Welcome to Yuji Yamada's Homepage

 

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.

日本語ページはこちら

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.