{"created":"2023-05-15T14:41:39.316643+00:00","id":1603,"links":{},"metadata":{"_buckets":{"deposit":"6659e608-f1a0-408f-b066-b3e56c0b63a0"},"_deposit":{"created_by":3,"id":"1603","owners":[3],"pid":{"revision_id":0,"type":"depid","value":"1603"},"status":"published"},"_oai":{"id":"oai:ksu.repo.nii.ac.jp:00001603","sets":["14:13:63"]},"author_link":["20599"],"control_number":"1603","item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-03","bibliographicIssueDateType":"Issued"},"bibliographicPageEnd":"27","bibliographicPageStart":"17","bibliographicVolumeNumber":"38","bibliographic_titles":[{"bibliographic_title":"京都産業大学論集. 自然科学系列"}]}]},"item_10002_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"Föllmer and Leukert ([2, 3]) investigated the quantile hedging problem and the shortfall risk hedging problem for options of stocks. In the first part of this paper, the quantile hedging problems for options of bonds and for caplets are formulated. We derive a formula of the success probability for Ho-Lee bond model with the market price of risk γ which is equal to σt + c where σ is the volatility and c is a constant. Furthermore a lower bound of the success probability is calculated for caplets with the market price of risk γ which is equal to σt + c.\n　In the second part of this paper the shortfall risk problems for options of bonds and for caplets are formulated. We give a formula of the minimal expected shortfall for Ho-Lee bond model with the constant market price of risk.","subitem_description_type":"Abstract"}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"京都産業大学"}]},"item_10002_source_id_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11923897","subitem_source_identifier_type":"NCID"}]},"item_10002_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"1348-3323","subitem_source_identifier_type":"PISSN"}]},"item_10002_version_type_20":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"辻井, 芳樹","creatorNameLang":"ja"},{"creatorName":"TSUJII, Yoshiki","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2017-09-30"}],"displaytype":"detail","filename":"AHSUSK_NSS_38_17.pdf","filesize":[{"value":"84.5 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"AHSUSK_NSS_38_17.pdf","url":"https://ksu.repo.nii.ac.jp/record/1603/files/AHSUSK_NSS_38_17.pdf"},"version_id":"7556bad4-b397-4f7a-848e-baa756304eb9"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"クォンタイル・ヘッジ，期待不足額の最小化，債権オプション，キャップレット，Ho-Lee債権モデル","subitem_subject_scheme":"Other"},{"subitem_subject":"quantile hedging","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"minimizing the expected shortfall","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"bond options","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"caplets","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Ho-Lee bond model","subitem_subject_language":"en","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"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":"債権オプションに対するクォンタイル・ヘッジおよび期待不足額の最小化","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"債権オプションに対するクォンタイル・ヘッジおよび期待不足額の最小化","subitem_title_language":"ja"},{"subitem_title":"Quantile hedging and minimizing the expected shortfall for bond options","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"3","path":["63"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2017-09-30"},"publish_date":"2017-09-30","publish_status":"0","recid":"1603","relation_version_is_last":true,"title":["債権オプションに対するクォンタイル・ヘッジおよび期待不足額の最小化"],"weko_creator_id":"3","weko_shared_id":-1},"updated":"2023-08-22T00:11:57.042973+00:00"}