2010 Fiscal Year Final Research Report
Study on illiquid assets with stochastic trade times
| Project/Area Number |
19740051
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Kyushu University |
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Principal Investigator |
MATSUMOTO Koichi Kyushu University, 大学院・経済学研究院, 准教授 (30380687)
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| Project Period (FY) |
2007 – 2010
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| Keywords | 数理ファイナンス / 金融工学 |
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| Research Abstract |
It is new and important to study illiquid assets from a mathematical viewpoint. In this study, I have considered three basic financial problems using mathematical models such as a stochastic trade times model. I have solved an optimal portfolio problem, a hedging problem and a risk management problem. Further I have studied an associated computational problem. The results have characterized the influence of the liquidity on investors.
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