Research on the valuation model of derivatives for construction of stable society

2009 Fiscal Year Final Research Report

• Project/Area Number: 20810038
• Research Category: Grant-in-Aid for Young Scientists (Start-up)
• Allocation Type: Single-year Grants
• Research Field: Social systems engineering/Safety system
• Research Institution: Meijo University
• Principal Investigator: SUZUKI Atsuo Meijo University, 都市情報学部, 助教 (60513702)
• Project Period (FY): 2008 – 2009
• Keywords: 数理ファイナンス / 金融工学 / 確率モデル

Research Abstract

I considered a model of valuing callable financial commodities which enable both an issuer and an investor to exercise their rights, respectively. I showed that such a model can be formulated as a coupled stochastic game for the optimal stopping problem with two reflecting barriers.

Research Products

• [Journal Article] The Valuation of Callable Financial Commodities with Two Stopping (2009)
  • Author(s): Sawaki, K., Suzuki, A., Yagi, K.
  • Journal Title: Recent Advances in Financial Engineering (World Scientific) Pages: 189-200
  • Peer Reviewed
• [Journal Article] Callable Russian Options and Their Optimal Boundaries (2009)
  • Author(s): Suzuki, A., Sawaki, K.
  • Journal Title: Journal of Applied Mathematics and Decision Sciences Volume 2009 Pages: Article ID 593986, doi:10.1155/2009/593986
  • Peer Reviewed
• [Journal Article] ある種のダブルバリア型エクイティリンク債の評価 (2009)
  • Author(s): 佐藤進平・鈴木淳生・澤木勝茂
  • Journal Title: 日本経営数学会誌 Vol.29,No2 Pages: 79-94
  • Peer Reviewed
• [Presentation] Double Exponential Jump Diffusion Processes and Its Application to Real Options (2009)
  • Author(s): Suzuki, A., Sawaki, K.
  • Organizer: The 8th International Symposium on Operations Research and Its Applications
  • Place of Presentation: Zhangjiajie, China
  • Year and Date: 2009-09-22
• [Presentation] The Valuation of Callable Financial Commodities with Two Stopping Boundaries (2008)
  • Author(s): Sawaki, K., Suzuki, A., Yagi, K.
  • Organizer: The 7th International Symposium on Operations Research and Its Applications
  • Place of Presentation: Lijiang, China
  • Year and Date: 2008-10-31
• [Presentation] The Valuation of Callable Financial Commodities with Two Stopping Boundaries, The Valuation of Callable Financial Commodities with Two Stopping Boundaries (2008)
  • Author(s): Sawaki, K., Suzuki, A., Yagi, K.
  • Organizer: 2008 Daiwa International Workshop on Financial Engineering
  • Place of Presentation: 大手町サンケイプラザ
  • Year and Date: 2008-08-04
• [Presentation] Callable Russian Options for Double Exponential Jump Diffusion Processes (2008)
  • Author(s): Suzuki, A., Sawaki, K.
  • Organizer: Bachelier Finance Society 5^<th> World Congress
  • Place of Presentation: Imperial College, UK
  • Year and Date: 2008-07-16
• [Presentation] The Valuation of Callable-Putable Contingent Claims with Some Applications into Structured Commodities (2008)
  • Author(s): Sawaki, K., Suzuki, A., Yagi, K.
  • Organizer: Asian FA-NFA 2008
  • Place of Presentation: パシフィコ横浜会議センター
  • Year and Date: 2008-07-07