| Budget Amount *help |
¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2014: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
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| Outline of Final Research Achievements |
This project studies real-world simulation of interest rates, which will be applied for the risk management at the financial institution.
As a result, a theoretical framework is successfully developed to explain the property of real-world simulation in the Gaussian HJM model. For practical use, this study is applied for the Hull-White model, which is the most simple interest rate model. These results are published in two papers in peer-reviewed journals, and summarized as an English book “Interest rate modeling for risk management - Market price of interest rate risk“ published abroad.
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