WEKO3
アイテム
{"_buckets": {"deposit": "aaab044a-a7a1-4d8c-ae4e-c0dfd6fb90df"}, "_deposit": {"id": "42789", "owners": [], "pid": {"revision_id": 0, "type": "depid", "value": "42789"}, "status": "published"}, "_oai": {"id": "oai:repository.dl.itc.u-tokyo.ac.jp:00042789", "sets": ["7436", "7434"]}, "item_8_biblio_info_7": {"attribute_name": "書誌情報", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2003-11", "bibliographicIssueDateType": "Issued"}, "bibliographicVolumeNumber": "2003-CF-245", "bibliographic_titles": [{"bibliographic_title": "Discussion paper series. CIRJE-F"}]}]}, "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": "This paper reviews the asymptotic expansion approach based on Malliavin-Watanabe Calculus in Mathematical Finance. We give the basic formulation of the asymptotic expansion approach and discuss its power and usefulness to solve important problems arised in nance. As illustrations we use three major problems in nance and give some useful formulae and new results including numerical analyses.", "subitem_description_type": "Abstract"}]}, "item_8_description_6": {"attribute_name": "内容記述", "attribute_value_mlt": [{"subitem_description": "S. Watanabe eds.. Stochastic Processes and Applications to Mathematical Finance. World Scientific, 2004, p. 195-232. 所収予定.", "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_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/2003/2003cf245ab.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": "AA11450569", "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_34": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"subitem_text_value": "Discussion Paper"}]}, "item_8_text_4": {"attribute_name": "著者所属", "attribute_value_mlt": [{"subitem_text_value": "University of Tokyo"}]}, "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": "Kunitomo, Naoto"}], "nameIdentifiers": [{"nameIdentifier": "98389", "nameIdentifierScheme": "WEKO"}]}, {"creatorNames": [{"creatorName": "Takahashi, Akihiko"}], "nameIdentifiers": [{"nameIdentifier": "98390", "nameIdentifierScheme": "WEKO"}]}]}, "item_keyword": {"attribute_name": "キーワード", "attribute_value_mlt": [{"subitem_subject": "Mathematical Finance", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Asymptotic Expansion", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Malliavin-Watanabe Calculus", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Optimal Portfolio Insurance", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Term Structure of Interest Rates", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Monte Carlo Method", "subitem_subject_scheme": "Other"}]}, "item_language": {"attribute_name": "言語", "attribute_value_mlt": [{"subitem_language": "eng"}]}, "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": "Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems", "item_titles": {"attribute_name": "タイトル", "attribute_value_mlt": [{"subitem_title": "Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems"}]}, "item_type_id": "8", "owner": "1", "path": ["7436", "7434"], "permalink_uri": "http://hdl.handle.net/2261/2521", "pubdate": {"attribute_name": "公開日", "attribute_value": "2017-01-17"}, "publish_date": "2017-01-17", "publish_status": "0", "recid": "42789", "relation": {}, "relation_version_is_last": true, "title": ["Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems"], "weko_shared_id": null}
Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems
http://hdl.handle.net/2261/2521
http://hdl.handle.net/2261/2521e8a3cf17-299e-49ae-8723-3326ae7aa488
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Mathematical Finance | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Asymptotic Expansion | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Malliavin-Watanabe Calculus | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Optimal Portfolio Insurance | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Term Structure of Interest Rates | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Monte Carlo Method | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Kunitomo, Naoto
× Kunitomo, Naoto× Takahashi, Akihiko |
|||||
著者所属 | ||||||
著者所属 | University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper reviews the asymptotic expansion approach based on Malliavin-Watanabe Calculus in Mathematical Finance. We give the basic formulation of the asymptotic expansion approach and discuss its power and usefulness to solve important problems arised in nance. As illustrations we use three major problems in nance and give some useful formulae and new results including numerical analyses. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | S. Watanabe eds.. Stochastic Processes and Applications to Mathematical Finance. World Scientific, 2004, p. 195-232. 所収予定. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 2003-CF-245, 発行日 2003-11 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 330 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf245ab.html |