Yuji Yamada

List of Publications/Presentations

Journal Papers

[1]     Y. Takeda, Y. Suzuki, K. Fukumachi, Y. Yamada, and , K. Tanaka, '' Efficient Simulator for P2P Energy Trading: Customizable Bid Preferences for Trading Agents,'' Energies 2024, 17(23), 5945; https://doi.org/10.3390/en17235945. (MDPI)

[2]     Y. Yamada and T. Matsumoto, ''Construction of Mixed Derivatives Strategy for Wind Power Producers,'' Energies, Volume 16, Issue 9, 2023, https://doi.org/10.3390/en16093809. (MDPI)

[3]     T. Matsumoto and Y. Yamada, ''Improving the Efficiency of Hedge Trading Using Higher-Order Standardized Weather Derivatives for Wind Power,'' Energies, Volume 16, Issue 7, 2023, https://doi.org/10.3390/en16073112. (MDPI)

[4]     Y. Iioka and Y. Yamada, "The evolution of capital structure and debt governance: Evidence from private equity-backed companies in Japan", Pacific-Basin Finance Journal, Volume 79, 2023, 102017, ISSN 0927-538X, https://doi.org/10.1016/j.pacfin.2023.102017. (ScienceDirect)(Tsukuba Repository)

[5]     K. Hoshisashi and Y. Yamada, "Pricing Multi-Asset Bermudan Commodity Options with Stochastic Volatility Using Neural Networks", Journal of Risk and Financial Management, 16(3), 192, pp. 1-24, 2023, https://doi.org/10.3390/jrfm16030192. (MDPI)

[6]     S. Kuno, K. Tanaka and Y. Yamada, ''Effectiveness and Feasibility of Market Makers for P2P Electricity Trading,'' Energies, Volume 15, Issue 12, June 2022. (MDPI)

[7]     T. Matsumoto, D. Bunn and Y. Yamada, "Pricing electricity day-ahead cap futures with multifactor skew-t densities", Quantitative Finance, 22:5, pp. 835-860, 2022, DOI: 10.1080/14697688.2021.1984553. (Taylor & Francis Online)

[8]     T. Matsumoto, D. Bunn and Y. Yamada, "Mitigation of the Inefficiency in Imbalance Settlement Designs Using Day-Ahead Prices," IEEE Transactions on Power Systems, vol. 37, no. 5, pp. 3333-3345, 2022, DOI: 10.1109/TPWRS.2021.3135334. (IEEE Xplore)

[9]     R. Kontani, K. Tanaka and Y. Yamada, ''Feasibility Conditions for Demonstrative Peer-to-Peer Energy Market,'' Energies, Volume 14, Issue 21, November 2021. (MDPI)

[10]  Y. Yamada and T. Matsumoto, ''Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets,'' Energies, Volume 14, Issue 21, November 2021. (MDPI)

[11]  T. Matsumoto and Y. Yamada, ''Comprehensive and Comparative Analysis of GAM-Based PV Power Forecasting Models Using Multidimensional Tensor Product Splines against Machine Learning Techniques,'' Energies, Volume 14, Issue 21, November 2021. (MDPI)

[12]  T. Matsumoto and Y. Yamada, ''Customized yet Standardized Temperature Derivatives: A Non-Parametric Approach with Suitable Basis Selection for Ensuring Robustness,'' Energies, Volume 14, Issue 21, November 2021. (MDPI)

[13]  T. Matsumoto and Y. Yamada, ''Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives,'' Energy Economics, Volume 95, March 2021. (ScienceDirect)

[14]  T. Matsumoto and Y. Yamada, ''Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market,'' Asia-Pacific Financial Markets, vol. 26, no.2, pp. 211-227, 2019. https://doi.org/10.1007/s10690-018-9264-3. (Springer Link) (Download from the Kanazawa University Repository)

[15]  松本, 山田, ''天気概況予報と天気別周期性トレンドに基づく太陽光発電事業者のための予測手法,'' 日本オペレーションズ・リサーチ学会和文論文誌, vol. 62, pp. 1-22, 2019 (in Japanese). (J-STAGE)

[16]  村上, 山田, ''傾向スコア・マッチング法を用いた買収による生産性改善効果の検証,'' JAFEEジャーナル, vol. 17, pp. 67-75, 2019 (in Japanese). (J-STAGE)

[17]  村上, 山田, ''日本企業による買収の収益性改善効果に関する研究,''経営情報学会誌, vol. 27, no. 3., pp. 169-194, 2018 (in Japanese). (CiNii)

[18]  Y. Yamada and J. A. Primbs, ''Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints,'' Asia-Pacific Financial Markets, vol. 25, no.1, pp1-21, 2018.  https://doi.org/10.1007/s10690-017-9236-z. (Springer Link) (Draft version)

[19]  J. A. Primbs and Y. Yamada, ''Pairs trading under transaction costs using model predictive control,'' Quantitative Finance, vol. 18, issue6, pp. 885-895, 2017. (Taylor & Francis Online)

[20]  Y. Yamada, ''Optimal Hedging of Basket Barrier Options with Additive Models and Its Application to Equity Value Separation Problem,'' Asia-Pacific Financial Markets，vol. 24, no.1, pp1-18, 2017. (Springer Link) (Download from the University of Tsukuba Repository)

[21]  穴山, 山田, ''逐次推定・最適化に基づく生命保険負債の動的ヘッジ戦略, '' JAFEEジャーナル第16巻, pp. 71-101, 2017 (in Japanese). (Download from the University of Tsukuba Repository)

[22]  山田, 牧本, 高嶋, 後藤, ''媒介変数表現に基づくJEPXスポッ ト電力供給・需要関数の推定,'' JAFEEジャーナル第15巻, pp. 64-93, 2016 (in Japanese). (Download from the University of Tsukuba Repository)

[23]  山田, 牧本, 高嶋, ''一般化加法モデルを用いたJEPX時間帯価格予測と入札量-価格関数の推定, '' JAFEEジャーナル第14巻, pp. 8-39, 2015 (in Japanese). (Download from the University of Tsukuba Repository)

[24]  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ジャーナル第13巻, pp. 10-41, 2014 (in Japanese). (Download from the University of Tsukuba Repository)

[25]  T. Sakuma and Y. Yamada, ''Application of the Improved Fast Gauss Transform to Option Pricing under Jump-diffusion Processes,'' Journal of Computational Finance, vol. 18, no. 2, pp. 31-56, 2014. (Download from the University of Tsukuba Repository)

[26]  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. (Download from the University of Tsukuba Repository)

[27]  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 (in Japanese). (Download from the University of Tsukuba Repository)

[28]  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. (Download from the University of Tsukuba Repository)

[29]  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). (Download from the University of Tsukuba Repository)

[30]    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. (Taylor & Francis Online)

[31]  Y. Yamada, ''Optimal hedging of prediction errors using prediction errors,'' Asia-Pacific Financial Markets, vol. 15, no. 1, pp. 67-95, 2008. (Download from the University of Tsukuba Repository)

[32]  J. A. 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. (Taylor & Francis Online)

[33]  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). (Download from the University of Tsukuba Repository)

[34]  Y. Yamada, ''Valuation and Hedging of Weather Derivatives on Monthly Average Temperature,'' Journal of Risk, vol. 10, no. 1, pp. 101-125, Fall 2007. (Download from the University of Tsukuba Repository)

[35]  J.A. Primbs, M. Rathinam, and Y. Yamada, “Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis,” Applied Mathematical Finance, vol. 14, no. 1, pp. 1-17, 2007.

[36]  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. (Download from the University of Tsukuba Repository)

[37]   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.

[38]  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). (Download from the University of Tsukuba Repository)

[39]  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.

[40]  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.

[41]   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.

[42]  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.

[43]  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).

[44]  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).

[45]  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.

[46]  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.

[47]  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.

Discussion Paper Series

[48]  山田, ''スポット価格予測に基づくJEPX先渡価格付けモデルの構築,'' RIETIディスカッション・ペーパー・シリーズ, 17-J-072, pp. 1-21, 2017.

Books, Book Chapters and Editors (in Japanese)

[49]  日本金融・証券計量・工学学会 (中妻, 山田, 今井編): ジャフィージャーナル  ｢リスク管理・保険とヘッジ｣，朝倉書店, 2017年 3月.

[50]  日本金融・証券計量・工学学会 (今井, 山田, 中妻編): ジャフィージャーナル  ｢ファイナンスにおける数値計算手法の新展開｣，朝倉書店, 2016年 3月

[51]  ｢制御の事典」(野波・水野ら編), 第2部14章 ''定数スケールドH_\infty制御,'' 朝倉書店, 2015年 7月.

[52]  日本金融・証券計量・工学学会 (中妻, 山田, 今井編): ジャフィージャーナル  ｢ファイナンスとデータ解析｣，朝倉書店, 2015年 3月.

[53]  日本金融・証券計量・工学学会 (中妻, 山田, 今井編):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.

[54]  日本金融・証券計量・工学学会 (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.

[55]  ｢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.”

[56]  日本金融・証券計量・工学学会 (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.

[57]  日本金融・証券計量・工学学会 (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.

[58]  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.

[59]  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.

[60]  ｢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.

[61]  津田，中妻，山田編：ジャフィージャーナル  ｢非流動性資産の価格付けとリアルオプション｣，朝倉書店, 2008年3月.

[62]  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.

[63]  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.

[64]  ｢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．

[65]  ｢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,”  “最適制御,” “動的計画法,” “自由境界問題”執筆．

[66]  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．

Review Articles (in Japanese)

[67]  山田，松本：“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,” オペレーションズ・リサーチ｢特集: エネルギーミックスとOR｣, vol. 65, no.1, pp. 12—19, 2020. (download)

[68]  山田：“風力発電におけるデリバティブモデル,” スマートグリッド, 4月号, pp. 8-12, 2017.

[69]  山田：“連続時間モデルによるオプション価格付けとヘッジ,” オペレーションズ・リサーチ｢特集: はじめよう金融工学｣, vol. 61, no.6, pp. 351—358, 2016. (download)

[70]  山田：“カルテックで培ったもの,” オペレーションズ・リサーチ｢特集: 海外へ行こう｣, vol. 60, no.11, pp. 648—655, 2015. (download)

[71]  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.

[72]  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. (download)

[73]  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. (download)

Book Chapters, Lecture Note Series and Books

[74]  Y. Yamada (Ed.), "Forecasting and Risk Management Techniques for Electricity Markets," MDPI Books, Pages: 212, September 2022.

[75]  J. Chen, Y. Yamada, M. Ryoke and X. Tang (Eds.), Knowledge and Systems Sciences, Proceedings of the 19th International Symposium on Knowledge and Systems Sciences (KSS2018), Springer, 2018.

[76]  Y. Yamada, ''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, 2013.

[77]  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.

[78]  Y. Yamada, ''Optimal Hedging with Additive Models,'' RECENT ADVANCES IN FINANCIAL ENGINEERING, World Scientific, vol. 3, pp. 225-245, 2011.

[79]  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.

[80]  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.

Proceedings of Refereed International Conferences

[81]  Y. Yamada and T. Matsumoto, '' Continuous Hedging Strategy for Power Market Using Financial Instruments on Electricity Price and Weather,'' Extended Abstracts of the 25th International Symposium on Mathematical Theory of Networks and Systems MTNS 2022, pp.171-174. (MTNS 2022 Extended Abstracts)

[82]  Matsumoto, T., Yamada, Y. (2023). Multivariate Weather Derivatives for Wind Power Risk Management: Standardization Scheme and Trading Strategy. In: Caetano, N.S., Felgueiras, M.C. (eds) The 9th International Conference on Energy and Environment Research. ICEER 2022. Environmental Science and Engineering. Springer, Cham. https://doi.org/10.1007/978-3-031-43559-1_26. (Springer Link)

[83]  T. Matsumoto and Y. Yamada, ''Construction of Forecast Model for Power Demand and PV Power Generation Using Tensor Product Spline Function,'' IOP Conference Series: Earth and Environmental Science, Volume 812 (2012), The 3rd International Conference on Clean Energy and Electrical Systems (CEES 2021) Virtual, April 2-4, 2021. (IOPSCIENCE)

[84]  T. Matsumoto and Y. Yamada, ''Hedging strategies for solar power businesses in electricity market using weather derivatives,'' 2019 IEEE 2nd International Conference on Renewable Energy and Power Engineering (REPE), pp. 236-240, 2019. (IEEE Xplore) (Download from the Kanazawa University Repository)

[85]  Y. Yamada and J.A. Primbs, ''Optimal Hedging of Path-Dependent Basket Options with Additive Models,'' Proceedings of the 2015 IEEE Conference on Decision and Control, pp. 1205-1210, 2015.

[86]  Y. Yamada and J.A. Primbs, ''Nonparametric Approaches to Estimation Problems for Demand and Supply Functions in Power Exchange Markets,'' Proceedings of the 2015 IEEE Conference on Decision and Control, pp. 1781-1786, 2015.

[87]  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.

[88]  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.

[89]  Y. Yamada, ''Optimal Hedging for Multivariate Derivatives Based on Additive Models,'' Proceedings of the 2011 American Control Conference, pp. 3856-3861, 2011.

[90]  Y. Yamada, ''Simultaneous optimization for wind derivatives based on prediction errors,'' Proceedings of the 2008 American Control Conference, pp. 350-355, 2008.

[91]  Y. Yamada, “Controlling Business Risks Using Weather Derivatives,” Proceedings of the 2006 American Control Conference, pp. 1260-1265, 2006.

[92]  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.

[93]  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.

[94]  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.

[95]  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).

[96]  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).

[97]  Y. Yamada and J.A. Primbs, “Construction of Multinomial Lattice on Optimal Hedging,” Proceedings of the International Conference on Computational Science, 2001.

[98]  Y. Yamada and J. A. Primbs, “Risk Estimates for Dynamic Hedging Using Convex Probability Bounds,” Proceedings of the 2001 American Control Conference.

[99]   Y. Yamada and J.A. Primbs, “Distribution based Options Pricing on Lattice Asset Dynamics Models,” Proceedings of the 2000 American Control Conference.

[100]          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.

[101]          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.

[102]          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.

[103]          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.

Other Presentations

[104]          松本, 山田, “Principal Component Quanto Derivatives for Enhanced Solar Power Hedging,”第60回JAFEE大会 (2023年度冬季) 予稿集, pp. 1-12, February 2024.

[105]          山田, 松本, “スウィングクオントオプションの価格付けとヘッジ,”第59回JAFEE大会 (2023年度夏季) 予稿集, pp. 1-12, August 2023.

[106]          山田, “JEPXを利用する小売電気事業損失ヘッジのための予測誤差デリバティブ,” 日本ファイナンス学会第26回大会予稿集, pp. 1-15，2018.

[107]          山田, 倉橋, 山口, “電力市場取引模擬実験のための需要予測モデル構築,” 日本オペレーションズ・リサーチ学会2018年春季研究発表会アブストラクト集, pp. 108-109, 2018.

[108]          松本, 山田, “太陽光発電における出力予測誤差損失ヘッジのための日射量デリバティブ,” 日本オペレーションズ・リサーチ学会2018年春季研究発表会アブストラクト集, pp. 62-63, 2018.

[109]          山田, “天候デリバティブによる周期性誤差相関を考慮したJEPXスポット価格のヘッジ,” 2017年度第48回JAFEE冬季大会予稿集, pp. 60-71, 2018.

[110]          山口, 山田, 倉橋, “電力取引が電力系統に及ぼす影響の実験手法の基礎検討,” 日本オペレーションズ・リサーチ学会2018年春季研究発表会アブストラクト集, pp. 106-107, 2018.

[111]          倉橋, 山田, 山口, “電力先物市場の需給バランス影響予測モデル,” 日本オペレーションズ・リサーチ学会2018年春季研究発表会アブストラクト集, pp. 104-105, 2018.

[112]          Y. Yamada, “Model Predictive Control for Hedge Fund Portfolios of Cointegrated Pairs of Stocks with Gross Exposure and Transaction Cost Constraints,” Proceedings of the JAFEE Summer Conference, pp. 22-33, 2017.

[113]          山田, 牧本，“エッシャー変換と時系列予測に基づくJEPX先渡価格付けモデル,” 日本ファイナンス学会第25回大会予稿集, pp. 1-20, 2017.

[114]          山田, 牧本，“ノンパラメトリック回帰推定に基づくJEPXスポット価格予測と先物価格付けへの応用,”  JAFEE冬季大会予稿集, pp. 167-178，2017.

[115]          穴山, 山田，“CVaRを指標とした逐次最適化による動的ALM戦略,”  JAFEE冬季大会予稿集, pp. 167-178，2017.

[116]          Y. Yamada, “Optimal decomposition with knockout condition for basket barrier options using additive models,” Proceedings of the JAFEE Summer Conference, pp.131-142, 2016.

[117]          穴山, 山田, “経済価値ベースの生命保険負債に対するヘッジ戦略の構築,” 日本ファイナンス学会第24回大会予稿集, 2016.

[118]          山田, 牧本, 高嶋, 後藤, “媒介変数表現に基づく供給・需要関数のノンパラメトリック推定とJEPXスポット市場への応用,” JAFEE冬季大会予稿集, pp. 35-46，2016.

[119]          山田, 牧本, 榎本, “WTIフォワードカーブモデルを用いた燃料価格ヘッジのためのデリバティブに関する検討,” 日本オペレーションズ・リサーチ学会2015年秋季研究発表会予稿集, pp. 50-51, 2015.

[120]          後藤, 山田, “単調な一般化加法モデルの二次錐制約を用いた定式化,” 日本オペレーションズ・リサーチ学会2015年秋季研究発表会予稿集, pp. 184-185, 2015.

[121]          高嶋, 山田, 風間, 牧本, “小売事業者の電力調達戦略に対する容量メカニズムの影響,” 日本オペレーションズ・リサーチ学会2015年秋季研究発表会予稿集, pp. 48-49, 2015.

[122]          三澤, 後藤, 山田, “地域間送電・分断を考慮した電源構成についての比較,” 日本オペレーションズ・リサーチ学会2015年秋季研究発表会予稿集, pp. 46-47, 2015.

[123]          Y. Yamada, “Evaluation of multi-asset equity values with default risk using additive models,” Proceedings of the JAFEE Summer Conference, pp.48-59, 2015.

[124]          Y. Yamada, “An Optimal Hedging Approach to Equity Value Assignment Problem for Company Split,” 日本ファイナンス学会第23回大会予稿集, pp. 739-753, 2015.

[125]          山田, 牧本, 高橋, 後藤, “一般化加法モデルを用いたJEPX入札関数の推定,” 日本オペレーションズ・リサーチ学会2015年春季研究発表会予稿集, pp. 258-259, 2015.

[126]          山田, 牧本, 高橋, 後藤, “JEPX入札関数の同時推定と連立方程式モデルとの比較,” JAFEE冬季大会予稿集, pp. 80-92, 2015.

[127]          山田, 牧本, 高橋, 後藤, “一般化加法モデルを用いたJEPX入札関数の推定,” JAFEE夏季大会予稿集, pp. 24-35, 2014.

[128]          山田, 吉野, 斉藤, “I-共変動を用いた個別資産超過リスクプレミアム分析 -Fama-French 3 ファクターモデルとの日本市場における比較-,” 日本ファイナンス学会第22回大会予稿集, pp. 895-916, 2014.

[129]          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, 2014.

[130]          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.

[131]          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.

[132]          Y. Yamada, “Optimal Approximation of Basket Options: Application and Comparison with Super-Hedging Strategy,” Proceedings of the JAFEE Winter Conference, pp.49-60, 2013.

[133]          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, pp.85-96, 2012.

[134]          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.

[135]          Y. Yamada, “Construction of Optimal Portfolio with Cointegrated Stocks,” Symposium on Developments in Control Theory towards Glocal Control, 2012.

[136]          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.

[137]          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.

[138]          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.

[139]          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.

[140]          Y. Yamada, '' Optimal Trading with Cointegrated Pairs of Stocks,'' 2011 International Workshop on Finance, 2011.

[141]          Y. Yamada, ''Hedging Multivariate Illiquid Asset Derivatives Based on the Additive Models,'' Quantitative Methods in Finance, 2010.

[142]          Y. Yamada, “Robust Hedging of Multivariate Derivatives Using Additive Models” 2010 KIER-TMU International Workshop on Financial Engineering, 2010.

[143]           Y. Yamada, “Optimal Hedging of Basket Options Using Separate Options on Individual Assets,” Proceedings of the JAFEE Winter Conference, pp.175-186, 2010.

[144]          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.

[145]          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.

[146]          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.

[147]          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.

[148]          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.

[149]          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.

[150]          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.

[151]          Y. Yamada and James A. Primbs, “Optimal Trading of Cointegrated Stocks,” Proceedings of the JAFEE Winter Conference, pp. 441, 2009.

[152]          Y. Yamada, “Optimal Hedging Using Additive Models,” Proceedings of the JAFEE Winter, pp. 333—351, 2009.

[153]          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.

[154]          Y. Yamada, ''The Interaction of Financial and Engineered Systems,'' Proceedings of the 2008 IEEE Conference on Decision and Control, 2008.

[155]          Y. Yamada, ''Weather derivatives for hedging the loss on wind power energy businesses caused by prediction errors,'' DEWEK 2008, pp. 52, 2008.

[156]          Y. Yamada, '' Optimal hedging of prediction errors using prediction errors,'' 2008 INFORMS Annual Meeting, 2008.

[157]          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.

[158]          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.

[159]          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.

[160]          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.

[161]          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.

[162]          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.

[163]          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.

[164]          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.

[165]          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.

[166]           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.

[167]           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.

[168]          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.

[169]          Yuji Yamada and James A. Primbs, “Value-at-Risk (VaR) Estimation for Dynamic Hedging,” Proceedings of the JAFEE Summer Conference, pp. 99—118, 2001.

[170]          Y. Yamada and S. Hara, “Global Optimization for the Matrix Produce Eigenvalue Problem,” The 27th SICE Symposium on Control Theory, Hanamaki, Japan, 1998.

[171]          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.

[172]          Y. Yamada and S. Hara, “A Global Algorithm for Scaled Spectral Norm Optimization,” The 25th SICE Symposium on Control Theory, Chiba, Japan, 1996.

[173]          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.

[174]          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.

[175]          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.

Dissertation and Thesis

[176]          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.

[177]          Y. Yamada, “Numerical Optimization for Constantly Scaled H-infinity Control Problem via Output Feedback,” Master’s thesis, Tokyo Institute of Technology, Yokohama, Japan, 1995.