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

本研究课题基于金融工程、数理金融和数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。资产配置问题;2.投资组合选择问题;3.金融衍生品的定价、复制和风险对冲问题，出现在有摩擦的金融市场（即，交易成本、佣金成本、税收等），从问题的形式化出发，对建立金融工程所需的方法进行全面的研究，以了解国际上关于有摩擦金融市场中资产管理和资产定价的金融工程技术的研究现状1.我获得了许多日本和外国的专业文献，其中包含最新的相关结果;我与许多国内外领导积极交换了有益的信息和意见。 ...更多信息 特别是为了收集有关脉冲控制理论在经济学、金融学和金融工程中应用研究的最新趋势的文献和信息，脉冲控制理论是一种有前途的方法，在金融市场存在摩擦时，对资产管理和资产定价建模有用。我积极参加了许多国内相关研究领域的主要研究人员举办的小型研讨会、研究会议和工作坊等，收集和交流了宝贵的研究信息。奇异利率衍生品的定价与最优执行策略研究; 2.我的课题组迄今为止所做的关于金融资产市场投资者风险态度变化对均衡资产价格影响的比较静态学研究，一直在不断推进，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和研究会议等上发表。

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