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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
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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
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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
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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
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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
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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