Yamada Yuji 山田雄二

… Alternative Names

YAMADA Yuji 山田雄二

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Researcher Number	50344859
Other IDs	https://orcid.org/0000-0003-2437-777X
External Links
Affiliation (Current)	2025: 筑波大学, ビジネスサイエンス系, 教授
Affiliation (based on the past Project Information) *help	2014 – 2024: 筑波大学, ビジネスサイエンス系, 教授 2016: 筑波大学, ビジネス科学研究科(系), 教授 2013: 筑波大学, ビジネスサイエンス系, 教授 2011 – 2012: 筑波大学, ビジネスサイエンス系, 准教授 2007 – 2010: University of Tsukuba, 大学院・ビジネス科学研究科, 准教授 … More 2007: University of Tsukuba, School of Business Sciences, Associate Professor 2006: 筑波大学, 大学院ビジネス科学研究科, 助教授 2004 – 2006: 筑波大学, 大学院・ビジネス科学研究科, 助教授 2004: 筑波大学, ビジネス科学研究科, 助教授 2003: 筑波大学, 社会工学系, 助教授 Less
Review Section/Research Field	Principal Investigator Social systems engineering/Safety system / Medium-sized Section 25:Social systems engineering, safety engineering, disaster prevention engineering, and related fields / Social systems engineering/Safety system Except Principal Investigator Intelligent informatics / Civil law
Keywords	Principal Investigator ファイナンス / シミュレーション / 実証 / 電力市場 / エネルギー / デリバティブ / 統合リスク管理 / 最適ヘッジ / ポートフォリオ最適化 / 加法モデル … More / 実証分析 / 天候デリバティブ / 市場取引 / 気象予測誤差 / 市場模擬実験 / 市場シミュレーション / 市場取引実験 / 模擬実験システム / 市場リスク / ポートフォリオ / 事業リスク管理 / 派生証券 / 動的ヘッジ / リスク管理 / Mertonモデル / バスケットオプション / 価格付け・ヘッジ / 環境データ / 天候 / リスクの市場価格 / 最小分散ヘッジ / 非流動性資産 / ノックアウトオプション / アメリカオプション / ジャンプ過程 / 二乗平均誤差ヘッジ / 動的計画法 / 最小二乗最適ヘッジ / 高次モーメント / 多次元オプションヘッジ / 多格子モデル / 取引コスト / ヘッジポートフォリオ / バリューアットリスク … More Except Principal Investigator Data visualization / Strategy planning / Sense of space sharing / Innovation / Communication / Scenario map systems / Organizational chance discovery / 環境の地図表現 / アノテーション支援技術 / シナリオ・マップ / デザイン支援 / マーケティング / 組織的意思決定 / シナリオマップ / データマイニング / 織的意思決定 / 創造支援 / 合意形成 / チャンス発見 / データ可視化 / 戦略立案 / 空間の共有感 / イノベーション / コミュニケーション / シナリオマップ・システム / 組織的チャンス発見 / 無議決権株 / 議決権プレミアム / 株式の分割 / 株式の併合 / 取得請求権付株式 / 取得条項付株式 / 議決権制限株式 / 拒否権付株式 / 株式の評価 Less

Construction of risk management system to support renewable energy P2P transactionsPrincipal Investigator
- Principal Investigator
  
  山田雄二
- Project Period (FY)
  2020 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 25:Social systems engineering, safety engineering, disaster prevention engineering, and related fields
- Research Institution
  University of Tsukuba
Risk management system for losses caused by trading electricity in whole sale market using weather derivativesPrincipal Investigator
- Principal Investigator
  
  山田雄二
- Project Period (FY)
  2019 – 2024
- Research Category
  
  Grant-in-Aid for Challenging Research (Exploratory)
- Review Section
  
  Medium-sized Section 25:Social systems engineering, safety engineering, disaster prevention engineering, and related fields
- Research Institution
  University of Tsukuba
Constructions of demand-prediction based strategy and real-time experimental system to accelerate electricity marketPrincipal Investigator
- Principal Investigator
  
  Yamada Yuji
- Project Period (FY)
  2016 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
Construction of management systems for energy portfolios and market risksPrincipal Investigator
- Principal Investigator
  
  Yamada Yuji
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
Dynamic hedging of multi-objective basket options and its application to portfolio diversification and managementPrincipal Investigator
- Principal Investigator
  
  YAMADA Yuji
- Project Period (FY)
  2010 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
Pricing and Hedging of Illiquid Asset DerivativesPrincipal Investigator
- Principal Investigator
  
  YAMADA Yuji
- Project Period (FY)
  2007 – 2009
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
種類株式の評価および会計処理
- Principal Investigator
  
  弥永真生
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Exploratory Research
- Research Field
  
  Civil law
- Research Institution
  University of Tsukuba
Scenario Map Systems for Aiding Organizational Chance Discovery
- Principal Investigator
  
  OHSAWA Yukio
- Project Period (FY)
  2004 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Intelligent informatics
- Research Institution
  The University of Tokyo
  University of Tsukuba
多期間設定における多次元ポートフォリオのバリューアットリスク最適化Principal Investigator
- Principal Investigator
  
  山田雄二
- Project Period (FY)
  2003 – 2004
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba

[Book] Forecasting and Risk Management Techniques for Electricity Markets2022
- Author(s)
  Yuji Yamada , Ed.
- Total Pages
  212
- Publisher
  MDPI Books
- ISBN
  9783036551838
- Data Source
  KAKENHI-PROJECT-19K22024
[Book] Forecasting and Risk Management Techniques for Electricity Markets2022
- Author(s)
  Yuji Yamada , Ed.
- Total Pages
  212
- Publisher
  MDPI Books
- ISBN
  9783036551838
- Data Source
  KAKENHI-PROJECT-20H00285
[Book] ジャフィージャーナル｢実証ファイナンスとクオンツ運用｣2013
- Author(s)
  津田博史，中妻照雄，山田雄二　編集
- Total Pages
  240
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-22510138
[Book] ジャフィージャーナル「実証ファイナンスとクオンツ運用」2013
- Author(s)
  津田博史,中妻照雄, 山田雄二編集
- Total Pages
  240
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-22510138
[Book] ジャフィージャーナル「市場構造分析と新たな資産運用」2012
- Author(s)
  津田博史,中妻照雄, 山田雄二編集
- Total Pages
  212
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-22510138
[Book] "エネルギー事業リスクとデリバティブ," 経済時系列分析ハンドブック2012
- Author(s)
  山田雄二,刈屋・前川・矢島・福地・川崎編
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-22510138
[Book] バリュエーション2011
- Author(s)
  津田博史,中妻照雄, 山田雄二編
- Total Pages
  230
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-22510138
[Book] バリュエーション2011
- Author(s)
  津田博史,中妻照雄,山田雄二編
- Total Pages
  230
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-22510138
[Book] 定量的信用リスク評価とその応用(ジャフィー・ジャーナル:金融工学と市場計量分析)2010
- Author(s)
  津田, 中妻, 山田編
- Total Pages
  227
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-19510138
[Book] 定量的信用リスク評価とその応用2010
- Author(s)
  津田博史,中妻照雄,山田雄二編
- Total Pages
  227
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-22510138
[Book] 定量的信用リスク評価とその応用 (ジャフィー・ジャーナル : 金融工学と市場計量分析)2010
- Author(s)
  津田, 中妻, 山田, 編
- Total Pages
  227
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-19510138
[Book] ベイズ統計学とファイナンス (ジャフィー・ジャーナル : 金融工学と市場計量分析)2010
- Author(s)
  津田, 中妻, 山田, 編
- Total Pages
  242
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-19510138
[Book] 定量的信用リスク評価とその応用2010
- Author(s)
  津田博史, 中妻照雄, 山田雄二編
- Total Pages
  227
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-22510138
[Book] シリーズビジネスの数理第6巻「計算で学ぶファイナンス-MATLABによる実装-」2008
- Author(s)
  山田雄二, 牧本直樹
- Total Pages
  200
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-16200006
[Book] 計算で学ぶファイナンス-MATLABによる実装-2008
- Author(s)
  山田雄二・牧本直樹
- Total Pages
  168
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-19510138
[Book] 非流動性資産の価格付けとリアルオプションージャフィージャーナル:金融工学と市場計量分析2008
- Author(s)
  津田博史・中妻照雄・山田雄二編
- Total Pages
  266
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-19510138
[Book] 計算で学ぶファイナンス―MATLABによる実装―2008
- Author(s)
  山田, 牧本
- Total Pages
  168
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-19510138
[Book] 非流動性資産の価格付けとリアルオプション (ジャフィー・ジャーナル : 金融工学と市場計量分析)2008
- Author(s)
  津田, 中妻, 山田, 編
- Total Pages
  266
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-19510138
[Book] チャンスとリスクのマネジメント2006
- Author(s)
  大澤, 徐, 山田
- Total Pages
  207
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-16200006
[Book] 金融工学事典("最適制御","動的計画法","自由境界問題"の章担当.)2005
- Author(s)
  山田雄二
- Publisher
  (印刷中)
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] Principal Component Quanto Derivatives for Enhanced Solar Power Hedging2024
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  日本金融・証券計量・工学学会 2023年度冬季大会予稿集
  
  Volume: － Pages: 1-12
- Data Source
  KAKENHI-PROJECT-19K22024
[Journal Article] Efficient Risk Management for Distributed Clean Energy: Principal Component based Weather Derivatives2024
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  Proceedings of 2024 14th International Conference on Future Environment and Energy (ICFEE 2024)
  
  Volume: －
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024
[Journal Article] Principal Component Quanto Derivatives for Enhanced Solar Power Hedging2024
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  日本金融・証券計量・工学学会 2023年度冬季大会予稿集
  
  Volume: － Pages: 1-12
- Data Source
  KAKENHI-PROJECT-20H00285
[Journal Article] Efficient Risk Management for Distributed Clean Energy: Principal Component based Weather Derivatives2024
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  Proceedings of 2024 14th International Conference on Future Environment and Energy (ICFEE 2024)
  
  Volume: －
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-20H00285
[Journal Article] Improving the Efficiency of Hedge Trading Using Higher-Order Standardized Weather Derivatives for Wind Power2023
- Author(s)
  Matsumoto Takuji、Yamada Yuji
- Journal Title
  
  Energies
  
  Volume: 16 Issue: 7 Pages: 1-22
- DOI
  10.3390/en16073112
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-21K14374, KAKENHI-PROJECT-20H00285
[Journal Article] Multivariate Weather Derivatives for Wind Power Risk Management: Standardization Scheme and Trading Strategy2023
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  Environmental Science and Engineering
  
  Volume: － Pages: 269-280
- DOI
  10.1007/978-3-031-43559-1_26
- ISBN
  9783031435584, 9783031435591
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-21K14374, KAKENHI-PROJECT-20H00285
[Journal Article] Construction of Mixed Derivatives Strategy for Wind Power Producers2023
- Author(s)
  Yamada Yuji、Matsumoto Takuji
- Journal Title
  
  Energies
  
  Volume: 16 Issue: 9 Pages: 1-26
- DOI
  10.3390/en16093809
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-21K14374, KAKENHI-PROJECT-20H00285
[Journal Article] Multivariate Weather Derivatives for Wind Power Risk Management: Standardization Scheme and Trading Strategy2023
- Author(s)
  Matsumoto Takuji、Yamada Yuji
- Journal Title
  
  Proceedings of the 9th International Conference on Energy and Environment Research: Greening Energy to Shape a Sustainable Future (Springer Book Series Environmental Science and Engineering)
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K22024
[Journal Article] The evolution of capital structure and debt governance: Evidence from private equity-backed companies in Japan2023
- Author(s)
  Iioka Yasutake、Yamada Yuji
- Journal Title
  
  Pacific-Basin Finance Journal
  
  Volume: 79 Pages: 1-20
- DOI
  10.1016/j.pacfin.2023.102017
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-20H00285
[Journal Article] スウィングクオントオプションの価格付けとヘッジ2023
- Author(s)
  山田雄二、松本拓史
- Journal Title
  
  日本金融・証券計量・工学学会 2023年度夏季大会予稿集
  
  Volume: － Pages: 1-12
- Data Source
  KAKENHI-PROJECT-19K22024
[Journal Article] Pricing Multi-Asset Bermudan Commodity Options with Stochastic Volatility Using Neural Networks2023
- Author(s)
  Hoshisashi Kentaro、Yamada Yuji
- Journal Title
  
  Journal of Risk and Financial Management
  
  Volume: 16 Issue: 3 Pages: 1-24
- DOI
  10.3390/jrfm16030192
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-20H00285
[Journal Article] スウィングクオントオプションの価格付けとヘッジ2023
- Author(s)
  山田雄二、松本拓史
- Journal Title
  
  日本金融・証券計量・工学学会 2023年度夏季大会予稿集
  
  Volume: － Pages: 1-12
- Data Source
  KAKENHI-PROJECT-20H00285
[Journal Article] Multivariate Weather Derivatives for Wind Power Risk Management: Standardization Scheme and Trading Strategy2023
- Author(s)
  Matsumoto Takuji、Yamada Yuji
- Journal Title
  
  Proceedings of the 9th International Conference on Energy and Environment Research: Greening Energy to Shape a Sustainable Future (Springer Book Series Environmental Science and Engineering)
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20H00285
[Journal Article] Continuous Hedging Strategy for Power Market Using Financial Instruments on Electricity Price and Weather2022
- Author(s)
  Yamada Yuji、Matsumoto Takuji
- Journal Title
  
  Extended Abstracts of the 25th International Symposium on Mathematical Theory of Networks and Systems MTNS 2022
  
  Volume: － Pages: 171-174
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024
[Journal Article] Effectiveness and Feasibility of Market Makers for P2P Electricity Trading2022
- Author(s)
  Kuno Shinji、Tanaka Kenji、Yamada Yuji
- Journal Title
  
  Energies
  
  Volume: 15 Issue: 21 Pages: 1-24
- DOI
  10.3390/en14217418
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-20H00285
[Journal Article] Standardized Multivariate Weather Derivatives for Hedging Risk in Wind Power Generation Businesses2022
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  日本金融・証券計量・工学学会 2022年度夏季大会予稿集
  
  Volume: － Pages: 1-12
- Data Source
  KAKENHI-PROJECT-20H00285
[Journal Article] Standardized Multivariate Weather Derivatives for Hedging Risk in Wind Power Generation Businesses2022
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  日本金融・証券計量・工学学会 2022年度夏季大会予稿集
  
  Volume: － Pages: 1-12
- Data Source
  KAKENHI-PROJECT-19K22024
[Journal Article] Continuous Hedging Strategy for Power Market Using Financial Instruments on Electricity Price and Weather2022
- Author(s)
  Yamada Yuji、Matsumoto Takuji
- Journal Title
  
  Extended Abstracts of the 25th International Symposium on Mathematical Theory of Networks and Systems MTNS 2022
  
  Volume: － Pages: 171-174
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-20H00285
[Journal Article] Pricing electricity day-ahead cap futures with multifactor skew-t densities2022
- Author(s)
  Matsumoto Takuji、Bunn Derek、Yamada Yuji
- Journal Title
  
  Quantitative Finance
  
  Volume: 22 Issue: 5 Pages: 835-860
- DOI
  10.1080/14697688.2021.1984553
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-21K14374, KAKENHI-PROJECT-20H00285
[Journal Article] 3次元テンソル積スプライン関数を用いた太陽光発電出力の予測手法2021
- Author(s)
  松本拓史, 山田雄二
- Journal Title
  
  日本オペレーションズ・リサーチ学会 2021年春季研究発表会アブストラクト集
  
  Volume: － Pages: 1-2
- Data Source
  KAKENHI-PROJECT-20H00285
[Journal Article] Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets2021
- Author(s)
  Yamada Yuji、Matsumoto Takuji
- Journal Title
  
  Energies
  
  Volume: 14 Issue: 21 Pages: 1-28
- DOI
  10.3390/en14217311
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-21K14374, KAKENHI-PROJECT-20H00285
[Journal Article] Customization of Non-Parametric Hedging Models using Standardized Weather Derivatives: Ensuring Robustness by Cyclic Cubic Splines2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  日本金融・証券計量・工学学会 2021年度夏季大会予稿集
  
  Volume: － Pages: 1-12
- Data Source
  KAKENHI-PROJECT-19K22024
[Journal Article] Customized yet Standardized Temperature Derivatives: A Non-Parametric Approach with Suitable Basis Selection for Ensuring Robustness2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  Energies
  
  Volume: 14 Issue: 11 Pages: 1-24
- DOI
  10.3390/en14113351
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-21K14374, KAKENHI-PROJECT-20H00285
[Journal Article] Mitigation of the Inefficiency in Imbalance Settlement Designs using Day-Ahead Prices2021
- Author(s)
  Takuji Matsumoto, Derek W Bunn, Yuji Yamada
- Journal Title
  
  IEEE Transactions on Power Systems
  
  Volume: － Issue: 5 Pages: 1-13
- DOI
  10.1109/tpwrs.2021.3135334
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-21K14374, KAKENHI-PROJECT-20H00285
[Journal Article] IConstruction of Forecast Model for Power Demand and PV Power Generation Using Tensor Product Spline Function2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  Proceedings of the 2021 3rd International Conference on Clean Energy and Electrical Systems (published as a volume of IOP Conference Series: Earth and Environmental Science (EES))
  
  Volume: ― Issue: 1 Pages: 1-8
- DOI
  10.1088/1755-1315/812/1/012001
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-20H00285, KAKENHI-PROJECT-21K14374
[Journal Article] Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  Energy Economics
  
  Volume: 95 Pages: 1-16
- DOI
  10.1016/j.eneco.2021.105101
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-20H00285
[Journal Article] Comprehensive and Comparative Analysis of GAM-Based PV Power Forecasting Models Using Multidimensional Tensor Product Splines against Machine Learning Techniques2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  Energies
  
  Volume: 14 Issue: 21 Pages: 1-22
- DOI
  10.3390/en14217146
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K22024, KAKENHI-PROJECT-21K14374, KAKENHI-PROJECT-20H00285
[Journal Article] Customization of Non-Parametric Hedging Models using Standardized Weather Derivatives: Ensuring Robustness by Cyclic Cubic Splines2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  日本金融・証券計量・工学学会 2021年度夏季大会予稿集
  
  Volume: － Pages: 1-12
- Data Source
  KAKENHI-PROJECT-20H00285
[Journal Article] 再生可能エネルギー電力取引のための気象予測誤差デリバティブ2020
- Author(s)
  山田雄二, 松本拓史
- Journal Title
  
  オペレーションズ・リサーチ
  
  Volume: 65-1 Pages: 12-19
- Open Access
- Data Source
  KAKENHI-PROJECT-19K22024
[Journal Article] 再生可能エネルギー電力取引のための気象予測誤差デリバティブ2020
- Author(s)
  山田雄二, 松本拓史
- Journal Title
  
  オペレーションズ・リサーチ
  
  Volume: 65-1 Pages: 12-19
- Open Access
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] 天気概況予報と天気別周期性トレンドに基づく太陽光発電事業者のための予測手法2019
- Author(s)
  松本拓史, 山田雄二
- Journal Title
  
  日本オペレーションズ・リサーチ学会論文誌
  
  Volume: 印刷中
- NAID
  130007778634
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] 傾向スコア・マッチング法を用いた買収による生産性改善効果の検証2019
- Author(s)
  村上暢子、山田雄二
- Journal Title
  
  JAFEE Journal
  
  Volume: 17 Issue: 0 Pages: 67-75
- DOI
  10.32212/jafee.17.0_67
- NAID
  130007634176
- ISSN
  2434-4702
- Language
  Japanese
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] Hedging strategies for solar power businesses in electricity market using weather derivatives2019
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  Proceedings of the 2019 IEEE 2nd International Conference on Renewable Energy and Power Engineering
  
  Volume: ― Pages: 1-5
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] Hedging strategies for solar power businesses in electricity market using weather derivatives2019
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Journal Title
  
  Proceedings of the 2019 IEEE 2nd International Conference on Renewable Energy and Power Engineering
  
  Volume: ― Pages: 1-5
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K22024
[Journal Article] 日本企業による買収の収益性改善効果に関する研究2018
- Author(s)
  村上暢子, 山田雄二
- Journal Title
  
  経営情報学会誌
  
  Volume: 27-3 Pages: 169-194
- NAID
  40021776740
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] Cross Hedging Using Prediction Error Weather Derivatives for Loss of Solar Output Prediction Errors in Electricity Market2018
- Author(s)
  Matsumoto Takuji、Yamada Yuji
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 2018-11 Issue: 2 Pages: 1-17
- DOI
  10.1007/s10690-018-9264-3
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] 風力発電におけるデリバティブモデル2017
- Author(s)
  山田雄二
- Journal Title
  
  スマートグリッド
  
  Volume: 4月号 Pages: 8-12
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] 風力発電におけるデリバティブモモデル2017
- Author(s)
  山田雄二
- Journal Title
  
  スマートグリッド
  
  Volume: 4月号 Pages: 8-12
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints2017
- Author(s)
  Yuji Yamada, James A. Primbs
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: Vol.25 Issue: 1 Pages: 1-21
- DOI
  10.1007/s10690-017-9236-z
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] Optimal Hedging of Basket Barrier Options with Additive Models and Its Application to Equity Value Separation Problem2017
- Author(s)
  Yuji Yamada
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 24 Issue: 1 Pages: 1-18
- DOI
  10.1007/s10690-016-9221-y
- NAID
  120007129190
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] 逐次推定・最適化に基づく生命保険負債の動的ヘッジ戦略2017
- Author(s)
  穴山裕司, 山田雄二
- Journal Title
  
  ジャフィー・ジャーナル
  
  Volume: 16
- NAID
  120007129148
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] Pairs trading under transaction costs using model predictive control2017
- Author(s)
  James A. Primbs, Yuji Yamada
- Journal Title
  
  Quantitative Finance
  
  Volume: Published online Issue: 6 Pages: 1-11
- DOI
  10.1080/14697688.2017.1374549
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] 媒介変数表現に基づくJEPXスポット電力供給・需要関数の推定2016
- Author(s)
  山田雄二, 牧本直樹, 高嶋隆太, 後藤順哉
- Journal Title
  
  ジャフィー・ジャーナル「ファイナンスにおける数値計算手法の新展開」
  
  Volume: 15 Pages: 64-93
- NAID
  120007129149
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Optimal Hedging of Path-Dependent Basket Options with Additive Models2015
- Author(s)
  Yamada, Yuji
- Journal Title
  
  Proceedings of the 54th IEEE Conference on Decision and Control
  
  Volume: 54 Pages: 1205-1210
- Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Nonparametric Approaches to Estimation Problems for Demand and Supply Functions in Power Exchange Markets2015
- Author(s)
  Yamada, Yuji
- Journal Title
  
  Proceedings of the 54th IEEE Conference on Decision and Control
  
  Volume: 54 Pages: 1781-1786
- Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] 一般化加法モデルを用いたJEPX時間帯価格予測と入札量: 価格関数の推定2015
- Author(s)
  山田雄二, 牧本直樹, 高嶋隆太
- Journal Title
  
  ジャフィー・ジャーナル「ファイナンスとデータ解析」
  
  Volume: 14
- NAID
  120007129150
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Application of the improved fast Gauss transform to option pricing under jump-diffusion processes2014
- Author(s)
  Takayuki Sakuma, Yuji Yamada
- Journal Title
  
  Journal of Computational Finance
  
  Volume: 18(2) Pages: 1-25
- NAID
  120007129163
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Application of the Improved Fast Gauss Transform to Option Pricing under Jump-diffusion Processes2014
- Author(s)
  T. Sakuma, Y. Yamada
- Journal Title
  
  Journal of Computational Finance
  
  Volume: 印刷中
- NAID
  120007129163
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] 非上場化を伴うMBO対象企業の特性分析2014
- Author(s)
  松田千恵子, 山田雄二
- Journal Title
  
  証券経済学会年報
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes2014
- Author(s)
  T. Sakuma, Y. Yamada
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 21/1 Issue: 1 Pages: 1-14
- DOI
  10.1007/s10690-013-9175-2
- NAID
  120007129167
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] I-共変動と個別資産超過リスクプレミアムの関係分析: Fama-French 3 ファクターモデルとの比較2014
- Author(s)
  山田雄二, 吉野貴晶, 斉藤哲朗
- Journal Title
  
  ジャフィー・ジャーナル「リスクマネジメント」
  
  Volume: 13 Pages: 10-41
- NAID
  120007129151
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] I-共変動と個別資産超過リスクプレミアムの関係分析: Fama-French 3 ファクターモデルとの比較2014
- Author(s)
  山田雄二, 吉野貴晶, 斉藤哲朗
- Journal Title
  
  JAFEEジャーナル
  
  Volume: 印刷中
- NAID
  120007129151
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Application of the Improved Fast Gauss Transform to Option Pricing under Jump-diffusion Processes2013
- Author(s)
  T. Sakuma and Y. Yamada
- Journal Title
  
  Journal of Computational Finance
  
  Volume: (in press)
- NAID
  120007129163
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] 市場ユニバースにおける新たなリスク指標2013
- Author(s)
  山田雄二, 吉野貴晶, 斉藤哲朗
- Journal Title
  
  JAFEEジャーナル
  
  Volume: 第12巻 Pages: 168-195
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Application of the Improved Fast Gauss Transform to Option Pricing under Jump-diffusion Processes2013
- Author(s)
  Takayuki Sakuma and Yuji Yamada
- Journal Title
  
  Journal of Computational Finance
  
  Volume: 未定
- NAID
  120007129163
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] I-共変動: 市場ユニバースにおける新たなリスク指標2013
- Author(s)
  山田雄二, 吉野貴晶, 斉藤哲朗
- Journal Title
  
  JAFEEジャーナル
  
  Volume: 12 Pages: 168-195
- NAID
  120007129152
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Optimal Trading with Cointegrated Pairs of Stocks2012
- Author(s)
  Yuji Yamada, James A.Primbs
- Journal Title
  
  RECENT ADVANCES IN FINANCIAL ENGINEERING 2011, World Scientific
  
  Volume: 4(採択済)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Optimal Hedging of Basket Options Using Smooth Payoff Functions: Comparison with Super-Hedging Strategy2012
- Author(s)
  Yuji Yamada
- Journal Title
  
  Proceedings of the 2012 American Control Conference
  
  Volume: 30 Pages: 3699-3704
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Model Predictive Control for Optimal Portfolios with Cointegrated Pairs of Stocks2012
- Author(s)
  Yuji Yamada and J.A. Primbs
- Journal Title
  
  Proceedings of the 2012 IEEE Conference on Decision and Control
  
  Volume: 51 Pages: 5705-5710
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives2012
- Author(s)
  Y. Yamada
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: vol. 19, no. 2 Pages: 149-179
- NAID
  120007129185
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Optimal Trading with Cointegrated Pairs of Stocks2012
- Author(s)
  Y. Yamada and J.A. Primbs
- Journal Title
  
  RECENT ADVANCES IN FINANCIAL ENGINEERING, World Scientific
  
  Volume: vol. 4 Pages: 183-201
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Model Predictive Control for Optimal Portfolios with Cointegrated Pairs of Stocks2012
- Author(s)
  Y. Yamada and J.A. Primbs
- Journal Title
  
  Proceedings of the 2012 IEEE Conference on Decision and Control
  
  Volume: vol. 51 Pages: 5705-5710
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] 共和分性に基づく最適ペアトレード2012
- Author(s)
  山田雄二, James A. Primbs
- Journal Title
  
  ジャフィー・ジャーナル
  
  Volume: 11 Pages: 125-152
- NAID
  120007129153
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Optimal Hedging of Basket Options Using Smooth Payoff Functions: Comparison with Super-Hedging Strategy2012
- Author(s)
  Y. Yamada
- Journal Title
  
  Proceedings of the 2012 American Control Conference
  
  Volume: vol. 30 Pages: 3699-3704
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] 共和分性に基づく最適ペアトレード2012
- Author(s)
  山田雄二,J.A. Primbs
- Journal Title
  
  ジャフィー・ジャーナル
  
  Volume: 第11巻 Pages: 125-152
- NAID
  120007129153
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Optimal Hedging with Additive Models2011
- Author(s)
  Yuji Yamada
- Journal Title
  
  RECENT ADVANCES IN FINANCIAL ENGINEERING 2010, World Scientific
  
  Volume: 3 Pages: 225-245
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Optimal Hedging for Multivariate Derivatives Based on Additive Models2011
- Author(s)
  Y. Yamada
- Journal Title
  
  Proceedings of the 2011 American Control Conference
  
  Volume: vol.29 Pages: 3856-3861
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Optimal Hedging with Additive Models2011
- Author(s)
  Y. Yamada
- Journal Title
  
  RECENT ADVANCES IN FINANCIAL ENGINEERING 2010, world Scientific
  
  Volume: Vo l. 3 Pages: 225-245
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Optimal Hedging with Additive Models2011
- Author(s)
  Yuji Yamada
- Journal Title
  
  RECENT ADVANCES IN FINANCIAL ENGINEERING, published by World Scientific
  
  Volume: 3
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Optimal Hedging for Multivariate Derivatives Based on Additive Models2011
- Author(s)
  Yuji Yamada
- Journal Title
  
  Proceedings of the 2011 American Control Conference
  
  Volume: 29 Pages: 3856-3861
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] エネルギー価格変動リスクとデリバティブ2010
- Author(s)
  山田雄二
- Journal Title
  
  エネルギーレビュー ERC出版
  
  Volume: 357 Pages: 19-22
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] エネルギー価格変動リスクとデリバティブ2010
- Author(s)
  山田雄二
- Journal Title
  
  エネルギーレビュー
  
  Volume: 第357巻
- Data Source
  KAKENHI-PROJECT-22510138
[Journal Article] Mean square optimal hedging with non-uniform rebalancing interval2009
- Author(s)
  K. Sato, Y. Yamada, and H. Fujioka
- Journal Title
  
  The SICE Journal of Control, Measurement, and System Integration 2
  
  Pages: 32-35
- NAID
  10031152618
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] Mean square optimal hedging with non-uniform rebalancing intervals2009
- Author(s)
  K. Sato, Y. Yamada, H. Fujioka
- Journal Title
  
  The SICE Journal of Control, Measurement, and System Integration vol. 2, no. 1
  
  Pages: 32-35
- NAID
  10031152618
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] Optimal hedging of prediction errors using prediction errors2008
- Author(s)
  Yuji Yamada
- Journal Title
  
  Asia-Pacific Financial Markets 15
  
  Pages: 67-95
- NAID
  120007129169
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] Optimal hedging of prediction errors using prediction errors2008
- Author(s)
  Y. Yamada
- Journal Title
  
  Asia-Pacific Financial Markets vol. 15, no. 1
  
  Pages: 67-95
- NAID
  120007129169
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] A New Computational Tool for Analyzing Dynamic Hedging under Transaction Costs2008
- Author(s)
  J. Primbs, Y. Yamada
- Journal Title
  
  Quantitative Finance vol. 8, issue 4
  
  Pages: 405-413
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] 風速予測誤差に基づく風力デリバティブの最適化設計2008
- Author(s)
  山田雄二
- Journal Title
  
  ジャフィージャーナル 7
  
  Pages: 152-181
- NAID
  120007129154
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] A New Computational Tool for Analyzing Dynamic Hedging under Transaction Costs2008
- Author(s)
  J. Primbs and Y. Yamada
- Journal Title
  
  Quantitative Finance 8
  
  Pages: 403-413
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] 風速予測誤差に基づく風カデリバティブの最適化設計2008
- Author(s)
  山田雄二
- Journal Title
  
  JAFEEジャーナル (印刷中)(掲載確定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] 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」)2008
- Author(s)
  山田雄二
- Journal Title
  
  オペレーションズ・リサーチ vol. 53, no. 4
  
  Pages: 217-223
- NAID
  110006656298
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] 風速予測誤差に基づく風力デリバティブの最適化設計2008
- Author(s)
  山田雄二
- Journal Title
  
  JAFEEジャーナル第7巻
  
  Pages: 152-181
- NAID
  120007129154
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis2007
- Author(s)
  J.A.Primbs, M.Rathinam, and Yuji Yamada
- Journal Title
  
  Applied Math Finance 14
  
  Pages: 1-17
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] Valuation and Hedging of Weather Derivatives on Monthly Average Temperature2007
- Author(s)
  Y. Yamada
- Journal Title
  
  Journal of Risk vol. 10, no. 1
- NAID
  120007129171
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] Valuation and Hedging of Weather Derivatives on Monthly Average Temperature2007
- Author(s)
  Y. Yamada
- Journal Title
  
  Journal of Risk vol. 10, no. 1
  
  Pages: 101-125
- NAID
  120007129171
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] Valuation and Hedging of Weather Derivatives on Monthly Average Temperature2007
- Author(s)
  Yuji Yamada
- Journal Title
  
  Journal of Risk 10
  
  Pages: 101-125
- NAID
  120007129171
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] Valuation and Hedging of Weather Derivatives on Monthly Average Temperature2007
- Author(s)
  Yuji Yamada
- Journal Title
  
  Journal of Risk 10
  
  Pages: 101-125
- NAID
  120007129171
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] Valuation and Hedging of Weather Derivatives on Monthly Average Temperature2007
- Author(s)
  Y. Yamada
- Journal Title
  
  Jornal of Soft Risk 10
  
  Pages: 101-125
- NAID
  120007129171
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] 効用無差別価格理論に基づく非完備市場先物均衡価格2007
- Author(s)
  山田雄二
- Journal Title
  
  JAFEE冬季大会予稿集 1巻
  
  Pages: 70-86
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis2007
- Author(s)
  J. A. Primbs, M. Rathinam, Y. Yamada
- Journal Title
  
  Applied Math Finance vol. 14, no. 1
  
  Pages: 1-17
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19510138
[Journal Article] Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis2007
- Author(s)
  J.A.Primb, M.Rathinam, Y.Yamada
- Journal Title
  
  Applied Math Finance 14・1
  
  Pages: 1-17
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] Properties of multinomial lattices with cumulants for option pricing and hedging2006
- Author(s)
  Yuji Yamada, James A.Primbs
- Journal Title
  
  Asia-Pacific Financial Markets 11・3
  
  Pages: 335-365
- NAID
  120007129168
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] Controlling Business Risks Using Weather Derivatives2006
- Author(s)
  Y.Yamada
- Journal Title
  
  Proceedings of the 2006 American Control Conference 1巻
  
  Pages: 1260-1265
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] An Efficient Calibration Method for the Multi-Factor LIBOR Market Model and its Applications to the Japanese Market2006
- Author(s)
  Hidetoshi Tanimura, Yuji Yamada
- Journal Title
  
  The International Journal of Theoretical and Applied Finance (印刷中)
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] Properties of multinomial lattices with cumulants for option pricing and hedging2006
- Author(s)
  Yuji Yamada, James A.Primbs
- Journal Title
  
  Asia-Pacific Financial Markets (印刷中)
- NAID
  120007129168
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] 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2006
- Author(s)
  山田雄二, 飯田まなみ, 椿広計
- Journal Title
  
  統計数理 54・1
  
  Pages: 57-78
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] A moment computation algorithm for the error in discrete dynamic hedging2006
- Author(s)
  James A.Primbs, Yuji Yamada
- Journal Title
  
  Journal of Banking and Finance 30・2
  
  Pages: 519-540
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] A moment computation algorithm for the error in discrete dynamic hedging2006
- Author(s)
  James A.Primbs, Yuji Yamada
- Journal Title
  
  Journal of Banking and Finance Volume 30, Issue 2
  
  Pages: 519-540
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] 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2006
- Author(s)
  山田, 飯田, 椿
- Journal Title
  
  統計数理 (印刷中)
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] An Efficient Calibration Method for the Multi-Factor LIBOR Market Model and its Applications to the Japanese Market2006
- Author(s)
  Hidetoshi Tanimura, Yuji Yamada
- Journal Title
  
  The International Journal of Theoretical and Applied Finance 9・7
  
  Pages: 1123-1139
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] Option valuation and hedging using multinomial lattices with cumulants2006
- Author(s)
  Y.Yamada, J.A.Primbs
- Journal Title
  
  Proceedings of the 2006 American Control Conference 1巻
  
  Pages: 1278-1283
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] A hybrid calibration approach for the multi-factor LIBOR market model under skewed caplets2005
- Author(s)
  H.Tanimura, Y.Yamada
- Journal Title
  
  Proceedings of the 7^<th> JAFEE International Conference
  
  Pages: 219-234
- Data Source
  KAKENHI-PROJECT-15710111
[Journal Article] Effect of higher order moments on hedging loss VaR and CVaR2004
- Author(s)
  Y.Yamada, J.A.Primbs
- Journal Title
  
  Proceedings of Financial Engineering Applications
  
  Pages: 154-159
- Data Source
  KAKENHI-PROJECT-15710111
[Journal Article] Analysis Tools and Techniques for Dynamic Hedging under Transaction costs2004
- Author(s)
  J.A.Primbs, Y.Yamada
- Journal Title
  
  Proceedings of Financial Engineering Applications
  
  Pages: 21-26
- Data Source
  KAKENHI-PROJECT-15710111
[Journal Article] A moment computation algorithm for the error in discrete dynamic hedging
- Author(s)
  K J.A.Primbs, Y.Yamada
- Journal Title
  
  Journal of Banking and Finance (印刷中)
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] A moment computation algorithm for the error in discrete dynamic hedging
- Author(s)
  K J.A.Primbs, Y.Yamada
- Journal Title
  
  Journal of Banking and Finance (印刷中)
- Data Source
  KAKENHI-PROJECT-16200006
[Journal Article] A moment computation algorithm for the error in discrete dynamic hedging
- Author(s)
  J.A.Primbs, Y.Yamada
- Journal Title
  
  Journal of Banking and Finance (掲載予定)
- Data Source
  KAKENHI-PROJECT-15710111
[Journal Article] Properties of multinomial lattices with cumulants for option pricing and hedging
- Author(s)
  Y.Yamada, J.A.Primbs
- Journal Title
  
  Asia-Pacific Financial Markets (投稿中)
- NAID
  120007129168
- Data Source
  KAKENHI-PROJECT-15710111
[Patent] 電力市場取引に係る約定量・取引価格予測支援2014
- Inventor(s)
  山田雄二
- Industrial Property Rights Holder
  筑波大学
- Industrial Property Rights Type
  特許
- Filing Date
  2014-07-09
- Data Source
  KAKENHI-PROJECT-25282087
[Patent] 動作方法,予測誤差補填装置,気象発電計画装置,およびプログラム2012
- Inventor(s)
  山田雄二・福田寿・谷川亮一・早崎宣之
- Industrial Property Rights Holder
  筑波大学,伊藤忠テクノソリューションズ株式会社
- Filing Date
  2012-09-07
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Principal Component Quanto Derivatives for Enhanced Solar Power Hedging2024
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  日本金融・証券計量・工学学会 2023年度冬季大会
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Efficient Risk Management for Distributed Clean Energy: Principal Component based Weather Derivatives2024
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  2024 14th International Conference on Future Environment and Energy (ICFEE 2024)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Principal Component Quanto Derivatives for Enhanced Solar Power Hedging2024
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  日本金融・証券計量・工学学会 2023年度冬季大会
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Efficient Risk Management for Distributed Clean Energy: Principal Component based Weather Derivatives2024
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  2024 14th International Conference on Future Environment and Energy (ICFEE 2024)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Optimal design and formulation of financial frameworks for the efficient and sustainable trading of renewable energy resources2023
- Author(s)
  Yuji Yamada
- Organizer
  2023 Asia-Pacific Financial Engineering Conference
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] スウィングクオントオプションの価格付けとヘッジ2023
- Author(s)
  山田雄二, 松本拓史
- Organizer
  日本金融・証券計量・工学学会 2023年度夏季大会
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Valuation and in-depth analysis of multifactor swing quanto options for mitigating electricity price-volume risk2023
- Author(s)
  Yuji Yamada, Takuji Matsumoto
- Organizer
  2023 KAFE-SKKU International Conference on Finance and Economics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] スウィングクオントオプションの価格付けとヘッジ2023
- Author(s)
  山田雄二, 松本拓史
- Organizer
  日本金融・証券計量・工学学会 2023年度夏季大会
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Optimal design and formulation of financial frameworks for the efficient and sustainable trading of renewable energy resources2023
- Author(s)
  Yuji Yamada
- Organizer
  2023 Asia-Pacific Financial Engineering Conference
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Valuation and in-depth analysis of multifactor swing quanto options for mitigating electricity price-volume risk2023
- Author(s)
  Yuji Yamada, Takuji Matsumoto
- Organizer
  2023 KAFE-SKKU International Conference on Finance and Economics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Multivariate Weather Derivatives for Wind Power Risk Management: Standardization Scheme and Trading Strategy2022
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  The 9th International Conference on Energy and Environment Research (ICEER2022)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Comprehensive And Comparative Analysis Of GAM-based Solar Power Forecasting Models Versus Four Machine Learning Methods2022
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  INFORMS Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Construction of interpretable GAM-based PV forecasts that outperform the prediction accuracy of machine learning methods2022
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  The 7th International Conference on New Energy and Future Energy Systems (NEFES 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Comprehensive And Comparative Analysis Of GAM-based Solar Power Forecasting Models Versus Four Machine Learning Methods2022
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  INFORMS Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Multivariate Weather Derivatives for Wind Power Risk Management: Standardization Scheme and Trading Strategy2022
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  The 9th International Conference on Energy and Environment Research
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Standardized Multivariate Weather Derivatives for Hedging Risk in Wind Power Generation Businesses2022
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  日本金融・証券計量・工学学会 2022年度夏季大会
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Continuous Hedging Strategy for Power Market Using Financial Instruments on Electricity Price and Weather2022
- Author(s)
  Yuji Yamada, Takuji Matsumoto
- Organizer
  The 25th International Symposium on Mathematical Theory of Networks and Systems (MTNS 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Standardized Multivariate Weather Derivatives for Hedging Risk in Wind Power Generation Businesses2022
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  日本金融・証券計量・工学学会 2022年度夏季大会
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Continuous Hedging Strategy for Power Market Using Financial Instruments on Electricity Price and Weather2022
- Author(s)
  Yuji Yamada, Takuji Matsumoto
- Organizer
  The 25th International Symposium on Mathematical Theory of Networks and Systems (MTNS 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Construction of interpretable GAM-based PV forecasts that outperform the prediction accuracy of machine learning methods2022
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  The 7th International Conference on New Energy and Future Energy Systems (NEFES 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] 再生可能エネルギー取引のためのデリバティブ2022
- Author(s)
  山田雄二
- Organizer
  第9回金融シンポジウム
- Invited
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] 再生可能エネルギー取引のためのデリバティブ2022
- Author(s)
  山田雄二
- Organizer
  第9回金融シンポジウム
- Invited
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Hedging strategy for sustainable solar power generation businesses by creating market instruments2021
- Author(s)
  Yuji Yamada, Takuji Matsumoto
- Organizer
  1st NUS-Tsukuba Joint-Online-Workshop on Sustainable Management and Data Sciences
- Invited
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Customized Nonparametric Hedging Model for Electric Utilities: Suitable Basis Selection to Ensure Robustness2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  22nd Conference of the International Federation of Operational Research Societies (IFORS 2021)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] ３次元テンソル積スプライン関数を用いた太陽光発電出力の予測手法2021
- Author(s)
  松本拓史, 山田雄二
- Organizer
  日本オペレーションズリサーチ学会2020年度春季研究発表会
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Hedging strategy for sustainable solar power generation businesses by creating market instruments2021
- Author(s)
  Yuji Yamada
- Organizer
  1st NUS-Tsukuba Joint-Online-Workshop on Sustainable Management and Data Sciences
- Invited
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Construction of Forecast Model for Power Demand and PV Power Generation Using Tensor Product Spline Function2021
- Author(s)
  Yuji Yamada
- Organizer
  2021 3rd International Conference on Clean Energy and Electrical Systems
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Customization of Non-Parametric Hedging Models using Standardized Weather Derivatives: Ensuring Robustness by Cyclic Cubic Splines2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  日本金融・証券計量・工学学会 2021年夏季大会
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Solar power forecasting method based on smooth trend estimation in three directions of time, date, and solar radiation2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  41st International Symposium on Forecasting (ISF 2021)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Customization of Non-Parametric Hedging Models using Standardized Weather Derivatives: Ensuring Robustness by Cyclic Cubic Splines2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  日本金融・証券計量・工学学会 2021年夏季大会
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Pricing Electricity Day-Ahead Cap Futures Using Multifactor GAMLSS Density Forecasts2021
- Author(s)
  Takuji Matsumoto, Derek W. Bunn, Yuji Yamada
- Organizer
  INFORMS Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Construction of Forecast Model for Power Demand and PV Power Generation Using Tensor Product Spline Function2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  2021 3rd International Conference on Clean Energy and Electrical Systems
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Solar power forecasting method based on smooth trend estimation in three directions of time, date, and solar radiation2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  41st International Symposium on Forecasting (ISF 2021)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Customized Nonparametric Hedging Model for Electric Utilities: Suitable Basis Selection to Ensure Robustness2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  22nd Conference of the International Federation of Operational Research Societies (IFORS 2021)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Pricing Electricity Day-Ahead Cap Futures Using Multifactor GAMLSS Density Forecasts2021
- Author(s)
  Takuji Matsumoto, Derek W. Bunn, Yuji Yamada
- Organizer
  INFORMS Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Model Predictive Control For Paris Trading Portfolios Using Empirical Distributions2021
- Author(s)
  Yuji Yamada, James A. Primbs
- Organizer
  INFORMS Annual Meeting
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Model Predictive Control For Paris Trading Portfolios Using Empirical Distributions2021
- Author(s)
  Yuji Yamada, James A. Primbs
- Organizer
  INFORMS Annual Meeting
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Construction of Forecast Model for Power Demand and PV Power Generation Using Tensor Product Spline Function2021
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  2021 3rd International Conference on Clean Energy and Electrical Systems
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] 3次元テンソル積スプライン関数を用いた太陽光発電出力の予測手法2020
- Author(s)
  松本拓史, 山田雄二
- Organizer
  日本オペレーションズ・リサーチ学会 2021年春季研究発表会
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Simultaneous Hedging of Price and Volume for Electricity Trading Using Prediction Error Derivatives2020
- Author(s)
  Yuji Yamada, Takuji Matsumoto
- Organizer
  2020 INFORMS Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Creating prediction error insurance market for renewable energy trading2020
- Author(s)
  Yuji Yamada
- Organizer
  The 1st MIT-Tsukuba Joint-Workshop on Data Systems Science towards Social and Business Innovations
- Invited
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Simultaneous Hedging of Price and Volume for Electricity Trading Using Prediction Error Derivatives2020
- Author(s)
  Yuji Yamada, Takuji Matsumoto
- Organizer
  INFORMS Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Analytical Framework for Efficient Imbalance Settlement Mechanisms in the Japanese Electricity Markets2020
- Author(s)
  Takuji Matsumoto, Derek W. Bunn, Yuji Yamada
- Organizer
  INFORMS Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Creating prediction error insurance market for renewable energy trading2020
- Author(s)
  Yuji Yamada
- Organizer
  The 1st MIT-Tsukuba Joint-Workshop on Data Systems Science towards Social and Business Innovations
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Analytical Framework for Efficient Imbalance Settlement Mechanisms in the Japanese Electricity Market2020
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  2020 INFORMS Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] 電力先渡・気温デリバティブポートフォリオによるヘッジモデル2019
- Author(s)
  山田雄二
- Organizer
  ワークショップ『電力市場取引リスクマネジメントの理論と実務』
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 買収が資本構成と財務の柔軟性に与える影響分析2019
- Author(s)
  村上暢子, 山田雄二
- Organizer
  2018年度第50回JAFEE冬季大会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Hedging strategies for solar power businesses in electricity market using weather derivatives2019
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  2019 IEEE 2nd International Conference on Renewable Energy and Power Engineering
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] Hedging strategies for solar power businesses in electricity market using weather derivatives2019
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  2019 IEEE 2nd International Conference on Renewable Energy and Power Engineering
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 気温・電力デリバティブポートフォリオによる需要量・価格の同時ヘッジ2019
- Author(s)
  山田雄二
- Organizer
  2018年度第50回JAFEE冬季大会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] テンソル積スプライン関数を用いた太陽光発電における予測誤差損失のクロスヘッジ2019
- Author(s)
  松本拓史, 山田雄二
- Organizer
  2018年度第50回JAFEE冬季大会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] ノンパラメトリック回帰を用いた卸電力市場ヘッジモデル2019
- Author(s)
  山田雄二
- Organizer
  日本オペレーションズリサーチ学会・研究部会「エネルギーミックスの諸問題とOR」第14回研究会
- Invited
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 電力市場のモデリング・予測とヘッジ2019
- Author(s)
  山田雄二
- Organizer
  第1回ビジネスイノベーション支援型データ・システムズサイエンス(DSS)研究拠点ワークショップ
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 気温・電力デリバティブポートフォリオによる需要量・価格の同時ヘッジ：交差変数付きGAMを用いた周期性相関の考慮2019
- Author(s)
  山田雄二
- Organizer
  2018年度第50回JAFEE冬季大会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Prediction-based Pricing of Forwards in Electricity Markets2019
- Author(s)
  Yuji Yamada
- Organizer
  DAO Seminar, Department of Analytics & Operations, National University of Singapore
- Invited
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] ノンパラメトリック回帰を用いた卸電力市場ヘッジモデル2019
- Author(s)
  山田雄二
- Organizer
  日本オペレーションズリサーチ学会・研究部会「エネルギーミックスの諸問題とOR」第14回研究会
- Invited
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] A risk management tool for solar power businesses using prediction error weather derivatives2018
- Author(s)
  Takuji Matsumoto, Yuji Yamada
- Organizer
  The 19th International Symposium on Knowledge and Systems Sciences
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] JEPXを利用する小売電気事業損失ヘッジのための予測誤差デリバティブ2018
- Author(s)
  山田雄二
- Organizer
  日本ファイナンス学会第26回大会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Constructions of forecast based strategies and real-time experiment systems for electricity trading market2018
- Author(s)
  Yuji Yamada, Setsuya Kurahashi, Nobuyuki Yamaguchi, Naoki Makimoto, Junya Gotoh, Ryuta Takashima
- Organizer
  The 19th International Symposium on Knowledge and Systems Sciences
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Influence of financial capital on strategic acquisitions2018
- Author(s)
  Masako Murakami, Yuji Yamada
- Organizer
  The 19th International Symposium on Knowledge and Systems Sciences
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Estimation of Demand and Supply Functions in the Japan Electric Power Exchange (JEPX) Spot Market2018
- Author(s)
  Yuji Yamada
- Organizer
  Seminar in Department of Finance, California State University, Fullerton, USA
- Invited
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 電力市場取引模擬実験のための需要予測モデル構築2018
- Author(s)
  山田雄二, 倉橋節也, 山口順也
- Organizer
  日本オペレーションズ・リサーチ学会 2018年春季研究発表会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 太陽光発電における出力予測誤差損失ヘッジのための日射量デリバティブ2018
- Author(s)
  松本拓史, 山田雄二
- Organizer
  日本オペレーションズ・リサーチ学会 2018年春季研究発表会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Prediction Based Modeling of Electricity Forward Prices2018
- Author(s)
  Yuji Yamada
- Organizer
  Systems and Control Seminar, Mechanical & Aerospace Engineering, UCLA, USA
- Invited
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Predictions for Electricity Trading Markets Using Nonparametric Techniques2018
- Author(s)
  Yuji Yamada, Setsuya Kurahashi, Nobuyuki Yamaguchi
- Organizer
  The 19th International Symposium on Knowledge and Systems Sciences
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 電力先物市場の需給バランス影響予測モデル2018
- Author(s)
  倉橋節也, 山田雄二, 山口順之
- Organizer
  日本オペレーションズ・リサーチ学会 2018年春季研究発表会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 電力市場取引模擬実験のための需要予測モデル構築2018
- Author(s)
  山口順之，山田雄二，倉橋節也
- Organizer
  日本オペレーションズ・リサーチ学会 2018年春季研究発表会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Supply-demand balancing experiment using artificial power generator and load systems2018
- Author(s)
  Nobuyuki Yamaguchi, Yuji Yamada, Setsuya Kurahashi
- Organizer
  The 19th International Symposium on Knowledge and Systems Sciences
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Supply and demand balance prediction model of electricity futures market2018
- Author(s)
  Setsuya Kurahashi, Yuji Yamada, Nobuyuki Yamaguchi
- Organizer
  The 19th International Symposium on Knowledge and Systems Sciences
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Hedging of Market Price-Volume Risks of Electricity Retail Businesses Using Weather Derivatives2018
- Author(s)
  Yuji Yamada
- Organizer
  Analytics & Operations Seminar, National University of Singapore, Singapore
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints2017
- Author(s)
  Yuji Yamada, James A. Primbs
- Organizer
  Systems and Control Seminar, Mechanical & Aerospace Engineering, UCLA, USA
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Model Predictive Control for Hedge Fund Portfolios of Cointegrated Pairs of Stocks with Gross Exposure2017
- Author(s)
  山田雄二
- Organizer
  2017年度第47回JAFEE夏季大会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Model Predictive Control for Pairs Trading Portfolio: Incorporation of Transaction Cost and Gross Exposure Constraints2017
- Author(s)
  Yuji Yamada, James A. Primbs
- Organizer
  Centre of Financial Mathematics Seminar, University of Wollongong, Australia
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Prediction based electricity forward pricing model in Japan Electric Power Exchange (JEPX)2017
- Author(s)
  Yuji Yamada
- Organizer
  INFORMS Annual Meeting 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] ノンパラメトリック回帰推定に基づくJEPXスポット価格予測と先物価格付けへの応用2017
- Author(s)
  山田雄二, 牧本直樹
- Organizer
  2017年度第46回JAFEE冬季大会
- Place of Presentation
  武蔵大学・江古田キャンパス (東京都練馬区)
- Year and Date
  2017-02-18
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] エッシャー変換と時系列予測に基づくJEPX先渡価格付けモデル2017
- Author(s)
  山田雄二, 牧本直樹
- Organizer
  日本ファイナンス学会第25回大会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Pricing electricity forward contracts under observable information in JEPX2017
- Author(s)
  Yuji Yamada
- Organizer
  AJRC and RIETI workshop on economic and financial analysis of commodity markets
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] CVaRを指標とした逐次最適化による動的ALM戦略2017
- Author(s)
  穴山裕司, 山田雄二
- Organizer
  2017年度第46回JAFEE冬季大会
- Place of Presentation
  武蔵大学・江古田キャンパス (東京都練馬区)
- Year and Date
  2017-02-18
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] A MODEL PREDICTIVE CONTROL APPROACH FOR PAIRS TRADING USING MULTIPLE SPREADS2016
- Author(s)
  Yuji Yamada, James A. Primbs
- Organizer
  Electrical & Computer Engineeering Seminar
- Place of Presentation
  Northeatern University (Boston, USA)
- Year and Date
  2016-09-27
- Invited
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Optimal hedging of basket barrier options with additive models and its application to the equity value separation problem2016
- Author(s)
  Yuji Yamada
- Organizer
  School of Mathematics and Applied Statistics Seminar
- Place of Presentation
  University of Wollongong (Wollongong, Australia)
- Year and Date
  2016-12-19
- Invited
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Estimation of demand and supply functions for spot electricity prices in JEPX (Japan Electric Power Exchange)2016
- Author(s)
  Yuji Yamada
- Organizer
  Laboratory for Information & Decision Systems (LIDS) Seminar
- Place of Presentation
  MIT (Cambridge, USA)
- Year and Date
  2016-09-26
- Invited
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 経済価値ベースの生命保険負債に対するヘッジ戦略の構築2016
- Author(s)
  穴山裕司, 山田雄二
- Organizer
  日本ファイナンス学会第24回大会
- Place of Presentation
  横浜国立大学 (神奈川県横浜市)
- Year and Date
  2016-05-22
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] The role of power exchange market in Japan and estimation of demand and supply functions for spot electricity prices2016
- Author(s)
  Yuji Yamada
- Organizer
  Systems and Control Seminar
- Place of Presentation
  Mechanical & Aerospace Engineering, UCLA (Los Angeles, USA)
- Year and Date
  2016-09-21
- Invited
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 媒介変数表現に基づく供給・需要関数のノンパラメトリック推定とJEPXスポット市場への応用2016
- Author(s)
  山田雄二, 牧本直樹, 高嶋隆太, 後藤順哉
- Organizer
  2015年度JAFEE冬季大会
- Place of Presentation
  慶應義塾大学三田キャンパス北館ホール（東京都港区）
- Year and Date
  2016-01-24
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Optimal Decomposition with Knockout Condition for Basket Barrier Options Using Additive Models2016
- Author(s)
  山田雄二
- Organizer
  2016年度第45回JAFEE夏季大会
- Place of Presentation
  成城大学（東京都世田谷区）
- Year and Date
  2016-08-09
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 小売事業者の電力調達戦略に対する容量メカニズムの影響2015
- Author(s)
  高嶋隆太, 風間龍, 山田雄二, 牧本直樹
- Organizer
  日本オペレーションズ・リサーチ学会2015年秋季研究発表
- Place of Presentation
  九州工業大学戸畑キャンパス（福岡県北九州市）
- Year and Date
  2015-09-10
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] WTIフォワードカーブモデルを用いた燃料価格ヘッジのためのデリバティブに関する検討2015
- Author(s)
  山田雄二, 牧本直樹, 榎本重朗
- Organizer
  日本オペレーションズ・リサーチ学会2015年秋季研究発表会
- Place of Presentation
  九州工業大学戸畑キャンパス
- Year and Date
  2015-09-10
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Capacity mechanisms and investment decisions in electricity market2015
- Author(s)
  高野祐人，高嶋隆太，山田雄二，牧本直樹
- Organizer
  日本オペレーションズ・リサーチ学会　2015年春季研究発表会
- Place of Presentation
  東京理科大学　神楽坂キャンパス（東京都新宿区）
- Year and Date
  2015-03-26
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Optimal Hedging of Path-Dependent Basket Options with Additive Models2015
- Author(s)
  Yamada, Yuji
- Organizer
  54th IEEE Conference on Decision and Controｌ
- Place of Presentation
  大阪国際会議場（大阪府大阪市）
- Year and Date
  2015-12-15
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 地域間送電・分断を考慮した電源構成についての比較2015
- Author(s)
  三澤祐一, 後藤順哉, 山田雄二
- Organizer
  日本オペレーションズ・リサーチ学会2015年秋季研究発表
- Place of Presentation
  九州工業大学戸畑キャンパス（福岡県北九州市）
- Year and Date
  2015-09-10
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Evaluation of multi-asset equity values with default risk using additive models2015
- Author(s)
  山田雄二
- Organizer
  2015年度JAFEE夏季大会
- Place of Presentation
  中央大学市ヶ谷田町キャンパス（東京都新宿区）
- Year and Date
  2015-08-07
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 単調な一般化加法モデルの二次錐制約を用いた定式化2015
- Author(s)
  後藤順哉, 山田雄二
- Organizer
  日本オペレーションズ・リサーチ学会2015年秋季研究発表
- Place of Presentation
  九州工業大学戸畑キャンパス（福岡県北九州市）
- Year and Date
  2015-09-11
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Capacity Mechanisms and Investment Decisions in Electricity Market2015
- Author(s)
  Ryuta Takashima, Yuto Takano, Naoki Makimoto, Yuji Yamada
- Organizer
  INFORMS Annual Meeting 2015
- Place of Presentation
  Pennsylvania Convention Center, Pennsylvania (USA)
- Year and Date
  2015-11-01
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Nonparametric Approaches to Estimation Problems for Demand and Supply Functions in Power Exchange Markets2015
- Author(s)
  Yamada, Yuji
- Organizer
  54th IEEE Conference on Decision and Controｌ
- Place of Presentation
  大阪国際会議場（大阪府大阪市）
- Year and Date
  2015-12-15
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 一般化加法モデルを用いたJEPX入札関数の推定2015
- Author(s)
  山田雄二, 牧本直樹, 高橋隆太, 後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会　2015年春季研究発表会
- Place of Presentation
  東京理科大学　神楽坂キャンパス（東京都新宿区）
- Year and Date
  2015-03-27
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Capacity Mechanisms and Investment Decisions in Electricity Market2015
- Author(s)
  Ryuta Takashima, Yuto Takano, Naoki Makimoto, Yuji Yamada
- Organizer
  Workshop on Systems Management and Control
- Place of Presentation
  筑波大学東京キャンパス（東京都文京区）
- Year and Date
  2015-12-12
- Invited
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] JEPX入札関数の同時推定と連立方程式モデルとの比較2015
- Author(s)
  山田雄二, 牧本直樹, 高橋隆太, 後藤順哉
- Organizer
  JAFEE 2014 冬季大会
- Place of Presentation
  筑波大学　東京キャンパス（東京都文京区）
- Year and Date
  2015-01-23
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] An Optimal Hedging Approach to Equity Value Assignment Problem Based on the First Passage Time Structural Model2015
- Author(s)
  Yamada, Yuji
- Organizer
  11th Annual Columbia-JAFEE Conference 2015
- Place of Presentation
  Room 501 in the Northwest Corner Building on Columbia Campus (USA)
- Year and Date
  2015-10-02
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Construction of Nonlinear Simultaneous Equations Models for Electricity Supply and Demand Functions2015
- Author(s)
  Yamada, Yuji
- Organizer
  INFORMS Annual Meeting 2015
- Place of Presentation
  Pennsylvania Convention Center & Marriott Philadelphia Downtown Country (USA)
- Year and Date
  2015-11-03
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] An Optimal-Hedging Approach to Equity Value Assignment Problem for Company Split2015
- Author(s)
  山田雄二
- Organizer
  日本ファイナンス学会第23回大会
- Place of Presentation
  東京大学本郷キャンパス（東京都文京区）
- Year and Date
  2015-06-06
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] I-共変動を用いた個別資産超過リスクプレミアム分析: Fama-French 3 ファクターモデルとの日本市場における比較2014
- Author(s)
  山田雄二, 吉野貴晶, 斉藤哲朗
- Organizer
  日本ファイナンス学会
- Place of Presentation
  中央大学多摩キャンパス3号館（東京都）
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] I-共変動を用いた個別資産超過リスクプレミアム分析 -Fama-French 3 ファクターモデルとの日本市場における比較-2014
- Author(s)
  山田雄二,吉野貴晶,斉藤哲朗
- Organizer
  日本ファイナンス学会第22回大会
- Place of Presentation
  中央大学多摩キャンパス（東京都八王子市）
- Year and Date
  2014-06-01
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Asset Pricing Models with Idiosyncratic Comoments (I-COMs)2014
- Author(s)
  Yuji Yamada, Takaaki Yoshino, Tetsuro Saito
- Organizer
  2014 INFORMS Annual Meeting
- Place of Presentation
  Hilton San Francisco, California
- Year and Date
  2014-11-12
- Invited
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Evaluation of individual equity values for basket type first passage time structural models2014
- Author(s)
  Yuji Yamada
- Organizer
  8th World Congress of the Bachelier Finance Society
- Place of Presentation
  MCE Conference Center, Brussels, Belgium
- Year and Date
  2014-06-05
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 一般化加法モデルを用いたJEPX入札関数の推定2014
- Author(s)
  山田雄二, 牧本直樹, 高橋隆太, 後藤順哉
- Organizer
  JAFEE 2014 夏季大会
- Place of Presentation
  成城大学（東京都世田谷区）
- Year and Date
  2014-08-01
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 高次モーメント型CAPM: I-共変動を用いた実証分析2014
- Author(s)
  山田雄二, 吉野貴晶, 斉藤哲朗
- Organizer
  JAFEE冬季大会
- Place of Presentation
  慶應義塾大学三田キャンパス北館・ホール／大会議室（東京都）
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 気温と季節性を考慮したJEPX時間帯価格のモデリングと予測2014
- Author(s)
  山田雄二, 牧本直樹, 高嶋隆太
- Organizer
  日本OR学会
- Place of Presentation
  大阪大学豊中キャンパス（大阪府）
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Evaluation of Multi-asset Equity Values Using Optimal Smooth Functions on the First Passage Time Structural Models2013
- Author(s)
  Y. Yamada
- Organizer
  JAFEE夏季大会
- Place of Presentation
  明治大学駿河台キャンパス　アカデミーコモン2階大会議室（東京都）
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Optimal Approximation of Basket Options: Application and Comparison with Super-Hedging Strategy2013
- Author(s)
  Y. Yamada
- Organizer
  第38回 2012年度冬季JAFEE 大会
- Place of Presentation
  筑波大学東京キャンパス文京校舎(文京区)
- Year and Date
  2013-01-25
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Optimal hedging of path-dependent basket options: Extension to first passage time structural models2013
- Author(s)
  Y. Yamada
- Organizer
  INFORMS annual meeting 2013
- Place of Presentation
  Minneapolis Convention Center, Minnesota, USA
- Invited
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Optimal Hedging of Path-Dependent Basket Options and their Applications to First Passage Time Structural Models with Multiple Assets2013
- Author(s)
  Y. Yamada
- Organizer
  Quantitative Methods in Finance 2013
- Place of Presentation
  Hilton SYDNEY Hotel, Sydney, Australia
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 非上場化企業の特性に関する研究-親子上場の解消に伴う完全子会社化の分析-2013
- Author(s)
  松田千恵子, 山田雄二
- Organizer
  日本ファイナンス学会第21回大会
- Place of Presentation
  武蔵大学江古田キャンパス(練馬区)
- Year and Date
  2013-06-02
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] 非上場化企業の特性に関する研究-親子上場の解消に伴う完全子会社化の分析-2013
- Author(s)
  松田千恵子, 山田雄二
- Organizer
  日本ファイナンス学会
- Place of Presentation
  武蔵大学江古田キャンパス（東京都）
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Construction of Optimal Portfolio with Cointegrated Stocks2012
- Author(s)
  Yuji Yamada
- Organizer
  Symposium on Developments in Control Theory towards Glocal Control
- Place of Presentation
  東京大学本郷キャンパス(文京区)(招待講演)
- Year and Date
  2012-01-07
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] A Model Predictive Control Approach for Portfolio Optimization with Cointegrated Pairs of Stocks2012
- Author(s)
  Y. Yamada and J.A. Primbs
- Organizer
  第37回 2012年度JAFEE夏季大会
- Place of Presentation
  成城大学(世田谷区)
- Year and Date
  2012-08-03
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Construction of Optimal Portfolio with Cointegrated Stocks2012
- Author(s)
  Y. Yamada
- Organizer
  Symposium on Developments in Control Theory towards Glocal Control
- Place of Presentation
  東京大学本郷キャンパス(文京区)
- Year and Date
  2012-01-07
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] 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2012
- Author(s)
  山田雄二,吉野貴晶,斉藤哲朗
- Organizer
  2011年度JAFEE冬季大会
- Place of Presentation
  筑波大学東京キャンパス文京校舎(文京区)
- Year and Date
  2012-03-12
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Model Predictive Control for Optimal Portfolios with Cointegrated Pairs of Stocks2012
- Author(s)
  Y. Yamada and J.A. Primbs
- Organizer
  51st IEEE Conference on Decision and Control
- Place of Presentation
  Grand Wailea(Hawaii, United States)
- Year and Date
  2012-12-12
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Optimal Hedging of Basket Options Using Smooth Payoff Functions: Comparison with Super-Hedging Strategy2012
- Author(s)
  Y. Yamada
- Organizer
  The 2012 American Control Conference
- Place of Presentation
  Fairmont Queen Elizabeth(Montreal,Canada)
- Year and Date
  2012-06-28
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Optimal Hedging for Multivariate Derivatives Based on Additive Models2011
- Author(s)
  Y. Yamada
- Organizer
  2011 American Control Conference
- Place of Presentation
  San Francisco Hilton on O'Farrell Street(USA)
- Year and Date
  2011-07-01
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Optimal Hedging for Multivariate Derivatives Based on Additive Models2011
- Author(s)
  Yuji Yamada
- Organizer
  2011 American Control Conference
- Place of Presentation
  San Francisco Hilton on O'Farrell Street (USA)(招待講演)
- Year and Date
  2011-07-01
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Idiosyncratic 共変動の資産収益率への影響分析2011
- Author(s)
  山田雄二,吉野貴晶,斉藤哲朗
- Organizer
  2011 年度JAFEE 夏季大会
- Place of Presentation
  慶應義塾大学・三田キャンパス(港区)
- Year and Date
  2011-10-14
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] I-共変動:市場ユニバースにおける新たなリスク指標2011
- Author(s)
  山田雄二
- Organizer
  横浜国立大学・南山大学共同ファイナンス・ワークショップ
- Place of Presentation
  横浜国立大学みなとみらいキャンパス(横浜市)
- Year and Date
  2011-12-03
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] I-共変動:市場ユニバースにおける新たなリスク指標2011
- Author(s)
  山田雄二
- Organizer
  横浜国立大学・南山大学共同ファイナンス・ワークショップ
- Place of Presentation
  横浜国立大学みなとみらいキャンパス(横浜市)(招待講演)
- Year and Date
  2011-12-03
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Idiosyncratic共変動の資産収益率への影響分析2011
- Author(s)
  山田雄二, 吉野貴晶, 斉藤哲朗
- Organizer
  2011年度JAFEE夏季大会
- Place of Presentation
  慶應義塾大学・三田キャンパス(港区)
- Year and Date
  2011-10-14
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Hedging of Multivariate Options with Additive Models2011
- Author(s)
  山田雄二
- Organizer
  日本ファイナンス学会第19回大会
- Place of Presentation
  早稲田大学早稲田キャンパス(新宿区)
- Year and Date
  2011-05-15
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] J-REITにおける保有不動産の用途特化・多様化とバリュエーション2011
- Author(s)
  中島篤, 山田雄二
- Organizer
  日本ファイナンス学会第19回大会
- Place of Presentation
  早稲田大学早稲田キャンパス(新宿区)
- Year and Date
  2011-05-14
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] J-REIT における保有不動産の用途特化・多様化とバリュエーション2011
- Author(s)
  中島篤, 山田雄二
- Organizer
  日本ファイナンス学会第19回大会
- Place of Presentation
  早稲田大学早稲田キャンパス(新宿区)
- Year and Date
  2011-05-14
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Optimal Trading with Cointegrated Pairs of Stocks2011
- Author(s)
  Y. Yamada
- Organizer
  International Workshop on Finance 2011
- Place of Presentation
  同志社大学室町キャンバス寒梅館(京都市)
- Year and Date
  2011-08-04
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] ハイブリッド・ファンダメンタル・モデルによる電力価格の予測(その2)2010
- Author(s)
  久保博司, 谷川亮一, 榎本重朗, 山田雄二, 牧本直樹
- Organizer
  第21回電気学会電力エネルギー部門大会
- Place of Presentation
  九州大学伊都キャンパス
- Year and Date
  2010-09-03
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] ハイブリッド・ファンダメンタル・モデルによる電力価格の予測(その3)2010
- Author(s)
  山田雄二, 牧本直樹, 榎本重朗, 久保博司, 谷川亮一
- Organizer
  第21回電気学会電力エネルギー部門大会
- Place of Presentation
  九州大学伊都キャンパス
- Year and Date
  2010-09-03
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Hedging Multivariate IlliquidAsset Derivatives Based on the Additive Models2010
- Author(s)
  Y. Yamada
- Organizer
  Quantitative Methods in Finance 2010 Conference
- Place of Presentation
  University of Technology, Sydney, Australia
- Year and Date
  2010-12-17
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] ハイブリッド・ファンダメンタル・モデルによる電力価格の予測2010
- Author(s)
  榎本重朗,山田雄二,牧本直樹,久保博司,谷川亮一
- Organizer
  第21回電気学会電力エネルギー部門大会
- Place of Presentation
  九州大学伊都キャンパス
- Year and Date
  2010-09-03
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Optimal Hedging of Basket Options Using Separate Options on Individual Assets2010
- Author(s)
  山田雄二
- Organizer
  2010年JAFEE冬季大会
- Place of Presentation
  中央大学後楽園キャンパス
- Year and Date
  2010-12-05
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] ハイブリッド・ファンダメンタル・モデルによる電力価格の予測(その1)2010
- Author(s)
  榎本重朗, 山田雄二, 牧本直樹, 久保博司, 谷川亮一
- Organizer
  第21回電気学会電力エネルギー部門大会
- Place of Presentation
  九州大学伊都キャンパス
- Year and Date
  2010-09-03
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Portfolio optimization using spreads of pairs of stocks2010
- Author(s)
  山田雄二, James A.Primbs
- Organizer
  第27回応用経済時系列研究会・研究報告会
- Place of Presentation
  明治学院大学白金キャンパス
- Year and Date
  2010-06-19
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] J-REITの価格形成における要因分析2010
- Author(s)
  中島篤, 山田雄二
- Organizer
  2010年JAFEE夏季大会
- Place of Presentation
  成城大学8号館
- Year and Date
  2010-07-31
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Pricing Knock-Out Options Using Homotopy Analysis Method UnderLevy Processes2010
- Author(s)
  佐久間貴之, 山田雄二
- Organizer
  2010年JAFEE夏季大会
- Place of Presentation
  成城大学8号館
- Year and Date
  2010-07-30
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Robust Hedging of Multivariate Derivatives Using Additive Models2010
- Author(s)
  Y. Yamada
- Organizer
  KIER-TMU International Workshop on Financial Engineering 2010
- Place of Presentation
  秋葉原ダイビル
- Year and Date
  2010-08-02
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Portfolio optimization using spreads of pairs of stocks2010
- Author(s)
  山田雄二,J.A. Primbs
- Organizer
  第27回応用経済時系列研究会・研究報告会
- Place of Presentation
  明治学院大学白金キャンパス
- Year and Date
  2010-06-19
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Pricing Knock-Out Options Using Homotopy Analysis Method Under Levy Processes2010
- Author(s)
  佐久間貴之,山田雄二
- Organizer
  2010年JAFEE夏季大会
- Place of Presentation
  成城大学 8号館
- Year and Date
  2010-07-30
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Optimal Hedging of Basket Options Using Separate Options on Individual Assets2010
- Author(s)
  山田雄二
- Organizer
  2010 年JAFEE冬季大会
- Place of Presentation
  中央大学後楽園キャンパス
- Year and Date
  2010-12-05
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Portfolio optimization of cointegrated pairs of stocks2010
- Author(s)
  山田雄二
- Organizer
  Columbia=JAFEE International Conference
- Place of Presentation
  アメリカ合衆国コロンビア大学
- Year and Date
  2010-03-10
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Hedging Multivariate Illiquid Asset Derivatives Based on the Additive Models2010
- Author(s)
  Yuji Yamada
- Organizer
  Quantitative Methods in Finance 2010 Conference
- Place of Presentation
  Uruversity of Technology, Sydney, Australia
- Year and Date
  2010-12-17
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] 新エネルギー発電とデリバティブ2010
- Author(s)
  山田雄二
- Organizer
  社団法人日本鉄鋼協会計測・制御・システム工学部会第5回フォーラム「エネルギー・環境問題とシステム技術の最新動向」
- Place of Presentation
  (株)神戸製鋼所大阪支社
- Year and Date
  2010-08-18
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] 新エネルギー発電とデリバティブ2010
- Author(s)
  山田雄二
- Organizer
  社団法人日本鉄鋼協会計測・制御・システム工学部会第5回フォーラム「エネルギー・環境問題とシステム技術の最新動向」
- Place of Presentation
  神戸製鋼所大阪支社
- Year and Date
  2010-08-18
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] J-REIT の価格形成における要因分析2010
- Author(s)
  中島篤,山田雄二
- Organizer
  2010 年JAFEE 夏季大会
- Place of Presentation
  成城大学 8号館
- Year and Date
  2010-07-31
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] 非流動性資産デリバティブの価格付けとヘッジ2009
- Author(s)
  山田
- Organizer
  OR学会研究部会「ファイナンス理論の展開」第2回研究会
- Place of Presentation
  秋葉原ダイビル
- Year and Date
  2009-05-14
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Optimal Hedging of Illiquid Asset Derivatives Using Additive Models2009
- Author(s)
  Yuji Yamada
- Organizer
  2008 INFORMS Annual Meeting
- Place of Presentation
  アメリカ合衆国サンディエゴ
- Year and Date
  2009-10-11
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] 平滑化スプライン最適化による最適ヘッジ問題2009
- Author(s)
  山田
- Organizer
  OR学会研究部会「計算と最適化の新展開」第2回研究会
- Place of Presentation
  中央大学
- Year and Date
  2009-07-25
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Optimal Hedging Using Additive Models2009
- Author(s)
  山田雄二
- Organizer
  2008年度JAFEE冬季大会
- Place of Presentation
  筑波大学東京キャンパス大塚地区
- Year and Date
  2009-01-30
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Optimal trading of cointegrated stocks2009
- Author(s)
  山田雄二
- Organizer
  2009年JAFEE冬季大会
- Place of Presentation
  明治大学
- Year and Date
  2009-12-24
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Optimal Trading of Cointegrated Stocks2009
- Author(s)
  Y. Yamada
- Organizer
  Proceedings of the JAFEE conference in Winter
- Place of Presentation
  明治大学
- Year and Date
  2009-12-24
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Optimal Hedging Using Additive Models2009
- Author(s)
  Y. Yamada
- Organizer
  Proceedings of the JAFEE conference in Winter
- Place of Presentation
  筑波大学東京キャンパス
- Year and Date
  2009-01-30
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] 新エネルギー発電電力取引とリスクヘッジ2009
- Author(s)
  山田
- Organizer
  日本オペレーションズ・リサーチ学会新宿OR研究会
- Place of Presentation
  新宿センタービル
- Year and Date
  2009-06-23
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] 新エネルギー発電電力取引とリスクヘッジ2009
- Author(s)
  山田雄二
- Organizer
  OR学会研究部会「ファイナンス理論の展開」第2回研究会
- Place of Presentation
  秋葉原ダイビル
- Year and Date
  2009-05-14
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Weather derivatives for hedging the loss on wind power energy businesses caused by prediction errors2008
- Author(s)
  Yuji Yamada
- Organizer
  DEWEK 2008
- Place of Presentation
  ドイツ連邦共和国ブレーメン
- Year and Date
  2008-11-26
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] The role of predictions in wind power energy markets and construction of prediction based weather derivatives2008
- Author(s)
  Yuji Yamada
- Organizer
  JAFEE-Columbia International Symposium
- Place of Presentation
  Kyoto Campus Plaza, Kyoto
- Year and Date
  2008-03-22
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Simultaneous optimization for wind derivatives based on prediction errors2008
- Author(s)
  Y. Yamada
- Organizer
  Proceedings of the 2008 American Control Conference
- Place of Presentation
  アメリカ合衆国シアトル
- Year and Date
  2008-06-11
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] The Interaction of Financial and Engineered Systems2008
- Author(s)
  Yuji Yamada
- Organizer
  2008 IEEE Conference on Decision and Control
- Place of Presentation
  メキシコ合衆国カンクン
- Year and Date
  2008-12-10
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Optimal hedging of prediction errors using predition errors2008
- Author(s)
  Yuji Yamada
- Organizer
  2008 INFORMS Annual Meeting
- Place of Presentation
  アメリカ合衆国ワシントンD.C.
- Year and Date
  2008-10-13
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] The Interaction of Financial and Engineered Systems2008
- Author(s)
  Y. Yamada
- Organizer
  47th IEEE Conference on Decision and Control Tutorial Session : Control theory and finance
- Place of Presentation
  メキシコ合衆国カンクン
- Year and Date
  2008-12-10
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Simultaneous optimization for wind derivatives based on prediction errors2008
- Author(s)
  Yuji Yamada
- Organizer
  2008 American Control Conference
- Place of Presentation
  アメリカ合衆国シアトル
- Year and Date
  2008-06-11
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] 予測誤差に基づく天候デリバティブとビジネスポートフォリオの同時最適化設計2007
- Author(s)
  山田
- Organizer
  JAFEE夏季大会予稿集
- Place of Presentation
  明治大学駿河台キャンパス
- Year and Date
  2007-08-03
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] 予測誤差に基づく天候デリバティブとビジネスポートフォリオの同時最適化設計2007
- Author(s)
  山田雄二
- Organizer
  2007年JAFEE夏季大会
- Place of Presentation
  明治大学駿河台キャンパス
- Year and Date
  2007-08-03
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] 効用無差別価格理論に基づく非完備市場先物均衡価格2007
- Author(s)
  山田
- Organizer
  JAFEE冬季大会予稿集
- Place of Presentation
  中央大学駿河台記念館
- Year and Date
  2007-12-22
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] NMSOH問題 : 不等間隔なリバランスによる二乗平均最適ヘッジ2007
- Author(s)
  佐藤, 山田, 藤岡
- Organizer
  JAFEE冬季大会予稿集
- Place of Presentation
  中央大学駿河台記念館
- Year and Date
  2007-12-22
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] NMSOH問題:不等間隔なリバランスによる二乗平均最適ヘッジ2007
- Author(s)
  佐藤健二・山田雄二・藤岡久也
- Organizer
  2007年JAFEE冬季大会
- Place of Presentation
  中央大学駿河台記念館
- Year and Date
  2007-12-22
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Optimal Design of Wind Derivatives Using Prediction Errors2007
- Author(s)
  Yuji Yamada
- Organizer
  Quantitative Methods in Finance 2007 Conference
- Place of Presentation
  Sydney, Australia
- Year and Date
  2007-12-13
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Visualization of Earthquake Trend Information from MuST Corpus2007
- Author(s)
  Y. Takama, Takashi Yamada, Jun
- Organizer
  The 6th NTCIR Workshop Meeting
- Place of Presentation
  国立情報学研究所
- Year and Date
  2007-05-15
- Data Source
  KAKENHI-PROJECT-16200006
[Presentation] Optimal design of wind derivatives using prediction errors2007
- Author(s)
  Yuji Yamada
- Organizer
  2007 INFORMS Annual Meeting
- Place of Presentation
  Seattle, WA, USA
- Year and Date
  2007-11-05
- Data Source
  KAKENHI-PROJECT-19510138
[Presentation] Optimal Approximation of Basket Options: Application and Comparison with Super-Hedging Strategy
- Author(s)
  Yuji Yamada
- Organizer
  第38回　2012年度冬季JAFEE大会
- Place of Presentation
  筑波大学東京キャンパス文京校舎（文京区）
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] A Model Predictive Control Approach for Portfolio Optimization with Cointegrated Pairs of Stocks
- Author(s)
  Yuji Yamada and J.A. Primbs
- Organizer
  第37回　2012年度JAFEE夏季大会
- Place of Presentation
  成城大学（世田谷区）
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] 非上場化企業の特性に関する研究－親子上場の解消に伴う完全子会社化の分析－
- Author(s)
  松田千恵子, 山田雄二
- Organizer
  日本ファイナンス学会第21回大会
- Place of Presentation
  武蔵大学江古田キャンパス(練馬区)
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Model Predictive Control for Optimal Portfolios with Cointegrated Pairs of Stocks
- Author(s)
  Yuji Yamada and J.A. Primbs
- Organizer
  51st IEEE Conference on Decision and Control
- Place of Presentation
  Grand Wailea（Hawaii, United States）
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] Optimal Hedging of Basket Options Using Smooth Payoff Functions: Comparison with Super-Hedging Strategy
- Author(s)
  Yuji Yamada
- Organizer
  The 2012 American Control Conference
- Place of Presentation
  Fairmont Queen Elizabeth（Montreal,Canada）
- Data Source
  KAKENHI-PROJECT-22510138
[Presentation] An Optimal Hedging Approach to Equity Value Assignment Problem for Company Split
- Author(s)
  Yuji Yamada
- Organizer
  日本ファイナンス学会第23回大会
- Place of Presentation
  東京大学　本郷キャンパス（東京都文京区）
- Year and Date
  2015-06-06 – 2015-06-07
- Data Source
  KAKENHI-PROJECT-25282087

1. 牧本直樹 (90242263)

# of Collaborated Projects: 4 results

# of Collaborated Products: 15 results
2. 後藤順哉 (40334031)

# of Collaborated Projects: 3 results

# of Collaborated Products: 8 results
3. 高嶋隆太 (50401138)

# of Collaborated Projects: 3 results

# of Collaborated Products: 9 results
4. 倉橋節也 (40431663)

# of Collaborated Projects: 3 results

# of Collaborated Products: 7 results
5. 山口順之 (50371224)

# of Collaborated Projects: 2 results

# of Collaborated Products: 7 results
6. 松本拓史 (60883163)

# of Collaborated Projects: 2 results

# of Collaborated Products: 63 results
7. OHSAWA Yukio (20273609)

# of Collaborated Projects: 1 results

# of Collaborated Products: 1 results
8. YADA Katsutoshi (00298811)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. TAKAMA Yasufumi (20313364)

# of Collaborated Projects: 1 results

# of Collaborated Products: 1 results
10. SUNAYAMA Wataru (40314398)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. 弥永真生 (60191144)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. 小倉昇 (10145352)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. 中山清 (20400624)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. 田中謙司 (40431788)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Yamada Yuji 山田 雄二

YAMADA Yuji 山田 雄二

Research Projects

Research Products

Co-Researchers

Construction of risk management system to support renewable energy P2P transactionsPrincipal Investigator

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Risk management system for losses caused by trading electricity in whole sale market using weather derivativesPrincipal Investigator

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Constructions of demand-prediction based strategy and real-time experimental system to accelerate electricity marketPrincipal Investigator

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Construction of management systems for energy portfolios and market risksPrincipal Investigator

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Dynamic hedging of multi-objective basket options and its application to portfolio diversification and managementPrincipal Investigator

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Pricing and Hedging of Illiquid Asset DerivativesPrincipal Investigator

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種類株式の評価および会計処理

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Scenario Map Systems for Aiding Organizational Chance Discovery

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多期間設定における多次元ポートフォリオのバリューアットリスク最適化Principal Investigator

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[Book] Forecasting and Risk Management Techniques for Electricity Markets2022

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[Book] Forecasting and Risk Management Techniques for Electricity Markets2022

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[Book] ジャフィージャーナル｢実証ファイナンスとクオンツ運用｣2013

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[Book] ジャフィージャーナル「実証ファイナンスとクオンツ運用」2013

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Total Pages

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Yamada Yuji 山田雄二

YAMADA Yuji 山田雄二