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Yuji Yamada Professor Dean, Faculty of Business Sciences University of Tsukuba |
Thank you for visiting my
homepage! I am a professor in Faculty of
Business Sciences, University of Tsukuba, Tokyo, Japan, and teach finance
courses at Graduate School of Business Sciences. My research interests are in
computational finance, financial econometrics, corporate finance, real
option problems, optimal/robust controls and numerical optimization. |
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Forthcoming events
「はじめよう金融工学」特集記事M-ファイル集ダウンロードはこちら
「計算で学ぶファイナンス」M-ファイル集ダウンロードはこちら
What's new?
March 16, 2019: Workshop
on Theory and Practice for Risk Management of Electricity Market (Japanese
only) has been held at University of Tsukuba, Tokyo Campus, Bunkyo-School
Building.
February 16, 2019: The
1st Data Systems Science Workshop (Japanese only) has been held at
University of Tsukuba, Tokyo Campus, Bunkyo-School Building.
November 25-27, 2018: The 19th
Symposium on Knowledge and Systems Sciences (KSS 2018) has been held at University
of Tsukuba, Tokyo Campus, Bunkyo-School Building.
October 27, 2017: I will give a seminar presentation in the Systems and Control Seminar, Mechanical and Aerospace
Engineering, UCLA.
May 10, 2017: CV, List of publications, etc have been updated in this website.
November 9, 2016: Mathematical Finance’s website is now open.
September 14, 2016: Financial Enginnering’s website is now open.
June 24, 2016: Investment Scinece’s
website is now open.
May 18, 2016: Kiban (A) Seminar on Pricing Parisian and Parasian Options by
Prof. Zhu (co-organized by JAFEE
derivatives research division) will be held from 6pm on June 21 at
Bunkyo-School Bldg., Tokyo-Campus, University of Tsukuba, Tokyo (Click here for the title and abstract).
April 6, 2016: Intoroduction to Finance’s website is now open.
September 24, 2015: Financial Engieering’s website is now open.
June 10, 2015: Investment Scinece’s
website is now open.
April 3, 2015: Intoroduction to Finance’s website is now open.
October 29, 2014: Mathematical Finance’s website is now open.
September 24, 2014: Financial Engineering’s website is now open.
June 13, 2014: Investment Science’s website is
now open.
April 3, 2014: Introduction to Finance’s website
is now open.
February 12, 2014: I have presented an award talk entitled "Energy risk management
and derivatives" in the 2013 Best Faculty Member award ceremony held at
University Hall, University of Tsukuba. Click here
to see the commemorative shield.
January 15, 2014: I have been selected as a “2013 Best Faculty Member” of University of
Tsukuba and the award ceremony will be held on February 12, 2014 (Japanese
only).
January 10, 2014: I have presented a paper entitled "CAPM with higher order
moments: Empirical analysis using idiosyncratic-comoment
(co-authored with Dr. Yoshino and Mr. Saito, Daiwa Securities, co. ltd., in
Japanese)" in the JAFEE Winter Conference, Mita-campus,
Keio University, Tokyo. Click here
for the paper (Japanese only)．
October 31, 2013: Advanced Topics in Financial Engineering’s website is now open
(Japanese only).
September 19, 2013: Financial Engineering’s website is now open (Japanese only).
September 19, 2013: The list of publications
has been updated.
July 10, 2013: Research project
page on wind derivatives is now open.
June 14, 2013: Investment Science’s website is
now open (Japanese only).
April 6, 2013: Introduction to Finance’s website
has been updated.
April 3, 2013: Introduction to Finance’s website
is now open.
April 2, 2013: The 12th issue of JAFEE journal
(co-edited with Drs. Tsuda and Nakatsuma, in Japanese) has been
published by Asakura Publishing, Co., Ltd.
April 1, 2013: Curriculum vitae has been updated.
March 20, 2013: The JAFEE-Columbia-ISM International Conference on Financial
Mathematics, Engineering, and Statistics has been finished successfully.
Thanks for the participation.
February 5, 2013: The list of publications
has been updated.
January 27, 2013: The 2013 JAFEE Winter Conference has been finished successfully.
Thanks for the participation.
December 20, 2012: The
JAFEE-Columbia-ISM International Conference on Financial Mathematics,
Engineering, and Statistics will take place on March 18-19, 2013 at ISM Tachikawa Campus, Tokyo, Japan.
October 23, 2012: The second exercise has been posted in Financial Engineering’s website
(Japanese only).
October 16, 2012: The first exercise has been posted in Financial Engineering’s website.
October 6, 2012: Financial Engineering’s website is now open (Japanese only).
October 5, 2012: The webpages of Introduction to Finance has been closed.
September 6, 2012: The 2012 JAFEE Winter Conference will be held on January 25—26, 2013,
at Tokyo Campus,
University of Tsukuba. Click here
for the submission information (Japanese only).
August 5, 2012: I have presented a paper entitled "A Model Predictive Control
Approach for Portfolio Optimization with Cointegrated
Pairs of Stocks (co-authored with J.A. Primbs,
Department of Systems Engineering, University of Texas at Dallas, USA)"
in the 2012 JAFEE Summer Conference, Seijo
University, Tokyo.
July 6, 2012: Investment Science’s website has
been updated (Japanese only).
June 22, 2012: Investment Science’s website is
now open.
June 22, 2012: A research paper entitled ''Optimal Hedging of Basket Options Using Smooth Payoff Functions:
Comparison with Super-Hedging Strategy'' will be
presented at 2012 American
Control Conference, June 27-29, Montréal, Canada. Also, I will serve as a
panelist of the panel discussion in a tutorial session, ''Hedged-Like Stock Trading from a Control
Theoretic Point of View.''
June 19, 2012: Introduction to Finance’s website
has been updated (Japanese only).
June 9, 2012: Our graduate school’s open house
will be held on June 16, 2012 (Japanese only).
May 24, 2012: Introduction to Finance’s website
is now open.
May 15, 2012: Reading seminar on financial
econometrics will start from May 26.
May 12, 2012: "Introduction to Finance
(Master’s program)" will start from May 26.
April 1, 2012: The 2012 JAFEE Summer Conference
will be held on August 3—4, 2012. Click here
for the submission information (Japanese only).
March 31, 2012: The 11th issue of JAFEE
journal (co-edited with Drs. Tsuda and Nakatsuma, in Japanese) has
been published by Asakura Publishing, Co., Ltd.
March 13, 2012: The 2011 JAFEE best paper award has been awarded to my paper entitled
"Optimal design of wind derivatives based on prediction errors (in
Japanese)."
March 12, 2012: I have presented a paper entitled "Idiosyncratic-comoment puzzle: Risk premium on skewness and kurtosis of
the market universe (co-authored with Dr. Yoshino and Mr. Saito, Daiwa
Securities, co. ltd., in Japanese)" in the 2012 JAFEE Winter Conference,
Bunkyo-Campus, University of Tsukuba, Tokyo. Click here for the paper (Japanese only)．
March 1, 2012: "Learning of Finance on
Computers -- MATLAB Based Approach -- (in Japanese, Asakura Publishing, Co.,
Ltd)" has been on sale.