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Financial Engineering Research or Asset Management and Pricing

金融工程研究或资产管理与定价

基本信息

批准号：
08305002
负责人：
KONNO Hiroshi
金额：
$ 5.63万
依托单位：
Tokyo Institute of Technology
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (A)
财政年份：
1996
资助国家：
日本
起止时间：
1996 至 1997
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-08305002/
关键词：
Financial Management Time Series Analysis CARCH Model Derivatives Path Dependent Option Term Structure Currency Option Multi Beta Model 通過オプション

项目摘要

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.

为了建立金融投资决策的数学工程技术，我们研究了以下五个领域并分别得出了成果。 1）风险结构和资产负债管理（Norio Hibiki，）：我们通过证券市场上股票的总价值来评估公司的活动。结果，我们可以表明公司总销售额的增长率与财务和管理政策之间存在统计关系。2）资产回报过程及其生成结构的时间序列分析（Kazuo Kishimoto和Yoshihiro Yajima）：我们研究了当我们应用最大似然方法时ARCH或GARCH模型的初始分布的估计问题。然后我们表明，利用有限马尔可夫过程的近似，我们可以避免在过去的模拟方法中无法排除的初始分布的依赖性。3）衍生定价（Masamitsu Ohnishi，Masaaki Kijima和Shigeo Kusuoka）：我们研究了路径依赖期权定价的近似方法。然后我们建立了统一的方法，使我们能够评估套利自由路径依赖期权价格的上限和下限。4）利率期限结构（Naoki Kishimoto，Hiroshi Shirakawa和Sohichiroh Moridaira）：我们考虑篮子型货币期权定价模型。然后我们推导了多货币模型的期权费和模型参数的关系。5）大型投资组合管理（Hiroshi Konno，Kenichi Suzuki，Hitoshi Takehara和Munenori Nakasato）：我们分析了东京证券交易所上市股票的风险结构，并检验了多贝塔模型的有效性。然后我们检验了多贝塔模型可以解释稳定风险溢价参数下的预期收益与风险结构之间的关系。