Financial Engineering Research or Asset Management and Pricing

为了建立金融投资决策的数学工程技术，我们对以下五个领域进行了研究，并分别获得了书面成果。1）风险结构与资产负债管理（日木纪夫，）：我们通过证券市场上的股票总价值来评估企业的活动。结果表明，企业销售总额的增长率与财务和经营政策之间存在统计关系。2）资产收益过程及其生成结构的时间序列分析（岸本宽左、矢岛义弘）：研究了在使用极大似然法时，对Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester-Gester- 3）衍生品定价（Masamitsu Ohnishi，Masaaki Kijima and Shigeo Kusuoka）：研究了路径依赖型期权定价的近似方法。4）利率期限结构（Naoki Kishimoto，Hiroshi白川和Sohichiroh Moridaira）：我们考虑了一篮子货币期权定价模型。5）大型投资组合管理（Hiroshi Konno，Kenichi Suzuki，Hitoshi竹原和Munshii Nakasato）：我们分析了在东京证券交易所上市的股票的风险结构，并检验了多贝塔模型的有效性。在风险溢价参数稳定的情况下，检验了多贝塔模型能够解释预期收益与风险结构之间的关系。

To establish the mathematical engineering technique for the financial investment decision, we researched the following five fields and attained the outcome written respectively.1) Risk Structure and asset Liability Management (Norio Hibiki, ) : WE have evaluated the activity of the firm through the total value of stocks in the security market. As a result, we can show that there exists a statistical relationship between the growth rate of the firm's total sales and the financial and management policy.2) Time Series Analysis of Asset Return Processes and their Generation Structures (Kanzuo Kishimoto and Yoshihiro Yajima) : We studied the estimation problem of the initial distribution for the ARCH or GARCH models when we apply the maximal likelihood methods. Then we showed that, using the approximation of finite Markov processes, we can avoid the dependence of the initial distribution which cannot be excluded in the past simulation approach.3) Derivative Pricing (Masamitsu Ohnishi, Masaaki Kijima and Shigeo Kusuoka) :We studied the approximation method for the path-dependent option pricing. Then we established the unified approach which enables us to evaluate the upper and lower bounds of the arbitrage free path-dependent option prices.4) Interest Rate Term Structure (Naoki Kishimoto, Hiroshi Shirakawa and Sohichiroh Moridaira) : Weconsider the basket type currency option pricing model. Then we derived the relationship of the option premiums and model parameters for the multi-currencies model.5) Large Portfolio Management (Hiroshi Konno, Kenichi Suzuki, Hitoshi Takehara and Munenori Nakasato) : we analyze the risk structure of the stocks listed in the Tokyo stock exchange market and examined the effectiveness of the multi-beta model. Then we checked that the multi-beta model can explain the relationship between the expected return and the risk structure under the stable risk premium parameters.