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Team Member

Arturo KOHATSU-HIGA (Ritsumeikan University) Team Leader
Masayuki UCHIDA (Osaka University)

Research Theme

Mathematical structure of complex financial products and infinite dimensional analysis

Structure 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)
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