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A Research toward Establishment of Financial Engineering Methods for Asset Management and Asset Pricing in Financial Market with Diction

金融市场资产管理和资产定价的金融工程方法建立的研究

基本信息

批准号：
18510123
负责人：
OHNISHI Masamitsu
金额：
$ 2.59万
依托单位：
Osaka University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2006
资助国家：
日本
起止时间：
2006 至 2007
项目状态：
已结题

项目摘要

Based on the recent research trend in the financial engineering, and mathematical and quantitative finance, this research project has challenged various financial technological problems,especially1. asset allocation problems ;2. portfolio selection problems ;3. pricing,replication,and risk hedging problems of financial derivatives,which appear in financial markets with frictions (i.e.,the transaction costs, commission costs, tax,and etc).Starting with examination of problem formulations, it mainly aimed at an overall research for the establishment of required methods of financial engineering.In order to understand the present research state of the world in the financial engineering techniques concerning the asset management and asset pricing in financial markets with frictions1. I have obtained many Japanese and foreign professional literatures which contain the latest related results; and2. I have actively exchanged useful information and opinions with many domestic and foreign leadin … More g researchers.Especially, in order to collect related literatures and information on the recent trend of the applied research to economics, finance, and financial engineering of the impulse control theory as a promising methodology useful to modeling of the asset management and asset pricing when frictions of financial markets exist. I have actively participated in many small-size seminars, research meetings, and workshops, etc. where domestic leading researchers who work in the related research fields, and I have collected and exchanged valuable research information.On the other hand1. the research on pricing of exotic interest-rate derivatives and optimal exercise strategies; and2. the research on the comparative statics study of the effect on the equilibrium asset prices by the change in the risk attitude of investors in the financial asset market, which have been worked by my research group so far, have been continually promoted, and further interesting results have been obtained, and they have been presented at some related domestic research seminars and research meetings, etc. Less

本研究项目基于金融工程、数学金融和定量金融的最新研究趋势，对各种金融技术问题提出了挑战，特别是1。2.资产配置问题；2 .投资组合选择问题；金融衍生品的定价、复制和风险对冲问题，这些问题出现在金融市场的摩擦（即交易成本、佣金成本、税收等）。从问题表述的考察开始，主要是对金融工程所需方法的建立进行全面的研究。为了了解金融工程技术在具有摩擦的金融市场中资产管理和资产定价的研究现状。我获得了许多日本和国外的专业文献，其中包含最新的相关成果；每天在家。我积极地与许多国内外领先的研究人员交换了有用的信息和意见。特别是，为了收集有关脉冲控制理论在经济学、金融学和金融工程领域应用研究的最新趋势的相关文献和信息，脉冲控制理论作为一种有前途的方法，对金融市场存在摩擦时的资产管理和资产定价建模有用。我积极参加了国内相关研究领域的领军人员举办的多次小型研讨会、研究会议、研讨会等，收集并交流了有价值的研究信息。另一方面；外来利率衍生品定价与最优操作策略研究每天在家。我课题组迄今所做的关于金融资产市场中投资者风险态度变化对均衡资产价格影响的比较统计学研究不断得到推进，并取得了进一步有趣的成果，并在国内一些相关的研究研讨会、研究会议等上进行了介绍。少

项目成果

期刊论文数量（0）

专著数量（0）

科研奖励数量（0）

会议论文数量（0）

专利数量（0）

The Comparative Statics on Asset Prices Based on Bull and Bear Market Measure

基于牛熊市衡量的资产价格比较静态分析

DOI：
发表时间：
2006
期刊：
European Journal of Operational Research Vol.168
影响因子：
0
作者：
Ohnishi;M.;Osaki;Y.
通讯作者：
Y.

The Monotonicity of Asset Prices toward Changes in Risk

资产价格对风险变化的单调性

DOI：
发表时间：
2007
期刊：
Economics, Management, and Financial Markets Volume 2, No.1
影响因子：
0
作者：
Ohnishi;M. and Osaki;Y.
通讯作者：
Y.

Stock Repurchase Policy with Transaction Costs under Jump Risks

交易成本风险跳跃式的股票回购政策

DOI：
发表时间：
2005
期刊：
Proceedings of International Workshop on Recent Advances in Stochastic Operations Research
影响因子：
0
作者：
Hiromichi Goko;Masamitsu Ohnihsi;Motoh Tsujimura
通讯作者：
Motoh Tsujimura

An Optimal Impulse Control of a Geometric Brownian Motion with Quadratic Costs

具有二次成本的几何布朗运动的最优脉冲控制