| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2017: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2016: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Outline of Final Research Achievements |
In this study, we consider the discretely observed interest rate process and the asset value process in order to evaluate the interest rate options and some credit risks measures. The underlying discretely observed processes are characterized by the non-Gaussianity and serially correlated innovations. By using the asymptotic expansion approaches, we derive some interest rate option prices and the credit risk measures which are expressed by the functions of the skewness and kurtosis of the underlying model parameters. In particular, for equillibrium and no-arbitrage models of the interest rate models, we extend the option pricing approaches based on the Vasicek and Hull-White models to have the non-Gaussian and serially correlated innovations for the underlying processes.
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