Study on illiquid assets with stochastic trade times

2009 Fiscal Year Self-evaluation Report

• Project/Area Number: 19740051
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: General mathematics (including Probability theory/Statistical mathematics)
• Research Institution: Kyushu University
• Principal Investigator: MATSUMOTO Koichi Kyushu University, 大学院・経済学研究院, 准教授 (30380687)
• Project Period (FY): 2007 – 2010
• Keywords: 流動性 / 数理ファイナンス / 金融工学

Research Abstract

本研究の目的は資産流動性を数理ファイナンスの視点で解析することである.具体的には,流動性モデルを用いて,以下の3種類の数理ファイナンスの問題の研究を実施する予定である.
(1) 投資問題
(2) デリバティブ価格付け問題
(3) リスク管理問題
これらの問題は従来の研究では資産流動性を考慮せずに検討されてきた.本研究では流動性を考慮して古典的理論を拡張する.複数の流動性モデルを比較,検討することにより,流動性リスクの特性を明らかにし,金融市場の発展に貢献したいと考えている.

Research Products

• [Journal Article] Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk (2009)
  • Author(s): Koichi Matsumoto
  • Journal Title: Review of Derivatives Research 12 Pages: 29-53
  • Peer Reviewed
• [Journal Article] Mean-Variance Hedging with Uncertain Trade Execution (2009)
  • Author(s): Koichi Matsumoto
  • Journal Title: Applied Mathematical Finance 16,3 Pages: 219-252
  • Peer Reviewed
• [Journal Article] Portfolio Insurance with Liquidity Risk (2007)
  • Author(s): Koichi Matsumoto
  • Journal Title: Asia-Pacific Financial Markets 14,4 Pages: 363-386
  • Peer Reviewed
• [Presentation] Option Replication in Discrete Time with Liquidity Risk (2009)
  • Author(s): Koichi Matsumoto
  • Organizer: Quantitative Methods in Finance Conference 2009
  • Place of Presentation: Amora Hotel, Sydney, Australia
  • Year and Date: 2009-12-17
• [Presentation] Dynamic Programming and Mean-Variance Hedging with Partial Execution Risk (2008)
  • Author(s): Koichi Matsumoto
  • Organizer: Bachelier Finance Society Fifth World Congress
  • Place of Presentation: Imperial College, London, the United Kingdom
  • Year and Date: 2008-07-18
• [Presentation] Mean-Variance Hedging in an Illiquid Market (2007)
  • Author(s): Koichi Matsumoto
  • Organizer: Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finance
  • Place of Presentation: Vienna University of Technology, Vienna, Austria
  • Year and Date: 2007-09-19