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A moment computation algorithm for the error in discrete dynamic hedging

Primbs, James A.; Yamada, Yuji - In: Journal of banking & finance 30 (2006) 2, pp. 519-540

Persistent link: https://www.econbiz.de/10003291317

Optimal hedging of prediction errors using prediction errors

Yamada, Yuji - In: Asia-Pacific financial markets 15 (2008) 1, pp. 67-95

Persistent link: https://www.econbiz.de/10003757439

Valuation and hedging of weather derivatives on monthly average temperature

Yamada, Yuji - In: Journal of risk 10 (2007/08) 1, pp. 101-125

Persistent link: https://www.econbiz.de/10003572544

Properties of optimal smooth functions in additive models for hedging multivariate derivatives

Yamada, Yuji - In: Asia-Pacific financial markets 19 (2012) 2, pp. 149-179

Persistent link: https://www.econbiz.de/10009629160

A factor model approach to derivative pricing

Primbs, James A. - 2014

chapter 1. Building blocks and stochastic differential equation models -- chapter 2. Ito's Lemma -- chapter 3. Stochastic differential equations -- chapter 4. The factor model approach to arbitrage pricing -- chapter 5. Constructing a factor model pricing framework -- chapter 6. Equity...

Persistent link: https://www.econbiz.de/10015069196

Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives

Matsumoto, Takuji; Yamada, Yuji - In: Energy economics 95 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012816562

Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market

Matsumoto, Takuji; Yamada, Yuji - In: Asia-Pacific financial markets 26 (2019) 2, pp. 211-227

Persistent link: https://www.econbiz.de/10012308054

Pricing electricity day-ahead cap futures with multifactor skew-t densities

Matsumoto, Takuji; Bunn, Derek W.; Yamada, Yuji - In: Quantitative finance 22 (2022) 5, pp. 835-860

Persistent link: https://www.econbiz.de/10013367864