2015 Fiscal Year Final Research Report
Research on Derivatives Pricing and Risk Management after Financial Crisis
| Project/Area Number |
25380389
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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 |
Money/ Finance
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| Research Institution | The University of Tokyo |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Keywords | 漸近展開 / 確率微分方程式(SDE,FSDE) / 後ろ向き確率微分方程式(BSDE) / 確率ボラティリティモデル / ジャンプモデル / コラテラル / カウンターパーティリスク / マーケットインパクト |
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| Outline of Final Research Achievements |
Based on the experience of a series of financial crises, there exists criticism for financial institutions in that they do not evaluate derivatives appropriately, and do not recognize potential risks in the risk management. Then, the trade practice in the markets has been much changing with elaboration of the derivatives valuation, increase in collateralized trades and introduction of the credit risk adjustment for the trading counter parties.
In order to cope with the change, I performed the studies on the derivatives and asset management with relevant mathematics to develop new models and techniques with the numerical experiments and the mathematical justification.
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| Free Research Field |
ファイナンス
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