Heat Kernel Approach in Financial Engineering of New Generation

2017 Fiscal Year Final Research Report

• Project/Area Number: 25285102
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Ritsumeikan University
• Principal Investigator: Akahori Jiro 立命館大学, 理工学部, 教授 (50309100)
• Co-Investigator(Kenkyū-buntansha): 堀 敬一 関西学院大学, 経済学部, 教授 (50273561) ; Kohatsu・Higa A 立命館大学, 理工学部, 教授 (80420412) ; 足立 高徳 立命館大学, BKC社系研究機構, 教授 (60733722) ; 今村 悠里 立命館大学, 理工学部, 助教 (40633194) ; 劉 念麟 立命館大学, 総合科学技術研究機構, 研究員 (90610923)
• Project Period (FY): 2013-04-01 – 2018-03-31
• Keywords: 数理ファイナンス / フーリエ法 / タイミングリスク / 静的ヘッジ / フラクショナルボラティリティ

Outline of Final Research Achievements

The project contributed, from the perspective of stochastic calculus, to the new developments in the field of financial engineering after the financial crisis. In the new generation modelling, more sophisticated theoretical foundations
explaining interactions among the various models are required, compared with the old type ones where in most parts the modelling was ad-hoc. This project promoted good many fruitful international research collaborations.

Free Research Field

数理ファイナンス，確率過程論