Comprehensive Studies on Financial Asset Management and Asset Pricing under Assumptions of Price Processes with Random Jumps

随机跳跃价格过程假设下的金融资产管理与资产定价综合研究

• 批准号: 20510135
• 负责人: OHNISHI Masamitsu
• 金额: $ 3万
• 依托单位: Osaka University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2008
• 资助国家: 日本
• 起止时间: 2008 至 2010
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-20510135/
• 关键词: ファイナンス・金融工学; ジャンプを伴う拡散過程; 最適停止; 確率制御; インパルス制御; 自由境界問題; 準変分不等式; 金融市場モデル; 金融工学; 最適停止問題; 自由境界値問題; 金利の期間構造モデル; エキゾチックな金利デリバティブ; リスク回避性; インパルス制御理論

Under the assumption that the prices of financial assets and/or values of financial variables follow some diffusion type stochastic processes with random jumps, we have been tried to execute comprehensive studies on financial asset management and arbitrage pricing/replication/hedging of various financial derivatives (derivative assets and contracts) from the various viewpoints of modeling and formalization, theoretical analysis, algorithmic and numerical methods, and so on, and we have obtained a lot of new fruitful results.

Under the assumption that the prices of financial assets and/or values of financial variables follow some diffusion type stochastic processes with random jumps, we have been tried to execute comprehensive studies on financial asset management and arbitrage pricing/replication/hedging of various financial derivatives (derivative assets and contracts) from the various viewpoints of modeling and formalization, theoretical analysis, algorithmic and numerical methods, and so on, and we已经获得了许多新的富有成果的结果。

项目成果

Comparative risk aversion under background risk revisited

重温背景风险下的比较风险规避

• 发表时间: 2010
• 期刊: Economic Research International 2010
• 作者: Masamitsu Ohnishi;Yusuke Osaki
• 通讯作者: Yusuke Osaki

Optimal Execution Strategies with Price Impact

具有价格影响的最佳执行策略

• 发表时间: 2010
• 期刊: 「ファイナンスの数理解析とその応用」,数理解析研究所講究録1675,京都大学数理解析研究所
• 作者: Kunou;S.;Ohnishi;M.
• 通讯作者: M.

確率インパルス制御とそのファイナンス・金融工学への応用

随机脉冲控制及其在金融和金融工程中的应用

• 发表时间: 2010
• 作者: 中田絵里子;濱田(佐藤)奈保子;宮田光義;小山智之;矢澤一良;渡邉悦生;大西匡光
• 通讯作者: 大西匡光

価格インパクトを考慮した最適執行戦略

考虑价格影响的最优执行策略

• 发表时间: 2010
• 作者: 山本久志;孫晶;大石貴之;松井正之;久納誠矢・大西匡光
• 通讯作者: 久納誠矢・大西匡光

Pricing of a Chooser Flexible Cap and its Calibration,

选择器灵活盖的定价及其校准，

• 发表时间: 2010
• 期刊: Asia-Pacific Journal of Operational Research, Iss.2 Vol.27
• 作者: Ito;D.;Ohnishi;M.;Tamba;Y.
• 通讯作者: Y.