２００８年度第３回「数理ファイナンスセミナー」を次のように開催します。
日時：１０月３０日（木）１３：３０－１６：００
会場：名古屋市立大学山の畑キャンパス３号館（経済学部棟）
１階大学院第１教室
第一講演（１３：３０－１４：３０）
講師：Young Lee (London School of Economics)
Title: The Minimal Entropy Martingale Measure for Marked Point Processes.
Abstract: We investigate the minimal entropy martingale easure for marked point processes. The conditions for absence of arbitrage and existence of the minimal entropy martingale measure are discussed. Under this measure, closed form expressions for the compensators are obtained. We also calculate the density process of the minimal entropy martingale
measure for this class of process.
第二講演（１４：４５－１５：４５）
講師：川西 泰裕 （一橋大学大学院国際企業戦略研究科助手）
タイトル：On the Marginal Measure Change Method under the Variance Gamma Model.
Abstract: We suggest a new method for derivatives valuations in an incomplete market consisting of a deterministic cash bond and a stock which price process is modeled as a geometric Variance Gamma (VG) process. This method, called Marginal Measure Change Method, is essentially based on the idea that we evaluate the derivatives as their average “perfect hedge” costs. Its formal outline is as follows.
First, we define the real-world probability measure as the product of the Wiener measure (denoted as R) and some probability measure (denoted as P) where the Gamma process is defined. Then we change just R into some measure (denoted as Q) such that some kind of martingale restriction is satisfied. Then we calculate the expectations of the discounted payoffs under the product measure of P and Q, and use them as the present values of the derivatives.
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連絡先：宮原研究室（E-mail y-miya(at)econ.nagoya-cu.ac.jp）
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