2011 Fiscal Year Final Research Report
Efficient numerical methods in the computational finance
| Project/Area Number |
21710157
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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 |
Social systems engineering/Safety system
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| Research Institution | Keio University |
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Principal Investigator |
IMAI Junichi 慶應義塾大学, 理工学部, 准教授 (10293078)
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| Project Period (FY) |
2009 – 2011
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| Keywords | ファイナンス |
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| Research Abstract |
In this research project, I have proposed so called "Generalized Linear Transformation Method" that is proposed under Levy models. To be explicit, we develop new methods that are based on the explicit form of probability density function, series representation of the infinitely divisible distribution, using inverse Levy measure method, and using characteristic functions via discrete Fourier transformation. These methods enables us enhance the numerical efficiency of QMC method by minimizing the effective dimensions of the problems.
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