INTEFRATED RESEARCH FOR THE DESIGN AND CONTROL OF DERIVATIVES MARKETS

数学组的贡献是发展了衍生品定价模型的随机分析，以及将潜在的随机过程扩展到包含不规则跳跃。这些结果所获得的调查在这个项目将有助于了解衍生品的定价机制，特别是计算衍生品价格数值。经济学组通过通知不确定条件下的跨越条件，澄清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将对复杂的风险分担目的起到关键作用。在实证领域，通过对日本和韩国衍生品市场数据的研究，强调了隐含波动率对衍生品定价的重要性。该法务集团指出，金融市场中可能存在的欺诈或不正当交易，会对市场功能造成严重损害。它强调衍生品交易的健康和正常发展是市场良好运作的必要条件。

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.