2014 Fiscal Year Final Research Report
Statistical Analysis of Implied Data
| Project/Area Number |
24530223
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Tottori University of Environmental Studies |
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Principal Investigator |
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Keywords | Implied Data / Credit Risk / Measure Change / Liquidity |
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| Outline of Final Research Achievements |
We consider the conditions under which the estimators obtained impliedly by calibration. The underlying theory is presented by Takahashi (2011, APFM),the results are given under the Martingale Measure though.Takahashi(2011) considers only a special case, where the default is independent from the other economic factors underlying the basic model. In this case, Martingale measure is equal to the real world probability. We consider the methodof Ross, which is proved to be not suitable for our problem. We consider the measure change, Radon Nikodym theorem and the strong law of large numbers are key tool. We shall consider more realistic case in the next project.
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| Free Research Field |
統計ファイナンス
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