Sachmittel- u. Betreuungskostenzuschuss Forschungsstipendium Takashi Sato

My research field is mathematical finance. In particular, my work aims to construct a novel
discrete-time model to obtain equilibrium prices of financial securities with numerical calculation.
In the construction of this discrete-time model based on some existing works, a special type of
random walks turn out to be needed for technical reasons. For this I seek to develop new
mathematical and economic frameworks in order to deal with equilibrium pricing problems in
discrete time in my work. To accomplish this, existence of a representative agent, who reflects the
aggregate preference of all agents, plays a key role. After the construction of a discrete-time
model, I would evaluate my model from the perspective of numerical calculation.