An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process

We investigate the valuation and hedging of catastrophe options, whose claim arrival process is modeled by the Cox process or a doubly stochastic Poisson process. Employing the non-arbitrage principle we obtain closed form formula for the pricing of the option. Various hedging parameters are also computed.catastrophe options, Cox process, pricing

A note on the optimal portfolio problem in discrete processes

summary:We deal with the optimal portfolio problem in discrete-time setting. Employing the discrete Itô formula, which is developed by Fujita, we establish the discrete Hamilton–Jacobi–Bellman (d-HJB) equation for the value function. Simple examples of the d-HJB equation are also discussed

Note on the Measures of Dependence in Terms of Copulas

AbstractThe dependence structure among each risk factors has been an important topic for researches both from theoretical and applied standpoints. To measure such dependence, several characteristic quantities have been already introduced and widely employed, which include, for instance, the population version of Kendall's tau (τ) and/or Spearman's rho (ρ). Copulas, on the other hand, are well known tools for understanding the dependence relation among random variables, and the above τ and ρ are expressed in terms of copulas. In this note, we generalize these expressions. We also compute the extended formula for the Archimedean copulas as well as its generalized copulas, and pursue the possibility of its applications

On an Extension of Value at Risk and Its Applications

application/pdfIn the quantitative risk management, the estimation of risks plays an important step,and for this purpose, various kind of risk measures have been introduced so far. Value at Risk (VaR), which is defined normally on single random variable, is one of well employed risk measures. In this report, a new definition of copula-based conditional Value at Risk (CCVaR) is introduced, which is defined on multivariate random variables with copulas and real-valued. It is recognized that copula functions provide flexible tools to model possible nonlinear relations among several risk factors; the combination of VaR and copula gives a natural procedure to estimate risk of multivariate risk factors in a sense. We show several properties of this new copula-based risk measure. Empirical studies are also implemented, which verifies the usefulness of our CCVaR. Main contents of the present article are a summary of the part of the thesis by Andres Mauricio Molina Barreto (2020).departmental bulletin pape

Poster Session

International Symposium on Tumor Biology in Kanazawa & Symposium on Drug Discoverry in Academics 2014 [DATE]: January 23(Thu)-24(Fri),2014, [Place]:Kanazawa Excel Hotel Tpkyu, Kanazawa, Japan, [Organizers]:Kanazawa Association of Tumor Biologists / Cancer Research Institute, Kanazawa Universit