山田 雄二(ヤマダ ユウジ)
- 論文
- Model Predictive Control for Optimal Portfolios with Cointegrated Pairs of Stocks
Yamada Yuji; J.A. Primbs
Proceedings of the 2012 IEEE Conference on Decision and Control/vol. 51/pp.5705-5710, 2012-12 - A Model Predictive Control Approach for Portfolio Optimization with Cointegrated Pairs of Stocks
山田 雄二
JAFEE夏季大会予稿集/pp.85-96, 2012-08 - Optimal Hedging of Basket Options Using Smooth Payoff Functions Comparison with Super-Hedging Strategy
山田 雄二
Proceedings of the 2012 American Control Conference/vol. 30/pp.3699-3704, 2012-06 - Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives
Yamada Yuji
Asia-Pacific Financial Markets/vol. 19(no. 2)/pp.149-179, 2012-05 - Optimal Trading with Cointegrated Pairs of Stocks
Yamada Yuji; J.A. Primbs
RECENT ADVANCES IN FINANCIAL ENGINEERING/vol. 4/pp. 183-201, 2012-03 - Idiosyncratic共変動パズル：市場ユニバースにおける 歪みや尖りとリスクプレミアムの関係分析
山田 雄二
JAFEE冬季大会予稿集/pp.71-82, 2012-01 - Model Predictive Control for Optimal Portfolios with Cointegrated Pairs of Stocks
Yuji Yamada; James A. Primbs
2012 IEEE Conference on Decision and Control, 2012-01 - Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives
Yuji Yamada
Asia-Pacific Financial Markets/19(2)/p.149-179, 2012-01 - 共和分性に基づく最適ペアトレード
山田雄二; J.A. Primbs
ジャフィージャーナル/第11/p.125-152, 2012-01 - 2-D-3 多変量GARCHモデルによるJCCスワップ価格の動的ヘッジ(価格付け)
平山 裕康; 山田 雄二
日本オペレーションズ・リサーチ学会春季研究発表会アブストラクト集/2011(27)/pp.190-191, 2011-03 - Optimal Hedging for Multivariate Derivatives Based on Additive Models
Yamada Yuji
Proceedings of the 2011 American Control Conference/pp.3856-3861, 2011-01 - Optimal Hedging with Additive Models
Yuji Yamada
RECENT ADVANCES IN FINANCIAL ENGINEERING/3, 2011-01 - エネルギー価格変動リスクとデリバティブ
山田 雄二
エネルギーレビュー/357, 2010-01 - 金融派生証券理論と制御
山田 雄二
SICEセミナー「実践的な制御理論」テキスト/p.27-42, 2009-01 - Mean square optimal hedging with non-uniform rebalancing intervals
K. Sato; Y. Yamada; and H. Fujioka
The SICE Journal of Control, Measurement, and System Integration/2(1)/p.32-35, 2009-01 - Optimal hedging of prediction errors using prediction errors
Yuji Yamada
Asia-Pacific Financial Markets/15(1)/p.67-95, 2008-07 - Simultaneous optimization for wind derivatives based on prediction errors
Yuji Yamada
Proceedings of the 2008 American Control Conference, 2008-06 - A New Computational Tool for Analyzing Dynamic Hedging under Transaction Costs
J. Primbs; Y. Yamada
Quantitative Finance/8(4)/p.403-413, 2008-06 - 新エネルギー発電電力取引とリスクヘッジ(<特集>資源・エネルギーと環境問題への多面的アプローチ)
山田 雄二
オペレーションズ・リサーチ : 経営の科学/53(4)/pp.217-223, 2008-04 - 風速予測誤差に基づく風力デリバティブの最適化設計
山田 雄二
ジャフィー・ジャーナル/7/p.152-181, 2008-03 - A new computational tool for analysing dynamic hedging under transaction costs
Primbs James A.; Yamada Yuji
QUANTITATIVE FINANCE/8(4)/pp.405-413, 2008-01 - Valuation and Hedging of Weather Derivatives on Monthly Average Temperature
Yuji Yamada
Journal of Risk/10(Fall issue), 2007-09 - 金融工学と制御
山田 雄二
計測と制御 = Journal of the Society of Instrument and Control Engineers/46(3)/pp.185-191, 2007-03 - Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
J.A. Primbs; M. Rathinam; and Y. Yamada; +山田 雄二
Applied Math Finance/14(1)/p.1-17, 2007-01 - An Efficient Calibration Method for the Multi-Factor LIBOR Market Model and its Applications to the Japanese Market
H. Tanimura; Y. Yamada
International Journal of Theoretical and Applied Finance/9(7)/p.1123-1139, 2006-07 - さらに表示...
- Model Predictive Control for Optimal Portfolios with Cointegrated Pairs of Stocks