| Project/Area Number |
25780213
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Money/ Finance
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| Research Institution | Ritsumeikan University |
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Principal Investigator |
LIU NIEN-LIN 立命館大学, BKC社系研究機構, プロジェクト研究員 (90610923)
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| Co-Investigator(Renkei-kenkyūsha) |
AKAHORI Jiro 立命館大学, 理工学部, 教授 (50309100)
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| Research Collaborator |
WANG Tai-Ho
MANCINO Maria Elvira
MAKHLOUF Azmi
AMABA Takafumi
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| Project Period (FY) |
2013-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2015: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2014: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Keywords | 高頻度データの分析 / 統計的方法 / 金利の期間構造 / フーリエ法 / 国際情報交換 |
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| Outline of Final Research Achievements |
The Malliavin-Mancino method provides a way to estimate the differentiation of quadratic variation of a discretely monitored semimartingale. However, the estimator is not positive definite nor symmetric. This causes a problem in estimating eigenvalues of the matrix, which are a priori known to be positive real. We proposed two alternative estimators that are positive definite and the computational cost also is saved a lot. For developing, I work on the project "Discrete Clark-Ocone formula for pure-jump Levy processes " with T. Amaba and A. Makhlouf, the paper is revised. Also, work with T.H. Wang on the topic "Asian option pricing ", the paper is going to submit.
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