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

基本信息

  • 批准号:
    23310103
  • 负责人:
  • 金额:
    $ 11.9万
  • 依托单位:
  • 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

项目摘要

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

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)
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
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:
  • 影响因子:
    0
  • 作者:
    Masahiko Egami;K. Yamazaki
  • 通讯作者:
    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
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
  • DOI:
  • 发表时间:
    2013
  • 期刊:
  • 影响因子:
    0
  • 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
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OHNISHI Masamitsu其他文献

OHNISHI Masamitsu的其他文献

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{{ truncateString('OHNISHI Masamitsu', 18)}}的其他基金

Innovative Applications of Advanced Stochastic Control Theory to Contemporary Issues in Finance and Financial Engineering
先进随机控制理论在当代金融和金融工程问题中的创新应用
  • 批准号:
    17K01255
  • 财政年份:
    2017
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Grant-in-Aid for Scientific Research (C)
Comprehensive Studies on Financial Asset Management and Asset Pricing under Assumptions of Price Processes with Random Jumps
随机跳跃价格过程假设下的金融资产管理与资产定价综合研究
  • 批准号:
    20510135
  • 财政年份:
    2008
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Grant-in-Aid for Scientific Research (C)
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
  • 批准号:
    18510123
  • 财政年份:
    2006
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Grant-in-Aid for Scientific Research (C)
Studies on Dynamic Optimization of Stochastic Systems with Multiple Criteria
多准则随机系统动态优化研究
  • 批准号:
    10680427
  • 财政年份:
    1998
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Grant-in-Aid for Scientific Research (C)

相似海外基金

Stochastic and Mathematical Structures from and for Financial Economics
金融经济学中的随机和数学结构
  • 批准号:
    RGPIN-2014-04987
  • 财政年份:
    2018
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Discovery Grants Program - Individual
Macroeconomics, Financial Economics and Time-Series Econometrics
宏观经济学、金融经济学和时间序列计量经济学
  • 批准号:
    2095175
  • 财政年份:
    2018
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Studentship
Stochastic and Mathematical Structures from and for Financial Economics
金融经济学中的随机和数学结构
  • 批准号:
    RGPIN-2014-04987
  • 财政年份:
    2017
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Discovery Grants Program - Individual
Stochastic and Mathematical Structures from and for Financial Economics
金融经济学中的随机和数学结构
  • 批准号:
    RGPIN-2014-04987
  • 财政年份:
    2016
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Discovery Grants Program - Individual
Stochastic and Mathematical Structures from and for Financial Economics
金融经济学中的随机和数学结构
  • 批准号:
    RGPIN-2014-04987
  • 财政年份:
    2015
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Discovery Grants Program - Individual
Stochastic and Mathematical Structures from and for Financial Economics
金融经济学中的随机和数学结构
  • 批准号:
    RGPIN-2014-04987
  • 财政年份:
    2014
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Discovery Grants Program - Individual
Stochastic tools for financial economics
金融经济学的随机工具
  • 批准号:
    249736-2009
  • 财政年份:
    2013
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Discovery Grants Program - Individual
Stochastic tools for financial economics
金融经济学的随机工具
  • 批准号:
    249736-2009
  • 财政年份:
    2012
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Discovery Grants Program - Individual
Stochastic tools for financial economics
金融经济学的随机工具
  • 批准号:
    249736-2009
  • 财政年份:
    2011
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Discovery Grants Program - Individual
Stochastic tools for financial economics
金融经济学的随机工具
  • 批准号:
    249736-2009
  • 财政年份:
    2010
  • 资助金额:
    $ 11.9万
  • 项目类别:
    Discovery Grants Program - Individual
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