2007 Fiscal Year Final Research Report Summary
Analysis of Wiener functional and derivative pricing
| Project/Area Number |
17540107
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
|
|---|
| Research Institution | Hitotsubashi University |
|---|
Principal Investigator |
FUJITA Takahiko Hitotsubashi University, Graduate School of Commerce and Management, Professor (50144316)
|
|---|
| Project Period (FY) |
2005 – 2007
|
| Keywords | random walk / Brownian motion / Bessel process / Exotic option / Black Scholes model / Infinitely divisible distribution / Cauchy distrbution / Riemann zeta function |
|---|
| Research Abstract |
(1)On research of exotic options written by rank statistics
(2)On distribution theory for fragments of random walk , Brownian motion and Bessel processe straddling independent Exponential times
(3)A stochastic approach to special values of the Riemann zeta function
(4)On research of orderstatistics
(5)On research of new exotic derivative products (meander option)
Especially, with Bertoin, J., Yor, M. and Roynette, B., I obtained the explicit calculation of the distribution of fragments of random walk, Brownian motion, Bessel processe straddling independent exponential times and the infinitely divisibility of such distributions, of which Levy Hintchin measure is a kind of arcsine laws.
straddling independent exponential times and the infinitely divisibility of such distributions, of which Levy Hintchin mesure is a kind of aresine laws.
|
Research Products
(36 results)
