)
      原千秋
    • Organizer
      ZiF Research Group Workshop on Knightian Uncertainty in Strategic Interactions and Markets
    • Place of Presentation
      ビーレフェルト(ドイツ)
    • Year and Date
      2015-06-11
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Monopolistic dealer versus broker: Impact of proprietary trading with transaction fees2015

    • Author(s)
      西出勝正
    • Organizer
      日本経済学会2015年度春季大会
    • Place of Presentation
      新潟大学(新潟県・新潟市)
    • Year and Date
      2015-05-24
    • Related Report
      2015 Annual Research Report
  • [Presentation] Captial Markets and Economic Growth: An Economics Fundamentalist’s View2015

    • Author(s)
      Chiaki Hara
    • Organizer
      OECD-ADBI Roundtable on Capital Market and Financial Reform in Asia
    • Place of Presentation
      アジア 開発銀行研究所(東京)
    • Year and Date
      2015-03-12
    • Related Report
      2014 Annual Research Report
  • [Presentation] Dynamic Inconsistency in Pension Fund Management2015

    • Author(s)
      Chiaki Hara
    • Organizer
      The 6th Conference of Mathematical Analysis in Economic Theory
    • Place of Presentation
      慶応義塾大学(東京)
    • Year and Date
      2015-01-28
    • Related Report
      2014 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Heston-Type Stochastic Volatility with a Markov Switching Regime2015

    • Author(s)
      Katsumasa Nishide
    • Organizer
      The 6th Conference on Mathematical Analysis in Economic Theory
    • Place of Presentation
      慶應義塾大学(東京都)
    • Year and Date
      2015-01-26
    • Related Report
      2014 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] “Analytical Pricing of Barrier Options under Local Volatility Models2014

    • Author(s)
      Masaaki Kijima
    • Organizer
      Quantitative Methods in Finance Conference
    • Place of Presentation
      シドニー(オーストラリア)
    • Year and Date
      2014-12-18
    • Related Report
      2014 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Heston-Type Stochastic Volatility with a Markov Switching Regime2014

    • Author(s)
      西出勝正
    • Organizer
      日本経済学会2014年度秋季大会
    • Place of Presentation
      西南学院大学(福岡県福岡市)
    • Year and Date
      2014-10-12
    • Related Report
      2014 Annual Research Report
  • [Presentation] Monopolistic dealer versus broker: The impact of proprietary trading with transaction fees2014

    • Author(s)
      Yuan Tian
    • Organizer
      NUS-UTokyo Workshop on Quantitative Finance
    • Place of Presentation
      東京大学(東京都)
    • Year and Date
      2014-09-26
    • Related Report
      2014 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Asset Demand and Ambiguity Aversion2014

    • Author(s)
      Chiaki Hara
    • Organizer
      The 2014 Annual Meeting of the Korean Association of Financial Engineering
    • Place of Presentation
      釜山(韓国)
    • Year and Date
      2014-08-22
    • Related Report
      2014 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] “A Unified Approach for the Pricing of Generalized Asian Options2014

    • Author(s)
      Masaaki Kijima
    • Organizer
      Fourth IMS-FPS workshop 2014
    • Place of Presentation
      シドニー(オーストラリア)
    • Year and Date
      2014-07-05
    • Related Report
      2014 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees2014

    • Author(s)
      Katsumasa Nishide
    • Organizer
      Fourth IMS-FPS workshop
    • Place of Presentation
      シドニー(オーストラリア)
    • Year and Date
      2014-07-05
    • Related Report
      2014 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Monopolistic Dealer versus Broker: The Impact of Proprietary Trading with Transaction Fees2014

    • Author(s)
      西出勝正
    • Organizer
      岡山大学・横浜国立大学経済学部経済学部合同ワークショップ
    • Place of Presentation
      岡山大学(岡山県岡山市)
    • Year and Date
      2014-06-20
    • Related Report
      2014 Annual Research Report
  • [Presentation] Heston-Type Stochastic Volatility with a Markov Switching Regime2014

    • Author(s)
      Katsumasa Nishide
    • Organizer
      Eighth World Congress of Bachelier Finance Society
    • Place of Presentation
      ブリュッセル(ベルギー)
    • Year and Date
      2014-06-05
    • Related Report
      2014 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Heston-Type Stochastic Volatility with a Markov Switching Regime2014

    • Author(s)
      西出勝正
    • Organizer
      秋田県立大学ファイナンス研究会
    • Place of Presentation
      大学コンソーシアムあきた カレッジプラザ(秋田県秋田市)
    • Year and Date
      2014-05-01
    • Related Report
      2014 Annual Research Report
  • [Presentation] Asset Demand and Ambiguity Aversion2014

    • Author(s)
      Chiaki Hara
    • Organizer
      International Conference on Finance and Financial Econometrics & Engineering
    • Place of Presentation
      明治大学
    • Related Report
      2013 Annual Research Report
  • [Presentation] Monopolistic dealer versus broker: The impact of proprietary trading with transaction fees2014

    • Author(s)
      Yuan Tian
    • Organizer
      International Conference on Portfolio Selection and Asset Pricing
    • Place of Presentation
      京都大学
    • Related Report
      2013 Annual Research Report
  • [Presentation] Asset Demand and Ambiguity Aversion2013

    • Author(s)
      Chiaki Hara
    • Organizer
      Asian Meeting of the Econometric Society
    • Place of Presentation
      シンガポール国立大学
    • Related Report
      2013 Annual Research Report
  • [Presentation] Asset Demand and Ambiguity Aversion2013

    • Author(s)
      Chiaki Hara
    • Organizer
      スイス京都シンポジウム
    • Place of Presentation
      チューリッヒ大学
    • Related Report
      2013 Annual Research Report
  • [Presentation] The Pricing Model of Corporate Securities under Cross-Holdings of Equities and Debts2013

    • Author(s)
      katsumasa Nishide
    • Organizer
      Quantitative Methods in Finance Conference 2013
    • Place of Presentation
      Sydney, Australia
    • Related Report
      2013 Annual Research Report
  • [Presentation] Competition and the Bad News Principle in a Real Options Framework2013

    • Author(s)
      西出勝正
    • Organizer
      日本経済学会2013年度春季大会
    • Place of Presentation
      富山大学
    • Related Report
      2013 Annual Research Report
  • [Funded Workshop] Workshop on Financial Risks and Their Management2019

    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] Stochastic Processes and Related Topic2019

    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] International Conference on Financial Risks and Uncertainties2016

    • Place of Presentation
      ホテルオアシティ共和(宮古島)
    • Year and Date
      2016-08-27
    • Related Report
      2016 Annual Research Report
  • [Funded Workshop] International Conference on Financial Risks and Their Management2016

    • Place of Presentation
      京都大学
    • Year and Date
      2016-03-08
    • Related Report
      2015 Annual Research Report
  • [Funded Workshop] International Workshop on Financial Risks and Their Management2015

    • Place of Presentation
      京都大学
    • Year and Date
      2015-03-09
    • Related Report
      2014 Annual Research Report
  • [Funded Workshop] 金融システミックリスクの現状と課題2014

    • Place of Presentation
      京都大学
    • Year and Date
      2014-12-06
    • Related Report
      2014 Annual Research Report

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Published: 2013-05-15   Modified: 2022-01-28  

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