{"created":"2021-03-01T07:02:39.124885+00:00","id":42725,"links":{},"metadata":{"_buckets":{"deposit":"2dff881f-6b5d-429c-aca9-c584aee6cf1c"},"_deposit":{"id":"42725","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42725"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042725","sets":["62:7433:7437","9:7435:7436"]},"item_8_alternative_title_1":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"Monte Carlo Simulation with an Asymptotic Expansion in HJM Framework"}]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2004-05","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"2004-CJ-112","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-J"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"HJMモデルにおける債券オプション価格に対し、漸近展開法に基づく新しい解析近似式を導出した。さらに、漸近展開を活用したモンテカルロ・シミュレーションの分散減少法を考案し、現実的な2ファクターモデルに対してその精度を検証し有効性を示した。","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"『金融庁年報』, 掲載予定.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"98268","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Takahashi, Akihiko"}]},{"nameIdentifiers":[{"nameIdentifier":"98269","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Matsushima, Shuichiro"}]}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2004/2004cj112ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11451834","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"東京大学"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"高橋, 明彦"}],"nameIdentifiers":[{"nameIdentifier":"98266","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"松島, 周一郎"}],"nameIdentifiers":[{"nameIdentifier":"98267","nameIdentifierScheme":"WEKO"}]}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"漸近展開を用いたHJMモデルにおけるオプション・プライシング","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"漸近展開を用いたHJMモデルにおけるオプション・プライシング"}]},"item_type_id":"8","owner":"1","path":["7436","7437"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42725","relation_version_is_last":true,"title":["漸近展開を用いたHJMモデルにおけるオプション・プライシング"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:56.903689+00:00"}