1997 Fiscal Year Final Research Report Summary
Financial Engineering Research or Asset Management and Pricing
| Project/Area Number |
08305002
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| Research Category |
Grant-in-Aid for Scientific Research (A)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Engineering fundamentals
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| Research Institution | Tokyo Institute of Technology |
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Principal Investigator |
KONNO Hiroshi Tokyo Institute of Technology, Graduate School of Decision Science, Professor, 大学院・社会理工学研究科, 教授 (10015969)
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| Co-Investigator(Kenkyū-buntansha) |
SUZUKI Kennichi Tokyo Institute of Technology, Graduate School of Decision Science, Assistant Pr, 大学院・社会理工学研究科, 助手 (30262306)
SHIRAKAWA Hiroshi Tokyo Institute of Technology, Graduate School of Decision Science, Associate Pr, 大学院・社会理工学研究科, 助教授 (10216187)
FURUKAWA Koichi Tokyo Institute of Technology, Graduate School of Decision Science, Professor, 大学院・社会理工学研究科, 教授 (20016455)
TAKEHARA Hitoshi University of Tsukuba, Institute of Socio-Economic Planning, Lecturer, 社会工学系, 講師 (70261782)
KUSUOKA Shigeo University of Tokyo, Graduate School of Decision Science, Professor, 数理科学, 教授 (00114463)
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| Project Period (FY) |
1996 – 1997
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| Keywords | Financial Management / Time Series Analysis / CARCH Model / Derivatives / Path Dependent Option / Term Structure / Currency Option / Multi Beta Model |
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| Research Abstract |
To establish the mathematical engineering technique for the financial investment decision, we researched the following five fields and attained the outcome written respectively.
1) Risk Structure and asset Liability Management (Norio Hibiki, ) : WE have evaluated the activity of the firm through the total value of stocks in the security market. As a result, we can show that there exists a statistical relationship between the growth rate of the firm's total sales and the financial and management policy.
2) Time Series Analysis of Asset Return Processes and their Generation Structures (Kanzuo Kishimoto and Yoshihiro Yajima) : We studied the estimation problem of the initial distribution for the ARCH or GARCH models when we apply the maximal likelihood methods. Then we showed that, using the approximation of finite Markov processes, we can avoid the dependence of the initial distribution which cannot be excluded in the past simulation approach.
3) Derivative Pricing (Masamitsu Ohnishi, Masaaki Kijima and Shigeo Kusuoka) :
We studied the approximation method for the path-dependent option pricing. Then we established the unified approach which enables us to evaluate the upper and lower bounds of the arbitrage free path-dependent option prices.
4) Interest Rate Term Structure (Naoki Kishimoto, Hiroshi Shirakawa and Sohichiroh Moridaira) : Weconsider the basket type currency option pricing model. Then we derived the relationship of the option premiums and model parameters for the multi-currencies model.
5) Large Portfolio Management (Hiroshi Konno, Kenichi Suzuki, Hitoshi Takehara and Munenori Nakasato) : we analyze the risk structure of the stocks listed in the Tokyo stock exchange market and examined the effectiveness of the multi-beta model. Then we checked that the multi-beta model can explain the relationship between the expected return and the risk structure under the stable risk premium parameters.
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