Studies on Optimal Stopping Theory and Its Applications to Financial Economics and Engineering

最优停止理论及其在金融经济学和工程中的应用研究

• 批准号: 23310103
• 负责人: OHNISHI Masamitsu
• 金额: $ 11.9万
• 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: 2011
• 资助国家: 日本
• 起止时间: 2011-04-01 至 2014-03-31
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-23310103/
• 关键词: Optimal Stopping; Financial Economics; Financial Engineering; Risk Management; Real Option; Levy Processes; 最適停止; ファイナンス; 金融工学; リスク・マネジメント; リアルオプション; レヴィー課程; レヴィー過程

Ohnishi mainly studied the theory and applications of optimal stopping problems and optimal stopping games appeared in the pricing of interest rate derivatives. Tabata mainly studied the pricing of derivatives under stochastic Verhulst-Gompertz processes. Nishihara mainly studied the theory of the optimal stopping problems of multi-dimensional diffusion processes, and their applications to the real option problems. Yamazaki studied the theory of the optimal stopping problems and optimal stopping games of Levy processes with negative jumps, and their various applications to financial economics and engineering, and operations research.All of the members published their research results in many international journals, and at various international conferences, workshops, symposia, seminars, and research meetings held in or outside of Japan.

Ohnishi主要研究了利率衍生品定价中出现的最优止损问题和最优止损对策的理论与应用。Tabata主要研究了随机Verhulst-Gompertz过程下衍生品的定价问题。Nishihara主要研究了多维扩散过程的最优停止问题的理论及其在实物期权问题中的应用。Yamazaki研究了具有负跳跃的Levy过程的最优停止问题和最优停止对策的理论，以及它们在金融经济、工程和运筹学中的各种应用。所有成员都在许多国际期刊上发表了他们的研究成果，并在日本国内外举行的各种国际会议、讲习班、专题讨论会、研讨会和研究会议上发表了他们的研究成果。

项目成果

Real options with synergies : static versus dynamic policies

具有协同效应的实物期权：静态政策与动态政策

• DOI: 10.1057/jors.2011.5
• 发表时间: 2012
• 期刊: Journal of the Operational Research Society
• 影响因子: 3.6
• 作者: Nishide;K. and Yagi;K.;梅谷俊治;Michi NISHIHARA
• 通讯作者: Michi NISHIHARA

Phase-type fitting of scale functions for spectrally negative Lévy processes

• DOI: 10.1016/j.cam.2013.12.044
• 发表时间: 2010-05
• 期刊: J. Comput. Appl. Math.
• 作者: Masahiko Egami;K. Yamazaki

Option Pricing and Hedging under Stochastic Verhulst-Gompertz Equation

随机Verhulst-Gompertz方程下的期权定价和对冲

• 发表时间: 2011
• 期刊: Scientiae Mathematicae Japonicae
• 作者: AKAKABE;Hiroyasu and TABATA;Yoshio
• 通讯作者: Yoshio

Optimal execution in illiquid markets under the absence of price manipulation

在没有价格操纵的情况下，在非流动性市场中实现最佳执行

• 发表时间: 2013
• 作者: 章国強;舘野功太;後藤秀樹;寒川哲臣;高橋大志;時永祥三,池田欽一;山崎和俊;菊地剛正，高橋大志，寺野隆雄;Seiya KUNOH and Masamitsu OHNISHI
• 通讯作者: Seiya KUNOH and Masamitsu OHNISHI

Investment timing with fixed and proportional costs of external financing

外部融资成本固定且成比例的投资时机

• DOI: 10.1080/17509653.2014.937836
• 发表时间: 2015
• 期刊: International Journal of Management Science and Engineering Management
• 影响因子: 4.8
• 作者: Nishihara;M. and Shibata;T.
• 通讯作者: T.