2006 Fiscal Year Final Research Report Summary
INTEFRATED RESEARCH FOR THE DESIGN AND CONTROL OF DERIVATIVES MARKETS
| Project/Area Number |
16330060
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Osaka University |
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Principal Investigator |
NISHINA Kazuhiko Osaka University, Graduate School of Economics, Professor, 大学院経済学研究科, 教授 (30094311)
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| Co-Investigator(Kenkyū-buntansha) |
KOTANI Shinichi Osaka University, Graduate School of Science, Professor, 大学院理学研究科, 教授 (10025463)
YOSHIMOTO Kenichi Osaka University, Graduate School of Law, Professor, 大学院高等司法研究科, 教授 (80031863)
NAGAI Hideo Osaka University, Graduate School of Engineering Science, Professor, 大学院基礎工学研究科, 教授 (70110848)
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| Project Period (FY) |
2004 – 2006
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| Keywords | derivatives / spanning, condition / risk sharing rule / Pareto improvement / stochastic process / martingales / stochastic calculus / disclosure |
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| Research Abstract |
The contributions of mathematics group are the development of stochastic analysis of derivatives pricing models as well as the extension of underlying stochastic process to include irregular jumps. Those results obtained by the investigation in this project will help to understand the pricing mechanism of derivatives and in particular to calculate the derivatives prices numerically.
The economics group clarified the allocational efficiency of derivatives by notifying the spanning condition under uncertainty.. It can be said that in the matured economy the introduction and utilization of derivatives will have a key role for the complicated risk sharing purpose. In the empirical field, it emphasized the importance of implied volatility for the pricing of derivatives by exploring the data of Japanese as well as Korean derivatives markets.
The law group showed that possible fraud or incorrect trades in the financial markets lead to a serious damage on the function of markets. It stresses that the sound and normal development of derivatives trades are the essential condition for the well functioning markets.
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