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Matsumoto Takuji  松本 拓史

Researcher Number 60883163
Other IDs
  • ORCIDhttps://orcid.org/0000-0002-6651-5889
Affiliation (Current) 2025: 東京科学大学, 環境・社会理工学院, 准教授
2025: 金沢大学, 融合科学系, 准教授
Affiliation (based on the past Project Information) *help 2022 – 2024: 金沢大学, 融合科学系, 准教授
2022: 金沢大学, その他部局等, 准教授
2020 – 2022: 一般財団法人電力中央研究所, 社会経済研究所, 主任研究員
Review Section/Research Field
Principal Investigator
Basic Section 25010:Social systems engineering-related / Basic Section 07060:Money and finance-related
Except Principal Investigator
Medium-sized Section 25:Social systems engineering, safety engineering, disaster prevention engineering, and related fields
Keywords
Principal Investigator
実証分析 / 予測 / ファイナンス / エネルギー / 電力市場 / 実証 / スパース回帰 / フォワードプレミアム / 裁定取引 / シミュレーション / 分散型電源 / 効率的フロンティア / デリバティブ … More
Except Principal Investigator
… More 実証 / ファイナンス / シミュレーション / 電力市場 / デリバティブ / 実証分析 / エネルギー / 天候デリバティブ / 市場取引 / 気象予測誤差 Less
  • Research Projects

    (5 results)
  • Research Products

    (94 results)
  • Co-Researchers

    (7 People)
  •  Development of Price Models and Comprehensive Fundamental Analysis for Electricity Market Risk Management in JapanPrincipal Investigator

    • Principal Investigator
      松本 拓史
    • Project Period (FY)
      2024 – 2026
    • Research Category
      Grant-in-Aid for Early-Career Scientists
    • Review Section
      Basic Section 07060:Money and finance-related
    • Research Institution
      Kanazawa University
  •  Elucidating electricity market mechanisms through sophisticated forecasting methods: integrating empirical insights from Japan and EuropePrincipal Investigator

    • Principal Investigator
      松本 拓史
    • Project Period (FY)
      2023 – 2025
    • Research Category
      Fund for the Promotion of Joint International Research (Fostering Joint International Research (A))
    • Review Section
      Basic Section 25010:Social systems engineering-related
    • Research Institution
      Kanazawa University
  •  Risk management method and optimal system design of electricity market in the era of large scale deployment of distributed generationPrincipal Investigator

    • Principal Investigator
      松本 拓史
    • Project Period (FY)
      2021 – 2024
    • Research Category
      Grant-in-Aid for Early-Career Scientists
    • Review Section
      Basic Section 25010:Social systems engineering-related
    • Research Institution
      Kanazawa University
      Central Research Institute of Electric Power Industry
  •  Construction of risk management system to support renewable energy P2P transactions

    • 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 derivatives

    • 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

All 2024 2023 2022 2021 2020 2019

All Journal Article Presentation

  • [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-21K14374
  • [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] 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: -

    • Data Source
      KAKENHI-PROJECT-21K14374
  • [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] 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] Optimal Arbitrage with Limit Orders in Day-Ahead Electricity Markets2023

    • Author(s)
      Takuji Matsumoto, Derek Bunn
    • Journal Title

      Proceedings of 18th IAEE European Conference

      Volume: -

    • Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-22KK0217
  • [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] Optimal Arbitrage with Limit Orders in Day-Ahead Electricity Markets2023

    • Author(s)
      Takuji Matsumoto, Derek Bunn
    • Journal Title

      Proceedings of 18th IAEE European Conference

      Volume: -

    • Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K14374
  • [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] 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] 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-19K22024
  • [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] 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: -

    • Data Source
      KAKENHI-PROJECT-21K14374
  • [Journal Article] 主成分誘導型スパース回帰を用いた電力スポット価格予測2022

    • Author(s)
      松本拓史
    • Journal Title

      日本オペレーションズ・リサーチ学会 2022年秋季研究発表会アブストラクト集

      Volume: - Pages: 1-2

    • Open Access
    • Data Source
      KAKENHI-PROJECT-21K14374
  • [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] 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] 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] Continuous Hedging Strategy for Power Market Using Financial Instruments on Electricity Price and Weather2022

    • Author(s)
      Yuji Yamada, Takuji Matsumoto
    • Journal Title

      Extended Abstracts of the 25th International Symposium on Mathematical Theory of Networks and Systems MTNS

      Volume: - Pages: 171-174

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-21K14374
  • [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] 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-21K14374
  • [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] 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] 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] 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] 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] 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] 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] 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] 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] 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-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] 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] Time Series Prediction with LSTM Networks and Its Application to Equity Investment2020

    • Author(s)
      Ken Matsumoto, Naoki Makimoto
    • Journal Title

      Advanced Studies of Financial Technologies and Cryptocurrency Markets, Lukas Pichl et al. (eds.), Springer

      Volume: 印刷中

    • Data Source
      KAKENHI-PROJECT-19K22024
  • [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
  • [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] 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-21K14374
  • [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] 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] 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-21K14374
  • [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] Product and market design of weather derivatives for efficient wind power risk hedge trading2023

    • Author(s)
      Takuji Matsumoto
    • Organizer
      早稲田ワークショップ「不確実性の経済学とその関連分野」
    • Data Source
      KAKENHI-PROJECT-21K14374
  • [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] 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-21K14374
  • [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
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K14374
  • [Presentation] Product and market design of weather derivatives for efficient wind power risk hedge trading2023

    • Author(s)
      Takuji Matsumoto
    • Organizer
      早稲田ワークショップ「不確実性の経済学とその関連分野」
    • Invited
    • 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-19K22024
  • [Presentation] Optimal Arbitrage with Limit Orders in Day-Ahead Electricity Markets2023

    • Author(s)
      Takuji Matsumoto, Derek Bunn
    • Organizer
      18th IAEE European Conference
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K14374
  • [Presentation] Optimal Arbitrage with Limit Orders in Day-Ahead Electricity Markets2023

    • Author(s)
      Takuji Matsumoto
    • Organizer
      18th IAEE European Conference
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-22KK0217
  • [Presentation] Product and market design of weather derivatives for efficient wind power risk hedge trading2023

    • Author(s)
      Takuji Matsumoto
    • Organizer
      早稲田ワークショップ「不確実性の経済学とその関連分野」
    • Invited
    • 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-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-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] 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] 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] 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] 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] 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-21K14374
  • [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] 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] 主成分誘導型スパース回帰を用いた電力スポット価格予測2022

    • Author(s)
      松本拓史
    • Organizer
      日本オペレーションズ・リサーチ学会 2022年秋季研究発表会
    • Data Source
      KAKENHI-PROJECT-21K14374
  • [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] 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-21K14374
  • [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-21K14374
  • [Presentation] Information Value of Weekly Weather Forecasts: An Empirical Analysis of Electricity Price Forecasting and Forward Arbitrage2022

    • Author(s)
      Takuji Matsumoto, Misao Endo
    • Organizer
      11th International Ruhr Energy Conference (INREC 2022)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K14374
  • [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
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K14374
  • [Presentation] Comprehensive And Comparative Analysis Of GAM-based Solar Power Forecasting Models Versus Four Machine Learning Methods2022

    • Author(s)
      Takuji Matsumoto, Yuji Yamada
    • Organizer
      2022 INFORMS Annual Meeting
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K14374
  • [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-21K14374
  • [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] 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-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-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] 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-21K14374
  • [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-21K14374
  • [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] 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-21K14374
  • [Presentation] Pricing Electricity Day-Ahead Cap Futures Using Multifactor GAMLSS Density Forecasts2021

    • Author(s)
      Takuji Matsumoto, Derek W. Bunn, Yuji Yamada
    • Organizer
      2021 INFORMS Annual Meeting
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K14374
  • [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] 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] 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] 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] 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] 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] 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] 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] 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] 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
  • 1.  山田 雄二 (50344859)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 63 results
  • 2.  倉橋 節也 (40431663)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 3.  牧本 直樹 (90242263)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 1 results
  • 4.  後藤 順哉 (40334031)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 5.  高嶋 隆太 (50401138)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 6.  山口 順之 (50371224)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 7.  田中 謙司 (40431788)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results

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