{"created":"2023-05-15T14:21:40.686582+00:00","id":3418,"links":{},"metadata":{"_buckets":{"deposit":"7b7332ef-d74f-4c94-aa11-0d6cd0fd9947"},"_deposit":{"created_by":3,"id":"3418","owners":[3],"pid":{"revision_id":0,"type":"depid","value":"3418"},"status":"published"},"_oai":{"id":"oai:bunkyo.repo.nii.ac.jp:00003418","sets":["1:26:197"]},"author_link":["4394"],"item_5_biblio_info_13":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"1992-01-01"},"bibliographicPageEnd":"57","bibliographicPageStart":"49","bibliographicVolumeNumber":"13","bibliographic_titles":[{"bibliographic_title":"情報研究"},{"bibliographic_title":"Information and Communication Studies"}]}]},"item_5_date_43":{"attribute_name":"作成日","attribute_value_mlt":[{"subitem_date_issued_datetime":"2012-01-17"}]},"item_5_description_12":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"Recent developments in the theory of stochastic differential equations, particularly the Ito calculus and the concept of martingales, have been applied successfully in financial economics. Two major areas of interest are the pricing of financial contingent claims and the optimal consumption-investment decisons. The pioneeriong work of the former was the pricing of simple options by Black & Scholes (1973), which has motivated the study of more general contingent-claims analysis, both theoretical and practical. The consumption-investment decison making in the explicit framewok of continuous-time and stochastic dynamics was originally given by Merton (1971). This article takes up the first topic, e.g., contingent-claims analysis in a rigorous manner.\n\\n　本稿では確率微分方程式の理論的成果を金融経済学(Financial Economics)の主要なトピックスのひとつである派生的証券(derivative securities),より一般的には条件付き請求権(contingent claims)の評価問題に応用する。この分野のパイオニア的な業績としてはBlack & Scholes(1973)による株式のオプション評価モデルがある。Merton(1971)が先鞭をつけたintertemporalな最適消費・投資問題も興味あるテーマであるが,ここでは取り上げない。\n　条件付き請求権および消費・投資に関する理論は,その後,Harrison & Kreps(1979), Harrison & Pliska(1981)などによって確率過程(特にマーチンゲール)の枠組みのなかで精緻化されてきた。リスクのある証券(株式など)を連続時間(continuous -time)でモデル化するために確率微分方程式を援用するところに特徴がある。","subitem_description_type":"Abstract"}]},"item_5_description_38":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_5_source_id_19":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"03893367"}]},"item_5_text_39":{"attribute_name":"本文言語","attribute_value_mlt":[{"subitem_text_value":"日本語"}]},"item_5_text_42":{"attribute_name":"ID","attribute_value_mlt":[{"subitem_text_value":"BKSJ130006"}]},"item_5_text_7":{"attribute_name":"Author","attribute_value_mlt":[{"subitem_text_value":"Kuribayashi, Satoshi"}]},"item_5_text_8":{"attribute_name":"所属機関","attribute_value_mlt":[{"subitem_text_value":"文教大学情報学部"}]},"item_5_text_9":{"attribute_name":"Institution","attribute_value_mlt":[{"subitem_text_value":"Bunkyo University Faculty of Information and Communications"}]},"item_5_version_type_35":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"栗林, 訓"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2018-03-24"}],"displaytype":"detail","filename":"BKSJ130006.pdf","filesize":[{"value":"470.3 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"BKSJ130006.pdf","url":"https://bunkyo.repo.nii.ac.jp/record/3418/files/BKSJ130006.pdf"},"version_id":"cf28073d-c3dc-4996-80fc-5c16352de713"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"確率過程と金融経済学","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"確率過程と金融経済学"},{"subitem_title":"Stochastic Financial Economics"}]},"item_type_id":"5","owner":"3","path":["197"],"pubdate":{"attribute_name":"公開日","attribute_value":"2012-01-17"},"publish_date":"2012-01-17","publish_status":"0","recid":"3418","relation_version_is_last":true,"title":["確率過程と金融経済学"],"weko_creator_id":"3","weko_shared_id":-1},"updated":"2023-05-16T14:26:02.561199+00:00"}