1. No category

発表論文リスト
筑波大学
ビジネスサイエンス系
山田 雄二
学術雑誌掲載論文
[1] 山田, 吉野, 斉藤, '' 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 –,'' JAFEE ジャーナル採択済 (in Japanese).
[2] T. Sakuma and Y. Yamada, ''Application of the Improved Fast Gauss Transform to Option Pricing under
Jump-diffusion Processes,'' accepted for publication in Journal of Computational Finance.
[3] T. Sakuma and Y. Yamada, ''Application of Homotopy Analysis Method to Option Pricing Under Lévy
Processes,'' Asia-Pacific Financial Markets, vol. 21, no. 1, pp. 1-14, 2014.
[4] 山田, 吉野, 斉藤, '' I-共変動: 市場ユニバースにおける新たなリスク指標,'' JAFEE ジャーナル第
12 巻, pp. 168-195, 2013.
[5] Y. Yamada, ''Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate
Derivatives,'' Asia-Pacific Financial Markets, vol. 19, no. 2, pp. 149-179, 2012.
[6] Y. Yamada and J.A. Primbs, “Optimal Trading with Cointegrated Pairs of Stocks,” RECENT
ADVANCES IN FINANCIAL ENGINEERING, World Scientific, vol. 4, pp. 183-201, 2012.
[7] 山田, J.A. Primbs, ''共和分性に基づく最適ペアトレード,'' JAFEE ジャーナル第 11 巻, pp. 125-152,
2012 (in Japanese).
[8] Y. Yamada, ''Optimal Hedging with Additive Models,'' RECENT ADVANCES IN FINANCIAL
ENGINEERING, World Scientific, vol. 3, pp. 225-245, 2011.
[9]
K. Sato, Y. Yamada, and H. Fujioka, ''Mean square optimal hedging with non-uniform rebalancing
intervals,'' The SICE Journal of Control, Measurement, and System Integration, vol. 2, no. 1, pp. 32-35,
2009.
[10] Y. Yamada, ''Optimal hedging of prediction errors using prediction errors,'' Asia-Pacific Financial
Markets, vol. 15, no. 1, pp. 67-95, 2008.
[11] J. Primbs and Y. Yamada, ''A New Computational Tool for Analyzing Dynamic Hedging under
Transaction Costs,'' Quantitative Finance, vol. 8, issue 4, pp. 405-413, 2008.
[12] Y. Yamada, ''Valuation and Hedging of Weather Derivatives on Monthly Average Temperature,'' Journal
of Risk, vol. 10, no. 1, pp. 101-125, Fall 2007.
[13] 山田, ''風速予測誤差に基づく風力デリバティブの最適化設計,'' JAFEE ジャーナル第 7 巻, pp.
152-181, 2008 (in Japanese).
[14] J.A. Primbs, M. Rathinam, and Y. Yamada, “Option Pricing with a Pentanomial Lattice Model that
Incorporates Skewness and Kurtosis,” Applied Math Finance, vol. 14, no. 1, pp. 1-17, 2007.
[15] Y. Yamada and J.A. Primbs, “Properties of multinomial lattices with cumulants for option pricing and
hedging,” Asia-Pacific Financial Markets, vol. 11, no. 3, pp. 335-365, 2006.
[16] J.A. Primbs and Y. Yamada, “A Moment Computation Algorithm for the Error in Discrete Dynamic
Hedging,” Journal of Banking and Finance, vol. 30, no. 2, pp. 519-540, 2006.
[17] 山田, 飯田, 椿: “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,” 統計
数理第 54 巻第 1 号 57-78, 2006 (in Japanese).
[18] H. Tanimura and Y. Yamada, “An Efficient Calibration Method for the Multi-Factor LIBOR Market
Model and its Applications to the Japanese Market,” International Journal of Theoretical and Applied
Finance, vol. 9, no. 7, pp. 1123-1139, 2006.
[19] Y. Yamada and J.A. Primbs, “Value-at-Risk (VaR) Estimation for Dynamic Hedging,” International
Journal of Theoretical and Applied Finance, Vol. 5, No. 4, pp. 333—354, 2002.
[20] Y. Yamada and J.A. Primbs, “Distribution based Options Pricing on Lattice Asset Dynamics Models,”
International Journal of Theoretical and Applied Finance, Vol. 5, No. 6, pp. 599—618, 2002.
[21] Y. Yamada and S. Hara, “Global Optimization for Robust Control Synthesis based on the Matrix Product
Eigenvalue Problem,” International Journal of Robust and Nonlinear Control, vol. 11, pp. 857—878, 2001.
[22] 山田, 原: “行列積固有値問題(MPEP)大域最適化の計算量解析,” 計測自動制御学会論文集, vol.
37, no.6, pp. 541—548, 2001 (in Japanese).
[23] 山田, 原: “定数スケールド H-infinity 問題の計算量解析: ブロック対角ケース,” 計測自動制御学
会論文集, vol. 35, no.4, pp. 506—514, 1999 (in Japanese).
[24] Y. Yamada and S. Hara, “Global Optimization for H-infinity Control with Constant Diagonal scaling,”
IEEE Transactions on Automatic Control, vol. 43, no.2, pp. 191—203, 1998.
[25] Y. Yamada, S. Hara, and H. Fujioka, “epsilon-Feasibility for H-infinity Control Problem with Constant
Diagonal Scaling,” SICE Transactions, vol. 33, no. 3, pp. 155—162, 1997.
[26] Y. Yamada and S. Hara, “An LMI Approach to Local Optimization for Constantly Scaled H-infinity
Control Problems,” International Journal of Control, vol. 67, no. 2, pp. 233—250, 1997.
書籍
[27] 津田, 中妻, 山田編: ジャフィージャーナル ｢リスクマネジメント｣，朝倉書店, 2014 年 4 月刊行
予定.
[28] Y. Yamada (2013), ''Risk Management Tools for Wind Power Trades: Weather Derivatives on Forecast
Errors,'' P. M. Pardalos et al. (eds.), Handbook of Wind Power Systems, Energy Systems, DOI:
10.1007/978-3-642-41080-2_3, Springer-Verlag Berlin Heidelberg 2013, pp. 39-66. (download)
[29] 津田, 中妻, 山田編: 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｣，朝倉書店,
2013 年 3 月.
[30] ｢経済時系列分析ハンドブック」(刈屋・前川・矢島・福地・川崎編, 朝倉書店, 2012), 第 8.4 節 “エ
ネルギー事業リスクとデリバティブ.”
[31] 津田, 中妻, 山田編: ジャフィージャーナル ｢市場構造分析と新たな資産運用手法｣，朝倉書店,
2012 年 3 月.
[32] 津田, 中妻, 山田編: ジャフィージャーナル ｢バリュエーション｣，朝倉書店, 2011 年 4 月.
[33] 津田, 中妻, 山田編: ジャフィージャーナル ｢定量的信用リスク評価とその応用｣，朝倉書店,
2010 年 3 月.
[34] 津田, 中妻, 山田編: ジャフィージャーナル ｢ベイズ統計学とファイナンス｣，朝倉書店, 2009 年
3 月.
[35] ｢金融工学ハンドブック」(J.R. Birge, V. Linetsky 編, 木島正明監訳, 朝倉書店, 2009), 第 13 章 “オ
プションの価格付け：実分布とリスク中立分布”訳.
[36] 津田，中妻，山田編：ジャフィージャーナル
朝倉書店, 2008 年 3 月.
｢非流動性資産の価格付けとリアルオプション｣，
[37] 山田，牧本：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—｣，朝倉書店, 2008 年 1 月.
[38] 大澤，徐，山田編著：シリーズ ビジネスの数理 第 2 巻 ｢チャンスとリスクのマネジメント｣，
朝倉書店, 2006 年 3 月.
[39] ｢金融経済学ハンドブック」(G.M. Constantinides, M. Harris, R. Stulz 編, 加藤英明監訳, 丸善株式会
社, 2006), 第 19 章 “デリバティブ”訳．
[40] ｢金融工学事典」(今野浩･刈屋武昭･木島正明編集，朝倉書店，2004), “アメリカンオプション,”
適制御,” “動的計画法,” “自由境界問題”執筆．
“最
[41] 猿渡，徐，鈴木，椿，牧本，山田，吉澤，領家：シリーズ ビジネスの数理 第 1 巻 ｢ビジネス数
理への誘い｣，朝倉書店, 2003 年 9 月．
解説・特集・記事
[42] 山田, ''エネルギー価格変動リスクとデリバティブ,'' エネルギーレビューERC 出版第 357 巻, pp.
19-22, 2010.
[43] 山田：“金融工学と制御 (ミニ特集｢制御の原理と先端科学技術｣),” 計測と制御, vol. 46, no.3, pp.
185—191, 2007.
[44] 山田：“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｣),” オペレーションズ・リサーチ, vol. 53, no.4, pp. 217—223, 2008.
レクチャーノートシリーズ掲載論文
[45] Y. Yamada and J.A. Primbs, “Construction of Multinomial Lattice on Optimal Hedging,” Lecture Note
Series on Computer Science, LNCS 2073, 579—588, Springer Verlag,” 2001.
[46] S. Hara and Y. Yamada, “Computational Complexity in Robust Controller Synthesis,” in Learning,
Control and Hybrid systems, ” Y. Yamamoto and S. Hara (Eds), Springer Verlag, pp. 56—80, 1998.
査読付国際会議発表論文
[47] Y. Yamada and J.A. Primbs, ''Model Predictive Control for Optimal Portfolios with Cointegrated Pairs of
Stocks,'' Proceedings of the 2012 IEEE Conference on Decision and Control, pp. 5705-5710, 2012.
[48] Y. Yamada, ''Optimal Hedging of Basket Options Using Smooth Payoff Functions: Comparison with
Super-Hedging Strategy,'' Proceedings of the 2012 American Control Conference, pp. 3699-3704, 2012.
[49] Y. Yamada, ''Optimal Hedging for Multivariate Derivatives Based on Additive Models,'' Proceedings of
the 2011 American Control Conference, pp. 3856-3861, 2011.
[50] Y. Yamada, ''Simultaneous optimization for wind derivatives based on prediction errors,'' Proceedings of
the 2008 American Control Conference, pp. 350-355, 2008.
[51] Y. Yamada, “Controlling Business Risks Using Weather Derivatives,” Proceedings of the 2006 American
Control Conference, pp. 1260-1265, 2006. (download)
[52] Y. Yamada and J.A. Primbs, “Option valuation and hedging using multinomial lattices with cumulants,”
Proceedings of the 2006 American Control Conference, pp. 1278-1283, 2006.
[53] Y. Yamada and J.A. Primbs, “Effect of higher order moments on hedging loss VaR and CVaR,”
Proceedings of Financial Engineering Applications, pp. 21—26, MIT, Nov. 8-10, 2004. (download)
[54] J.A. Primbs and Y. Yamada, “Analysis Tools and Techniques for Dynamic Hedging under Transaction
Costs,” Proceedings of Financial Engineering Applications, pp. 154—159, MIT, Nov. 8-10, 2004.
(download)
[55] Y. Yamada and J.A. Primbs, “Mean Square Optimal Hedges Using Higher Order Moments,” Proc. of the
2003 International Conference on Computational Intelligence for Financial Engineering (CIFEr2003).
(download)
[56] J.A. Primbs and Y. Yamada, “A Moment based Analysis of Hedging under Discrete Trading,” Proc. of the
2003 International Conference on Computational Intelligence for Financial Engineering (CIFEr2003).
(download)
[57] Y. Yamada and J.A. Primbs, “Construction of Multinomial Lattice on Optimal Hedging,” Proceedings of
the International Conference on Computational Science, 2001.
[58] Y. Yamada and J. A. Primbs, “Risk Estimates for Dynamic Hedging Using Convex Probability Bounds,”
Proceedings of the 2001 American Control Conference.
[59] Y. Yamada and J.A. Primbs, “Distribution based Options Pricing on Lattice Asset Dynamics Models,”
Proceedings of the 2000 American Control Conference.
[60] Y. Yamada and S. Hara, “Matrix-Based Bounding vs. Element-Wise Bounding for the MPEP Global
Optimization,” Proceedings of the IEEE Conference on Decision and Control, pp. 3861—3866, 1998.
[61] Y. Yamada and S. Hara, “The Matrix Product Eigenvalue Problem: Global optimization for the spectral
radius of a matrix product under convex constraints,” Proceedings of the IEEE Conference on Decision
and Control, pp. 4926—4931, 1997.
[62] Y. Yamada and S. Hara, “Global Optimization for H-infinity Control with Block-diagonal Constant
Scaling,” Proceedings of the IEEE Conference on Decision and Control, pp. 1325—1330, 1996.
[63] Y. Yamada, S. Hara, and H. Fujioka, “Global Optimization for Constantly Scaled H-infinity Control
Problem,” Proceedings of the American Control Conference, pp. 427—430, 1995.
その他学会発表論文
[64] 山田,吉野, 斉藤: “高次モーメント型 CAPM: I-共変動を用いた実証分析,” JAFEE 冬季大会予稿集,
pp.71-82, 2012.
[65] Y. Yamada, “Evaluation of Multi-asset Equity Values Using Optimal Smooth Functions on the First
Passage Time Structural Models,” Proceedings of the JAFEE Summer Conference, pp.31-42, 2013.
[66] 松田, 山田: “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 –,”
日本ファイナンス学会第 21 回大会予稿集, 2013.
[67] Y. Yamada, “Optimal Approximation of Basket Options: Application and Comparison with
Super-Hedging Strategy,” Proceedings of the JAFEE Winter Conference, 2013.
[68] Y. Yamada and James A. Primbs, “A Model Predictive Control Approach for Portfolio Optimization with
Cointegrated Pairs of Stocks,” Proceedings of the JAFEE Summer Conference, 2012.
[69] 山田,吉野, 斉藤: “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,” JAFEE 冬季大会予稿集, pp.71-82, 2012.
[70] Y. Yamada, “Construction of Optimal Portfolio with Cointegrated Stocks,” Symposium on Developments
in Control Theory towards Glocal Control, 2012.
[71] 山田: “I-共変動：市場ユニバースにおける新たなリスク指標,” 横浜国立大学・南山大学共同ファ
イナンス・ワークショップ予稿集, 2011.
[72] 山田,吉野, 斉藤: “Idiosyncratic 共変動の資産収益率への影響分析,” JAFEE 夏季大会予稿集,
pp.49-60, 2011.
[73] 山田: “Hedging of Multivariate Options with Additive Models,” 日本ファイナンス学会第 19 回大会予
稿集, 2011.
[74] 中島，山田: “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,” 日本ファイ
ナンス学会第 19 回大会予稿集, 2011.
[75] Y. Yamada, '' Optimal Trading with Cointegrated Pairs of Stocks,'' 2011 International Workshop on
Finance, 2011.
[76] Y. Yamada, ''Hedging Multivariate Illiquid Asset Derivatives Based on the Additive Models,'' Quantitative
Methods in Finance, 2010.
[77] Y. Yamada, “Robust Hedging of Multivariate Derivatives Using Additive Models” 2010 KIER-TMU
International Workshop on Financial Engineering, 2010.
[78] Y. Yamada, “Optimal Hedging of Basket Options Using Separate Options on Individual Assets,”
Proceedings of the JAFEE Winter Conference, pp.175-186, 2010.
[79] 榎本, 山田, 牧本, 久保, 谷川: “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),” 第 21 回電気学会電力エネルギー部門大会予稿集, 2010.
[80] 久保, 谷川, 榎本, 山田, 牧本: “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),” 第 21 回電気学会電力エネルギー部門大会予稿集, 2010.
[81] 山田, 牧本, 榎本, 久保, 谷川: “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),” 第 21 回電気学会電力エネルギー部門大会予稿集, 2010.
[82] 山田: “新エネルギー発電とデリバティブ,” 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」予稿集, pp. 46-63,2010.
[83] T. Sakuma and Y. Yamada, “Pricing Knock-Out Options Using Homotopy Analysis Method Under Levy
Processes,” Proceedings of the JAFEE Summer Conference, pp.47-58, 2010.
[84] 中島，山田: “J-REIT の価格形成における要因分析,” JAFEE 夏季大会予稿集, pp.311-322, 2010.
[85] Y. Yamada and James A. Primbs, “Portfolio optimization using spreads of pairs of stocks,” 第 27 回 応用
経済時系列研究会・研究報告会, pp. 83, 2010.
[86] Y. Yamada and James A. Primbs, “Optimal Trading of Cointegrated Stocks,” Proceedings of the JAFEE
Winter Conference, pp. 441, 2009.
[87] Y. Yamada, “Optimal Hedging Using Additive Models,” Proceedings of the JAFEE Winter, pp. 333—351,
2009.
[88] 山田: “金融派生証券理論と制御,” SICE セミナー「実践的な制御理論」テキスト, 計測自動制御学
会, pp. 27—42, 2009.
[89] Y. Yamada, ''The Interaction of Financial and Engineered Systems,'' Proceedings of the 2008 IEEE
Conference on Decision and Control, 2008.
[90] Y. Yamada, ''Weather derivatives for hedging the loss on wind power energy businesses caused by
prediction errors,'' DEWEK 2008, pp. 52, 2008.
[91] Y. Yamada, '' Optimal hedging of prediction errors using prediction errors,'' 2008 INFORMS Annual
Meeting, 2008.
[92] 佐藤，山田，藤岡: “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,” JAFEE 冬
季大会予稿集, pp.233-240, 2007.
[93] 山田: “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,”
JAFEE 夏季大会予稿集, pp.211-230, 2007.
[94] 山田: “効用無差別価格理論に基づく非完備市場先物均衡価格,” JAFEE 冬季大会予稿集, pp.70-86,
2007. (download)
[95] 山田: “取引ボリュームを考慮した天候デリバティブの均衡価格とヘッジ効果の測定,” JAFEE 冬
季大会予稿集, pp.113-131, 2005. (download)
[96] 山田: “天候デリバティブの価格評価とエネルギー事業リスクコントロール,” 第 22 回応用経済時
系列研究会予稿集, pp.19-36, 2005. (download)
[97] Y. Yamada, H. Tsubaki, and M. Manami, “Pricing of Weather Derivatives Based on the Generalized
Additive Models and Their Application to Business Risk Hedges,” Proceedings of the JAFEE Summmer
Conference, pp. 199—213, 2005.
[98] Y. Yamada and James A. Primbs, “Cumulant Based Finite Difference Approximations for Option
Valuation and Hedging,” Proceedings of the JAFEE Winter Conference, pp. 186—198, 2004.
[99] H. Tanimura and Y. Yamada, “An Efficient Calibration Method for the Multi-Factor LIBOR Market
Models and Its Application to the Japanese Market,” Proceedings of the JAFEE Winter Conference, pp.
75—75, 2004.
[100]
Y. Yamada and J.A. Primbs, “Value-at-Risk Estimation for Multi-Period Mean Square Optimal
Hedging with Jumps,” Presented in the 2003 Quantitative Method in Finance (QMF2003), Australia.
(download)
[101]
Yuji Yamada and James A. Primbs, “Value-at-Risk Estimation for Multi-Period Mean Square
Optimal Hedging with Jumps,” Proceedings of the JAFEE Winter Conference, pp. 295—309, 2003.
[102]
Yuji Yamada and James A. Primbs, “Mean Square Optimal Hedges Using Higher Order Moments,”
Proceeding of the 6th Columbia-JAFEE International Conference, pp. 148—161, 2003.
[103]
Yuji Yamada and James A. Primbs, “On the Relations between Market Risk and Higher Order
Moments,” Proceedings of the JAFEE Summer Conference, pp. 238—252, 2002.
[104]
Yuji Yamada and James A. Primbs, “Value-at-Risk (VaR) Estimation for Dynamic Hedging,”
Proceedings of the JAFEE Summer Conference, pp. 99—118, 2001.
[105]
Y. Yamada and S. Hara, “Global Optimization for the Matrix Produce Eigenvalue Problem,” The 27th
SICE Symposium on Control Theory, Hanamaki, Japan, 1998.
[106]
Y. Yamada and S. Hara, “Global optimization of a matrix product eigenvalue under LMI constraints
with monotonicity property,” The 26th SICE Symposium on Control Theory, Chiba, Japan, 1997.
[107]
Y. Yamada and S. Hara, “A Global Algorithm for Scaled Spectral Norm Optimization,” The 25th
SICE Symposium on Control Theory, Chiba, Japan, 1996.
[108]
Y. Yamada and S. Hara, “Global Optimization for H-infinity Control with Constant Diagonal Scaling
– Robust Performance Synthesis –,” The 24th SICE Symposium on Control Theory, Kariya, Japan, 1995.
[109]
Y. Yamada, S. Hara, and H. Fujioka, “H-infinity Control Problem with Constant Diagonal Scaling –
Global Optimization for Output Feedback Case –,” The 17th SICE Symposium on Dynamical System
Theory, Chiba, Japan, 1994.
[110]
Y. Yamada, H. Fujioka, and S. Hara, “Convexity in Constantly Scaled H-infinity Control Problem,”
The 23h SICE Symposium on Control Theory, Kariya, Japan, 1994.
学位論文
[111]
Y. Yamada, “Global Optimization for Robust Control Synthesis based on the Matrix Product
Eigenvalue Problem,” Ph. D. dissertation, Tokyo Institute of Technology, Yokohama, Japan, 1998.
[112]
Y. Yamada, “Numerical Optimization for Constantly Scaled H-infinity Control Problem via Output
Feedback,” Master’s thesis, Tokyo Institute of Technology, Yokohama, Japan, 1995.