Team OISHI
Team KOKUBU
Team KOHATSU-HIGA
Team SHIBATA
Team SUZUKI
Team KOHATSU-HIGA
Team Member
Arturo KOHATSU-HIGA | (Ritsumeikan University) Team Leader |
Masayuki UCHIDA | (Osaka University) |
Research Theme
Mathematical structure of complex financial products and infinite dimensional analysisStructure products are complex financial derivatives whose liquidity has increased in recent years. They have been blamed as part of the current financial crisis. The goal of this project is to provide a sound mathematical framework for these products using infinite dimensional methods. Furthermore we aim to use projection/dimension reduction approaches in order to provide effective valuation and hedging methods as well as risk control methods for these products.
![Structure Product (example) : First to Default (FtD)](zu.gif)