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新しいリスクのデリバテイブと管理手法の開発-電力・天候・保険リスクを中心として

新しいリスクのデリバテイブと管理手法の開発-電力・天候・保険リスクを中心として
Paper図書
三浦, 良造, 一橋大学2001-2002<Y151-H13430024>
National Diet Library
  • Subject Heading天候デリバテイブ 保険 電力 α-percentile barrier option jump-diffusion process 非完備市場 最適化

A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-08CRR Working Paper, Series BB-7p.1-21
Other Libraries in Japan
  • Subject HeadingAffine jump-diffusion Approximately ......ate derivative Jump-diffusion model LIBOR LIBOR market mode...
  • Note (General)...tic volatility jump-diffusion LM model using a generalequil...

Robust Control-based Stochastic Differential Utility under Jump-Diffusion Information

Robust Control-based Stochastic Differential Utility under Jump-Diffusion Information
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-07CRR Working Paper, Series BB-6p.1-18
Other Libraries in Japan
  • Subject HeadingAmbiguity Jump-diffusion information Knightian uncerta...
  • Note (General)...dernonMakovian jump-diffusion information. In virtue of the...

An Asymptotic Expansion with Push-Down of Malliavin Weights

An Asymptotic Expansion with Push-Down of Malliavin Weights
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2011-11Discussion paper series. CIRJE-FCIRJE-F-824
Other Libraries in Japan
  • Subject Heading...g-normal model Jump-diffusion model Integration-by-parts Ma...

An Asymptotic Expansion with Push-Down of Malliavin Weights

An Asymptotic Expansion with Push-Down of Malliavin Weights
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-695
Other Libraries in Japan
  • Subject Heading...g-normal model Jump-diffusion model Integration-by-parts Ma...

A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-05CRR Working Paper, Series BB-4p.1-21
Other Libraries in Japan
  • Subject Heading...ate derivative Jump-diffusion model LIBOR LIBOR market mode...
  • Note (General)...per presents a jump-diffusion LM model using......23] [24]) with jump-diffusioninformation. Ap......timation of thejump-diffusion LM model is presented. identi...

Implementing Arrow-Debreu Equilibria in Security Markets with Infinite Dimensional Martingale Generator

Implementing Arrow-Debreu Equilibria in Security Markets with Infinite Dimensional Martingale Generator
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2004-09CRR Working Paper, Series BB-1p.1-16
Other Libraries in Japan
  • Subject Heading...gale generator Jump-diffusion
  • Note (General)...t economy with jump-diffusion information generated by infi...

General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator

General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2004-10CRR Working Paper, Series BB-2p.1-19
Other Libraries in Japan
  • Subject Heading...gale generator Jump-diffusion Stochastic differential utili...
  • Note (General)type:Technical Report Jump-diffusion security market models with i...

Some Financial Applications of Backward Stochastic Differential Equations with jump : Utility, Investment, and Pricing

Some Financial Applications of Backward Stochastic Differential Equations with jump : Utility, Investment, and Pricing
Digital博士論文
柏原, 聡
Available onlineOther Libraries in Japan
  • Subject Heading...ntial Equation Jump-diffusion process Stochastic Differenti...

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