2009 Fiscal Year Final Research Report
Risk-evaluation modeling based on Levy process and its applications
| Project/Area Number |
19540143
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Nagoya City University |
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Principal Investigator |
MIYAHARA Yoshio Nagoya City University, 大学院・経済学研究科, 教授 (20106256)
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| Co-Investigator(Renkei-kenkyūsha) |
MISAWA Tetsuya 名古屋市立大学, 大学院・経済学研究科, 教授 (10190620)
FUJIWARA Tsukasa 兵庫教育大学, 学校教育研究科, 准教授 (30199385)
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| Project Period (FY) |
2007 – 2009
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| Keywords | 数理ファイナンス / リスク評価 / 価値評価 / レヴィ過程 / オプション価格 / リスク鋭感的価値尺度 |
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| Research Abstract |
Relating to the mathematical finance theory, we have studied the option pricing problems in the incomplete market, and we have showed the efficiency of the [GLP & MEMM] pricing model. We have also studied the evaluation problems for the financial assets in the non-efficient market or the non-tradable asset (for example, project evaluation). In this case the standard arbitrage theory can not applied, and so we investigate another method and we have obtained a result that the risk-sensitive value measure is a very powerful method for these evaluation problems.
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