Yamada Yuji
- Articles
- A moment computation algorithm for the error in discrete dynamic hedging
Primbs JA; Yamada Y
JOURNAL OF BANKING & FINANCE/30(2)/pp.519-540, 2006-02 - トレンド予測に基づく天候デリバティブの価格付けと事業リスクヘッジ (特集 統計科学とリスク解析)
山田 雄二; 飯田 愛実; 椿広計
Proceedings of the Institute of Statistical Mathematics/54(1)/pp.57-78, 2006-01 - Effect of higher order moments on hedging loss VaR and CVaR
Yuji Yamada; James A. Primbs
Proceedings of Financial Engineering Applications/p.21-26, 2004-11 - Analysis Tools and Techniques for Dynamic Hedging under Transaction Costs
James A. Primbs; Yuji Yamada
Proceedings of Financial Engineering Applications/p.154—159, 2004-11 - Mean Square Optimal Hedges Using Higher Order Moments
Yuji Yamada; James A. Primbs
Proceedings of the 2003 International Conference on Computational Intelligence for Financial Engineering, 2003-03 - A Moment based Analysis of Hedging under Discrete Trading
James A. Primbs; Yuji Yamada
Proceedings of the 2003 International Conference on Computational Intelligence for Financial Engineering, 2003-03 - Distribution based Options Pricing on Lattice Asset Dynamics Models,” International Journal of Theoretical and Applied Finance
Y. Yamada; J.A. Primbs
International Journal of Theoretical and Applied Finance/5(6)/p.599-618, 2002-06 - Value-at-Risk (VaR) Estimation for Dynamic Hedging
Y. Yamada; J.A. Primbs
International Journal of Theoretical and Applied Finance/5(4)/p.333-354, 2002-04 - 行列積固有値問題(MPEP)大域最適化の計算量解析
山田; 原; +山田 雄二
計測自動制御学会論文集/37(6)/p.541-548, 2001-06 - Construction of Multinomial Lattice on Optimal Hedging
Yuji Yamada; James A. Primbs
Proceedings of the International Conference on Computational Science/p.579—588, 2001-01 - Risk Estimates for Dynamic Hedging Using Convex Probability Bounds
Yuji Yamada; James A. Primbs
Proceedings of the 2001 American Control Conference, 2001-01 - Global Optimization for Robust Control Synthesis based on the Matrix Product Eigenvalue Problem
Y. Yamada; S. Hara
International Journal of Robust and Nonlinear Control/11/p.857-878, 2001-01 - Distribution based Options Pricing on Lattice Asset Dynamics Models
Yuji Yamada; James A. Primbs
Proceedings of the 2000 American Control Conference, 2000-01 - 定数スケールドH-infinity問題の計算量解析: ブロック対角ケース
山田; 原; +山田 雄二
計測自動制御学会論文集/35(4)/p.506-514, 1999-04 - Global Optimization for H-infinity Control with Constant Diagonal scaling
Y. Yamada; S. Hara
IEEE Transactions on Automatic Control/43(2)/p.191-203, 1998-02 - Matrix-Based Bounding vs. Element-Wise Bounding for the MPEP Global Optimization
Y. Yamada; S. Hara
Proceedings of the IEEE Conference on Decision and Control/p.3861—3866, 1998-01 - Epsilon-Feasibility for H-infinity Control Problem with Constant Diagonal Scaling
Y. Yamada; S. Hara; and H. Fujioka
SICE Transactions/33(3)/p.155-162, 1997-03 - An LMI Approach to Local Optimization for Constantly Scaled H-infinity Control Problems
Y. Yamada; S. Hara
International Journal of Control/67(2)/p.233-250, 1997-02 - The Matrix Product Eigenvalue Problem: Global optimization for the spectral radius of a matrix product under convex constraints
Y. Yamada; S. Hara
Proceedings of the IEEE Conference on Decision and Control/p.4926—4931, 1997-01 - Global Optimization for H-infinity Control with Block-diagonal Constant Scaling
Y. Yamada; S. Hara
Proceedings of the IEEE Conference on Decision and Control/p.1325—1330, 1996-01 - Global Optimization for Constantly Scaled H-infinity Control Problem
Y. Yamada; S. Hara; and H. Fujioka
Proceedings of the American Control Conference/p.427—430, 1995-01
- A moment computation algorithm for the error in discrete dynamic hedging