INTEFRATED RESEARCH FOR THE DESIGN AND CONTROL OF DERIVATIVES MARKETS

衍生品市场设计与控制的综合研究

• 批准号: 16330060
• 负责人: NISHINA Kazuhiko
• 金额: $ 9.41万
• 依托单位: Osaka University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (B)
• 财政年份: 2004
• 资助国家: 日本
• 起止时间: 2004 至 2006
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-16330060/
• 关键词: derivatives; spanning, condition; risk sharing rule; Pareto improvement; stochastic process; martingales; stochastic calculus; disclosure; 取引デザイン; 資産価格理論; 市場ルール; 情報生成

The contributions of mathematics group are the development of stochastic analysis of derivatives pricing models as well as the extension of underlying stochastic process to include irregular jumps. Those results obtained by the investigation in this project will help to understand the pricing mechanism of derivatives and in particular to calculate the derivatives prices numerically.The economics group clarified the allocational efficiency of derivatives by notifying the spanning condition under uncertainty.. It can be said that in the matured economy the introduction and utilization of derivatives will have a key role for the complicated risk sharing purpose. In the empirical field, it emphasized the importance of implied volatility for the pricing of derivatives by exploring the data of Japanese as well as Korean derivatives markets.The law group showed that possible fraud or incorrect trades in the financial markets lead to a serious damage on the function of markets. It stresses that the sound and normal development of derivatives trades are the essential condition for the well functioning markets.

数学组的贡献是发展了衍生品定价模型的随机分析，并将潜在的随机过程扩展到包括不规则跳跃。本课题的研究结果有助于理解衍生品的定价机制，特别是对衍生品的价格进行数值计算。经济学小组通过在不确定性条件下提出跨越条件，明确了衍生品的配置效率。可以说，在成熟的经济中，衍生品的引入和利用对于复杂的风险分担目的将起到关键作用。在实证领域，通过对日本和韩国衍生品市场的数据分析，强调了隐含波动率对衍生品定价的重要性，指出金融市场中可能存在的欺诈或不正确交易会严重损害市场功能。强调衍生品交易的健康、正常发展是市场正常运行的必要条件。

项目成果

資本と準備金

资本和储备

• 发表时间: 2005
• 期刊: 会社法(新版基本問題セミナー1) 4月号
• 作者: H.Nagai;W.J.Runggaldier;吉本 健一;吉本 健一
• 通讯作者: 吉本 健一

Risk-sensitive Portfolio Optimization with Full and Partial Information

• DOI: 10.2969/aspm/04110257
• 发表时间: 2004
• 作者: H. Nagai

PDE approach to utility maximization with partial information

利用部分信息实现效用最大化的 PDE 方法

• 发表时间: 2006
• 期刊: 確率数値解析における諸問題VII 1462
• 作者: H.Nagai;W.J.Runggaldier
• 通讯作者: W.J.Runggaldier

Thermodynamic limit of relative Fredholm determinant of Green operators for random schrodinger operators

随机薛定谔算子的格林算子相对 Fredholm 行列式的热力学极限

• 发表时间: 2003
• 期刊: Proc.of Aspects Mathematiques des Systemes Aleatoires et de la Mecanique Statistique, Markov Process & Related Fields 9
• 作者: 仁科 一彦;嘉本慎介;H.Nagai;H.Nagai;吉本 健一;S.Kotani
• 通讯作者: S.Kotani

最新倒産法・会社法をめぐる実務上の諸問題

围绕最新破产法和公司法的实际问题

• 发表时间: 2005
• 作者: Nagai H.;W.J.Runggaldier;Nagai H.(2007);S.Kotani;吉本 健一(共著)
• 通讯作者: 吉本 健一(共著)