Yuji Yamada

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Pricing electricity day-ahead cap futures with multifactor skew-t densities	2022-05-27	Paper
Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market	2019-06-04	Paper
Optimal hedging of basket barrier options with additive models and its application to equity value separation problem	2018-12-03	Paper
Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints	2018-12-03	Paper
Application of homotopy analysis method to option pricing under Lévy processes	2015-02-04	Paper
Properties of optimal smooth functions in additive models for hedging multivariate derivatives	2012-07-17	Paper
https://portal.mardi4nfdi.de/entity/Q3001088	2011-05-31	Paper
Reflection equation for the N=3 Cremmer-Gervais R-matrix	2010-02-01	Paper
Optimal hedging of prediction errors using prediction errors	2008-09-10	Paper
A new computational tool for analysing dynamic hedging under transaction costs	2008-08-07	Paper
Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis	2007-06-07	Paper
AN EFFICIENT CALIBRATION METHOD FOR THE MULTI-FACTOR LIBOR MARKET MODEL AND ITS APPLICATION TO THE JAPANESE MARKET	2007-02-08	Paper
Properties of multinomial lattices with cumulants for option pricing and hedging	2006-11-17	Paper
VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING	2005-06-22	Paper
DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS	2005-06-22	Paper
A remark on solutions of reflection equation for the critical Z_N-symmetric vertex model	2004-06-22	Paper
Global optimization for robust control synthesis based on the matrix product eigenvalue problem	2004-02-23	Paper
Segre threefold and \(N=3\) reflection equation	2002-06-19	Paper
https://portal.mardi4nfdi.de/entity/Q2779364	2002-04-15	Paper
Author's reply: Remarks on global optimization algorithm for \(H_ \infty\) control by H. D. Tuan.	2001-08-05	Paper
https://portal.mardi4nfdi.de/entity/Q4253164	2001-04-11	Paper
Bethe ansatz equations for the broken \(\mathbb Z_ N\)-symmetric model.	2001-01-16	Paper
An LMI approach to local optimization for constantly scaled H control problems	2001-01-03	Paper
Computational complexity in robust controller synthesis	1999-02-23	Paper
Global optimization for H/sub ∞/ control with constant diagonal scaling	1999-01-14	Paper

Research outcomes over time

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