山田 雄二(ヤマダ ユウジ)
- 論文
- 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 - Option valuation and hedging using multinomial lattices with cumulants
Yamada Yuji; Primbs James A.
Proceedings of the 2006 American Control Conference/1-12/pp.1278-1283, 2006-06 - Controlling Business Risks Using Weather Derivatives
Yuji Yamada
Proceedings of the 2006 American Control Conference/p.1260-1265, 2006-06 - Option valuation and hedging using multinomial lattices with cumulants
Yuji Yamada and James A. Primbs
Proceedings of the 2006 American Control Conference/p.1278-1283, 2006-06 - Properties of multinomial lattices with cumulants for option pricing and hedging
Y. Yamada; J.A. Primbs
Asia-Pacific Financial Markets/11(3)/p.335-365, 2006-03 - A Moment Computation Algorithm for the Error in Discrete Dynamic Hedging
J.A. Primbs; Y. Yamada
Journal of Banking and Finance/30(2)/p.519-540, 2006-02 - 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
統計数理/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 - さらに表示...
- 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)