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Ieda Lab
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The lab explores asset management methods using stochastic control and numerical computation.
AboutAbout the lab
Using stochastic control to think about how to invest.
The Ieda Lab researches how to invest in assets such as stocks and bonds, using control problems for stochastic differential equations.
Pension funds, insurance companies, and similar institutions make such investments to make their future payments more secure.
The investment models used in practice are complex, and obtaining answers almost always requires a computer, so the lab also focuses on research into numerical computation methods.
Example topics include continuous-time asset management strategies, numerical computation for stochastic control, and risk management of derivatives.
Key terms
- Stochastic differential equation
- An equation describing how a quantity that includes random fluctuations changes over time
- Numerical computation method
- A method of having a computer carry out calculations to find the answer to an equation as numerical values
- Derivative
- A financial product whose value is determined by the price movements of an underlying asset such as stocks or bonds
ResearchResearch themes
Pension funds, insurance companies, and similar institutions invest in assets such as stocks and bonds to make their future payments more secure. The lab studies these investment methods using control problems for stochastic differential equations, and also focuses on numerical computation methods for obtaining answers.
View More ↗MembersFaculty
- Associate ProfessorMasashi Ieda
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