Theoretical and empirical analysis of the interest rate spred

利率波动的理论与实证分析

• 批准号: 15500183
• 负责人: TAKAHASHI Hajime
• 金额: $ 2.11万
• 依托单位: Hitotsubashi University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2003
• 资助国家: 日本
• 起止时间: 2003 至 2004
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-15500183/
• 关键词: boundary crossing problem; finite sample space; incomplete market; embedded complete market; barrier option; credit risk; VonMises型統計量の漸近展開; 天候デリィバティブ; 不完備市場におけるプライシング; 統計的汎関数; 有限母集団; 金利スプレッド; Duffie-Singleton モデル

We have obtained the following results in this project in the last two years : In the field of credit risk, we have obtained an extension of the results of Duffie-Singleton to the multi-factor and discrete time model. The result of which was partially presented at the seminar held in Hitotsubashi University July 2004. Related to the parameter estimation as well as the related field, we have the following results.1.Asymptotic analysis in finite population : We have obtained the asymptotic expansions in U-statistic and Von Mises statistical functional. The results of which may be used to justify the accuracy of bootstrap method. The research is jointly done by Mr.H.Motoyama.2.Pricing of barrier type European option : This is a continuation of the work done jointly with Morimoto in 2002. We have obtained the price of barrier type option in discrete time model where the non-linear renewal theory of Takahashi and Woodroofe was fully utilized. The part of the result was presented at the 8^<th> Japan-China Symposium on Statistics (Oct.2004,Guillin China).3.Pricing on weather derivative : This is jointly done with Tobe and Kawanowa. We have proposed a new type of pricing a temperature derivatives where the prediction of future temperature may be taken into account. We have investigated the accuracy of our model using the real data.4.We have introduced an embedded complete market inside incomplete market with which each trader may apply the Black-Scholes formula is used to pricing any stock based European type derivatives. The price of option in the market may be determined by the mean of these prices (OLS), median (Mean absolute deviation), or mode (majority rule).

近两年来，我们在这个项目中取得了以下成果： 在信用风险领域，我们获得了Duffie-Singleton结果向多因素离散时间模型的推广。其部分结果在2004年7月在一桥大学举行的研讨会上得到了介绍。与参数估计以及相关领域相关，我们得到了以下结果： 1.有限总体中的渐近分析：我们得到了U统计和Von Mises统计泛函的渐近展开式。其结果可用于证明 bootstrap 方法的准确性。该研究由H.Motoyama先生共同完成。 2.障碍型欧式期权的定价：这是2002年与Morimoto共同完成的工作的延续。我们充分利用了Takahashi和Woodroofe的非线性更新理论，在离散时间模型中获得了障碍型期权的价格。部分结果在第八届中日统计研讨会上公布（2004年10月，中国桂林）。 3.天气衍生品定价：与Tobe和Kawanowa共同完成。我们提出了一种新型的温度衍生品定价方式，其中可以考虑对未来温度的预测。我们使用真实数据研究了我们模型的准确性。4.我们在不完全市场中引入了嵌入的完全市场，每个交易者都可以应用布莱克-斯科尔斯公式来对任何基于股票的欧式衍生品进行定价。市场上期权的价格可以由这些价格的平均值（OLS）、中位数（平均绝对偏差）或众数（多数规则）来确定。

项目成果

文系出身者の為のファイナンス入門

为具有文科背景的人介绍金融

• 发表时间: 2005
• 作者: Zhihong CAI;Masami MIYAKAWA;Manabu KUROKI;長沢伸也;高橋 一
• 通讯作者: 高橋 一

On embedded complete markets

嵌入式完整市场

• 发表时间: 2005
• 期刊: Hitotsubashi Journal of Economics 46-1
• 作者: Tomonaga M.;Tanaka M.;Matsuzawa T.;Myowa M.M.;Kosugi D.;Mizuno Y.;Okamoto S.;Yamaguchi M.K.;Bard K.A.;Hajime Takahashi
• 通讯作者: Hajime Takahashi

On embedded complete market

浅谈嵌入式完整市场

• 发表时间: 2005
• 期刊: Hitotsubashi Journal of Economics Vol 46-1
• 作者: 大塚由美子;山口真美;Shigeo Shioda;伏見貴夫;Hajime TAKAHASHI
• 通讯作者: Hajime TAKAHASHI