University of Tokyo

Displaying 1-40 of 111 results

  • White Papers // Apr 2012

    Optimizing a Search-Based Code Recommendation System

    Search-based code recommendation systems with a large-scale code repository can provide the programmers example code snippets that teach them not only names in application programming interface of libraries and frameworks, but also practical usages consisting of multiple steps. However, it is not easy to optimize such systems because usefulness of...

    Provided By University of Tokyo

  • White Papers // Apr 2012

    Duplication Removal for a Search-Based Recommendation System

    A search-based recommendation system looks, in the code repository, for programs that are relevant to the program being edited. Storing a large amount of open source programs into the repository will make the search results better, but also causes the code clone problem; i.e., recommending a set of program fragments...

    Provided By University of Tokyo

  • White Papers // Mar 2012

    Efficient Campaign-Type Structural Health Monitoring Using Wireless Smart Sensors

    Wireless Smart Sensor Networks (WSSNs) have attracted great attention in recent years for Structural Health Monitoring (SHM), enabling better understanding of the dynamic behavior of large scale civil infrastructures through dense deployment of sensors. With a fraction of the deployment time and cost compared with wired SHM systems, WSSNs can...

    Provided By University of Tokyo

  • White Papers // Dec 2011

    Distributed Source Localization in Wireless Underground Sensor Networks

    Node localization plays an important role in many practical applications of Wireless Underground Sensor Networks (WUSNs), such as finding the locations of earthquake epicenters, underground explosions, and microseismic events in mines. It is more difficult to obtain the Time-Difference-Of-Arrival (TDOA) measurements in WUSNs than in terrestrial wireless sensor networks because...

    Provided By University of Tokyo

  • White Papers // Aug 2011

    Model Checking Distributed Systems by Combining Caching and Process Checkpointing

    Verification of distributed software systems by model checking is not a straightforward task due to inter-process communication. Many software model checkers only explore the state space of a single multi-threaded process. Recent work has proposed a technique that applies a cache to capture communication between the main process and its...

    Provided By University of Tokyo

  • White Papers // Apr 2011

    A Market Model Of Interest Rates With Dynamic Basis Spreads In The Presence Of Collateral And Multiple Currencies

    The recent financial crisis caused dramatic widening and elevated volatilities among basis spreads in cross currency as well as domestic interest rate markets. Furthermore, the widespread use of cash collateral, especially in fixed income contracts, has made the effective funding cost of financial institutions for the trades significantly different from...

    Provided By University of Tokyo

  • White Papers // Apr 2011

    Asymmetric And Imperfect Collateralization, Derivative Pricing, And CVA

    The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this paper, the authors have extended the previous studies of collateralized derivative pricing to more generic situation that is asymmetric and imperfect collateralization as well as the associated CVA. They have presented approximate...

    Provided By University of Tokyo

  • White Papers // Mar 2011

    Radiometric Calibration by Transform Invariant Low-Rank Structure

    The authors present a robust radiometric calibration method that capitalizes on the transform invariant low-rank structure of sensor irradiances recorded from a static scene with different exposure times. They formulate the radiometric calibration problem as a rank minimization problem. Unlike previous approaches, their method naturally avoids over-fitting problem; therefore, it...

    Provided By University of Tokyo

  • White Papers // Feb 2011

    A General Computation Scheme For A High-order Asymptotic Expansion Method

    This paper presents a new computational scheme for an asymptotic expansion method of an arbitrary order. An asymptotic expansion method in finance initiated by Kunitomo and Takahashi, Yoshida and Takahashi, is a widely applicable methodology for an analytic approximation of the expectation of a certain functional of diffusion processes and...

    Provided By University of Tokyo

  • White Papers // Feb 2011

    On Pricing Barrier Options With Discrete Monitoring

    This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in pricing barrier options with discrete monitoring. To the authors' knowledge, this paper is the first one...

    Provided By University of Tokyo

  • White Papers // Jan 2011

    Generalized Extreme Value Distribution With Time-dependence Using The AR And MA Models In State Space Form

    A new state space approach is proposed to model the time-dependence in an extreme value process. The generalized extreme value distribution is extended to incorporate the time-dependence using a state space representation where the state variables either follow an AutoRegressive (AR) process or a Moving Average (MA) process with innovations...

    Provided By University of Tokyo

  • White Papers // Jan 2011

    Life-cycle Labor Search With Stochastic Match Quality

    Unemployment, job finding, and job separation rates exhibit patterns of decline as worker age increases in the U.S. The authors build and numerically simulate a search and matching model of the labor market that incorporates a life-cycle structure to account for these empirical facts. The model features random match quality,...

    Provided By University of Tokyo

  • White Papers // Jan 2011

    Merging CBR and Neural Networks for SLA-Based Radio Resource Management for QoS Sensitive Cellular Networks

    This paper proposes a Radio Resource Management (RRM) approach to guarantee a predefined Service Level Agreement (SLA) with different classes of users, for on-going and in-coming connections in QoS sensitive cellular networks. This approach is based on intelligent agent architecture which gives autonomy to Radio Network Controller (RNC) or Base...

    Provided By University of Tokyo

  • White Papers // Jan 2011

    How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited

    This paper analyzes the yield-curve predictability for GDP growth by modifying the time-series property of the interest rate process in Ang, Piazzesi, and Wei (2006). When interest rates have a unit root and term spreads are stationary, the short rate's forecasting role changes, and the combined information from the short...

    Provided By University of Tokyo

  • White Papers // Jan 2011

    On the Construction of Efficient Data Gathering Tree in Wireless Sensor Networks

    A wireless sensor network can be an effective tool for gathering data in a variety of environments. The data gathering process must be designed to conserve the limited resources of the sensors. In this paper, the authors propose Efficient Data GathEring (EDGE) protocol which satisfies such requirement because it avoids...

    Provided By University of Tokyo

  • White Papers // Dec 2010

    Modeling Of Interest Rate Term Structures Under Collateralization And Its Implications

    In recent years, the authors have observed dramatic increase of collateralization as an important credit risk mitigation tool in Over The Counter (OTC) market. Combined with the significant and persistent widening of various basis spreads, such as Libor-OIS and cross currency basis, the practitioners have started to notice the importance...

    Provided By University of Tokyo

  • White Papers // Dec 2010

    Hedging European Derivatives With The Polynomial Variance Swap Under Uncertain Volatility Environments

    This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these environments one cannot hedge the derivatives completely by...

    Provided By University of Tokyo

  • White Papers // Dec 2010

    Choice Of Collateral Currency

    Collateral has been used for a long time in the cash market and the authors have also experienced significant increase of its use as an important credit risk mitigation tool in the derivatives market for this decade. Despite its long history in the financial market, its importance for funding has...

    Provided By University of Tokyo

  • White Papers // Nov 2010

    Price-based Combinatorial Auction Design: Representative Valuations

    The authors investigate price-based mechanisms with connectedness in combinatorial auctions, where with restrictions of privacy and complexity, the auctioneer asks a limited number of prices to buyers who provide demand responses. Consistent with the price-based property, several necessary and sufficient conditions are presented for the existence of the VCG mechanism,...

    Provided By University of Tokyo

  • White Papers // Nov 2010

    Japan-s Deflation And The Bank Of Japan-s Experience With Non-Traditional Monetary Policy

    Japan's failure to stop deflation within a short period of time must have come from one of the following three possibilities: non-traditional monetary policy measures were not as effective as some had thought, the BOJ used them in suboptimal ways, and negative shocks hitting the Japanese economy were unusually serious....

    Provided By University of Tokyo

  • White Papers // Nov 2010

    Japan~s Bubble, America~s Bubble And China~s Bubble

    This paper compares the three recent episodes of boom and bust cycles in asset prices: Japan in the late 1980s to the 1990s; the U.S. since the mid 1990s; and China during the last decade. Although we have not yet seen a collapse of Chinese property prices, the increases so...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Discrete/Continuous Choice Model Of The Residential Gas Demand On The Nonconvex Budget Set

    The discrete/continuous choice approach is often used to analyze the demand for public utility services under block rate pricing, which is a nonlinear price system. Although a consumer's budget set is convex under increasing block rate pricing, a consumer's budget set is nonconvex under decreasing block rate pricing as is...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Financial Institution, Asset Bubbles And Economic Performance

    This paper explores the relation between the quality of financial institution and asset bubbles. In this paper, the authors will show that bubbles can improve the macro performance even if the quality of financial institution is very poor and the financial market does not work well. In this sense, the...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Exaggerated Death Of Distance: Revisiting Distance Effects On Regional Price Dispersions

    Past studies in the literature of the Law of One Price (LOP) show statistically significant but economically subtle roles of geographical distance in regional price dispersions. In this paper, the authors challenge this empirical "Death of distance" as a primary source of LOP violations investigating a unique daily data set...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    A System for Logging Operation Histories of DLNA Devices by Combining ARP Spoofing and SSDP

    This paper describes the design, implementation, and evaluation of DLNA Probe, a system for logging the operation histories of Digital Living Network Alliance (DLNA) devices. This paper first describes the combined use of Address Resolution Protocol (ARP) spoofing and the Simple Service Discovery Protocol (SSDP), which obtains the operation histories...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Hysteresis In Dynamic General Equilibrium Models With Cash-in-advance Constraints

    In this paper, the authors investigate equilibrium cycles in dynamic general equilibrium models with cash-in-advance constraints. Their findings are two-fold. First, in such models, if an equilibrium cycle exists, then there also exists a continuum of equilibrium cycles in its neighborhood. Second, the limit cycle, to which a dynamic path...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Panel Data Analysis Of Japanese Residential Water Demand Using A Discrete/Continuous Choice Approach

    Block rate pricing is often applied to income taxation, telecommunication services, and brand marketing in addition to its best-known application in public utility services. Under block rate pricing, consumers face piecewise-linear budget constraints. A discrete/continuous choice approach is usually used to account for piecewise-linear budget constraints for demand and price...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Duopoly In The Japanese Airline Market: Bayesian Estimation For The Entry Game

    This paper provides an econometric analysis on a duopoly game in the Japanese domestic airline market. The authors establish a novel Bayesian estimation approach for the entry game, which is free from the conventional identification problem and thus allows the incorporation of flexible inference techniques. They find asymmetric strategic interactions...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Company Strategies And Sport Models

    The comparison in this paper between companies in Japan and Sweden shows that although there are obvious historical and cultures differences between the countries different routes towards becoming modern democratic welfare states, differences in the industrialization and in modernization; differences in how sport were introduced and how it was shaped,...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Firm Heterogeneity Under Financial Imperfection: Impacts Of Trade And Capital Movement

    The paper examines the impacts of trade and capital movement between North and South, which differ in the quality of financial institution, on the productivity distribution and other characteristics of a financially-dependent industry. The authors find that financial imperfection causes firm heterogeneity and that trade and capital movement are complements...

    Provided By University of Tokyo

  • White Papers // Sep 2010

    Energy-Efficient Upload Engine for Participatory Sensing

    Participatory Sensing enables the authors to build a large platform for wide-area sensing by utilizing cellphones as sensor nodes. One of the main problems in the participatory sensing is the high power consumption on a cellphone because of the limitation of its battery. In this paper, the authors propose a...

    Provided By University of Tokyo

  • White Papers // Sep 2010

    A Theory Of Fiduciary Relationships: Non-contractual Foundation Of The Duty Of Loyalty, Disgorgement Damages, And Strict Liability

    A fiduciary is a person who undertakes to act for the benefit of another person. He owes the duty of loyalty to beneficiary, is required to disgorge any unauthorized gain from his position, and has the burden of disproving his disloyalty in litigation. This paper presents a theory that unifies...

    Provided By University of Tokyo

  • White Papers // Sep 2010

    Market-specific And Currency-specific Risk During The Global Financial Crisis: Evidence From The Interbank Markets In Tokyo And London

    This paper explores how international money markets reflected credit and liquidity risks during the global financial crisis. After matching the currency denomination, the authors investigate how the Tokyo InterBank Offered Rate (TIBOR) was synchronized with the London InterBank Offered Rate (LIBOR) denominated in the US dollar and the Japanese yen....

    Provided By University of Tokyo

  • White Papers // Aug 2010

    On Properties Of Separating Information Maximum Likelihood Estimation Of Realized Volatility And Covariance With Micro-market Noise

    For estimating the realized volatility and covariance by using high frequency data, the authors have introduced the Separating Information Maximum Likelihood (SIML) method when there are possibly micro-market noises by Kunitomo and Sato (2008a, 2008b, 2010a, 2010b). The resulting estimator is simple and it has the representation as a specific...

    Provided By University of Tokyo

  • White Papers // Aug 2010

    Financing Harmful Bubbles

    The authors model the stock market as a timing game, in which arbitrageurs who are not expected to be certainly rational compete over profit by bursting the bubble caused by investors' euphoria. The manager raises money by issuing shares and the arbitrageurs use leverage. If leverage is weakly regulated, it...

    Provided By University of Tokyo

  • White Papers // Aug 2010

    Bayesian Estimation And Particle Filter For Max-stable Processes

    Extreme values are often correlated over time, for example, in a financial time series, and these values carry various risks. Max-stable processes such as Maxima of Moving Maxima (M3) processes have been recently considered in the literature to describe time-dependent dynamics, which have been difficult to estimate. This paper first...

    Provided By University of Tokyo

  • White Papers // Jul 2010

    An Energy Efficient Routing Approach for Wireless Sensor Networks

    Energy efficiency is the most important aspect in wireless sensor networks. Energy consumption could be reduced by an efficient routing topology of the sensor network. Further energy consumption could be reduced by taking localized routing decision. In this paper the authors propose an energy efficient routing for wireless sensor networks...

    Provided By University of Tokyo

  • White Papers // Jul 2010

    An Evaluation of Effects on Packet Loss Rate by Optical Packet Multiplexing Based on BGP Flow Aggregation

    In order to accommodate enormous amount of traffic in the future Internet, Optical Packet Switching (OPS) technology has been researched as one of promising technologies with lower power consumption. One of the major issues for performing asynchronous OPS technologies with variable length packets is efficient buffering function for avoiding contention...

    Provided By University of Tokyo

  • White Papers // Jul 2010

    Non-minimaxity Of Linear Combinations Of Restricted Location Estimators And Related Problems

    The estimation of a linear combination of several restricted location parameters is addressed from a decision-theoretic point of view. The corresponding linear combination of the best location equivariant and the unrestricted unbiased estimators is minimax. Since the locations are restricted, it is reasonable to use the linear combination of the...

    Provided By University of Tokyo

  • White Papers // Jul 2010

    Exclusive Dealing And The Market Power Of Buyers

    This paper examines the effects of exclusive dealing contracts offered by an incumbent distributor. The effectiveness of exclusive dealing contracts offered by distributors is quite different from those offered by incumbent manufacturers. The traditional literature has focused solely on exclusive dealing contracts made by incumbent manufacturers and has derived multiple...

    Provided By University of Tokyo

  • White Papers // Jun 2009

    A Decentralized VPN Service Over Generalized Mobile Ad-Hoc Networks

    This paper presents a decentralized VPN service that can be built over generalized mobile ad-hoc networks (Generalized MANETs), in which topologies can be represented as a time-varying directed multigraph. The paper addresses wireless ad-hoc networks and overlay ad-hoc networks as instances of Generalized MANETs. The paper first proposes an architecture...

    Provided By University of Tokyo

  • White Papers // Apr 2010

    vDC: Virtual Data Center Powered With as Alliance for Enabling Cost-Effective Business Continuity and Coverage

    Today, cloud providers are faced with the mammoth task of providing efficient data centers to meet the various requirements of its customers. These can include anything from business continuity, coverage and performance to being cost-effective for application providers. This impossible task of satisfying all these requirements are made more difficult...

    Provided By University of Tokyo

  • White Papers // Oct 2009

    IP Over DTN: Large-Delay Asynchronous Packet Delivery in the Internet

    The well-known DTN divides an end-to-end communication path into hop-by-hop sessions and allows asynchronous message delivery over physically delay or disruptive network environments. They have introduced Bundling, an overlay network for delay tolerant networking in its architecture, which should be globally deployed and operated with tremendous effort. This paper proposes...

    Provided By University of Tokyo

  • White Papers // Nov 2010

    Japan-s Deflation And The Bank Of Japan-s Experience With Non-Traditional Monetary Policy

    Japan's failure to stop deflation within a short period of time must have come from one of the following three possibilities: non-traditional monetary policy measures were not as effective as some had thought, the BOJ used them in suboptimal ways, and negative shocks hitting the Japanese economy were unusually serious....

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Exaggerated Death Of Distance: Revisiting Distance Effects On Regional Price Dispersions

    Past studies in the literature of the Law of One Price (LOP) show statistically significant but economically subtle roles of geographical distance in regional price dispersions. In this paper, the authors challenge this empirical "Death of distance" as a primary source of LOP violations investigating a unique daily data set...

    Provided By University of Tokyo

  • White Papers // Jan 2011

    Merging CBR and Neural Networks for SLA-Based Radio Resource Management for QoS Sensitive Cellular Networks

    This paper proposes a Radio Resource Management (RRM) approach to guarantee a predefined Service Level Agreement (SLA) with different classes of users, for on-going and in-coming connections in QoS sensitive cellular networks. This approach is based on intelligent agent architecture which gives autonomy to Radio Network Controller (RNC) or Base...

    Provided By University of Tokyo

  • White Papers // Jul 2010

    An Energy Efficient Routing Approach for Wireless Sensor Networks

    Energy efficiency is the most important aspect in wireless sensor networks. Energy consumption could be reduced by an efficient routing topology of the sensor network. Further energy consumption could be reduced by taking localized routing decision. In this paper the authors propose an energy efficient routing for wireless sensor networks...

    Provided By University of Tokyo

  • White Papers // May 2009

    SPoW: On-Demand Cloud-Based EDDoS Mitigation Mechanism

    Elastic Cloud Computing is an attractive proposition; it offers convenience in setup, on-demand capacity and a highly dependable computing platform while requiring little maintenance. However, a DDoS can rack up a cloud adopter's utilization bill resulting in an economic DDoS (eDDoS) - a debilitating bill incurred by using highly elastic...

    Provided By University of Tokyo

  • White Papers // Apr 2012

    Optimizing a Search-Based Code Recommendation System

    Search-based code recommendation systems with a large-scale code repository can provide the programmers example code snippets that teach them not only names in application programming interface of libraries and frameworks, but also practical usages consisting of multiple steps. However, it is not easy to optimize such systems because usefulness of...

    Provided By University of Tokyo

  • White Papers // Apr 2012

    Duplication Removal for a Search-Based Recommendation System

    A search-based recommendation system looks, in the code repository, for programs that are relevant to the program being edited. Storing a large amount of open source programs into the repository will make the search results better, but also causes the code clone problem; i.e., recommending a set of program fragments...

    Provided By University of Tokyo

  • White Papers // Dec 2011

    Distributed Source Localization in Wireless Underground Sensor Networks

    Node localization plays an important role in many practical applications of Wireless Underground Sensor Networks (WUSNs), such as finding the locations of earthquake epicenters, underground explosions, and microseismic events in mines. It is more difficult to obtain the Time-Difference-Of-Arrival (TDOA) measurements in WUSNs than in terrestrial wireless sensor networks because...

    Provided By University of Tokyo

  • White Papers // Mar 2012

    Efficient Campaign-Type Structural Health Monitoring Using Wireless Smart Sensors

    Wireless Smart Sensor Networks (WSSNs) have attracted great attention in recent years for Structural Health Monitoring (SHM), enabling better understanding of the dynamic behavior of large scale civil infrastructures through dense deployment of sensors. With a fraction of the deployment time and cost compared with wired SHM systems, WSSNs can...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    A System for Logging Operation Histories of DLNA Devices by Combining ARP Spoofing and SSDP

    This paper describes the design, implementation, and evaluation of DLNA Probe, a system for logging the operation histories of Digital Living Network Alliance (DLNA) devices. This paper first describes the combined use of Address Resolution Protocol (ARP) spoofing and the Simple Service Discovery Protocol (SSDP), which obtains the operation histories...

    Provided By University of Tokyo

  • White Papers // Sep 2010

    Energy-Efficient Upload Engine for Participatory Sensing

    Participatory Sensing enables the authors to build a large platform for wide-area sensing by utilizing cellphones as sensor nodes. One of the main problems in the participatory sensing is the high power consumption on a cellphone because of the limitation of its battery. In this paper, the authors propose a...

    Provided By University of Tokyo

  • White Papers // Jul 2010

    An Evaluation of Effects on Packet Loss Rate by Optical Packet Multiplexing Based on BGP Flow Aggregation

    In order to accommodate enormous amount of traffic in the future Internet, Optical Packet Switching (OPS) technology has been researched as one of promising technologies with lower power consumption. One of the major issues for performing asynchronous OPS technologies with variable length packets is efficient buffering function for avoiding contention...

    Provided By University of Tokyo

  • White Papers // Mar 2010

    Evaluation of a Wake-Up Wireless Module With Bloom-Filter-Based ID Matching

    The authors present a wake-up wireless communication system, which can drastically reduce idle listening energy for long idle listening applications by using a wake-up wireless module. They consider chance encounter communication, which is communication during opportunistic encounters, as a long idle listening application. There are three requirements for applying the...

    Provided By University of Tokyo

  • White Papers // Jan 2010

    Incremental Route Refinement for GPS-Enabled Cellular Phones

    This paper proposes significant route identification; the concept is to combine the locations acquired by the GPS module of the user's cellular phone. Significant routes are those that the user most frequently passes along. The proposal overcomes the two main weaknesses of cellular phones. One is that GPS data is...

    Provided By University of Tokyo

  • White Papers // Aug 2011

    Model Checking Distributed Systems by Combining Caching and Process Checkpointing

    Verification of distributed software systems by model checking is not a straightforward task due to inter-process communication. Many software model checkers only explore the state space of a single multi-threaded process. Recent work has proposed a technique that applies a cache to capture communication between the main process and its...

    Provided By University of Tokyo

  • White Papers // Apr 2010

    A Performance Evaluation of Energy Efficient Schemes for Green Office Networks

    Power consumption in office networks has become a major issue due to its running cost. In order to reduce the power consumption, several approaches have been proposed such as Energy Efficient Ethernet (EEE) and Energy Efficient Wireless aggregation (EEW). In this paper, the authors develop an analytical model and apply...

    Provided By University of Tokyo

  • White Papers // Feb 2010

    An Efficient Convertible Undeniable Signature Scheme With Delegatable Verification

    Undeniable signatures, introduced by Chaum and van Antwerpen, require a verifier to interact with the signer to verify a signature, and hence allow the signer to control the verifiability of his signatures. Convertible undeniable signatures, introduced by Boyar, Chaum, Damgard, and Pedersen, furthermore allow the signer to convert signatures to...

    Provided By University of Tokyo

  • White Papers // Mar 2011

    Radiometric Calibration by Transform Invariant Low-Rank Structure

    The authors present a robust radiometric calibration method that capitalizes on the transform invariant low-rank structure of sensor irradiances recorded from a static scene with different exposure times. They formulate the radiometric calibration problem as a rank minimization problem. Unlike previous approaches, their method naturally avoids over-fitting problem; therefore, it...

    Provided By University of Tokyo

  • White Papers // Jan 2011

    On the Construction of Efficient Data Gathering Tree in Wireless Sensor Networks

    A wireless sensor network can be an effective tool for gathering data in a variety of environments. The data gathering process must be designed to conserve the limited resources of the sensors. In this paper, the authors propose Efficient Data GathEring (EDGE) protocol which satisfies such requirement because it avoids...

    Provided By University of Tokyo

  • White Papers // Oct 2009

    How Many Firms Should Be Leaders? Beneficial Concentration Revisited

    The authors investigate the relationship between the Herfindahl-Hirschman Index (HHI) and welfare. First, they discuss the model wherein m leaders and N-m followers compete. Daughety (1990) finds that under linear demand and constant marginal cost, the Stackelberg model yields larger welfare and HHI than the Cournot model. Thus, he demonstrates...

    Provided By University of Tokyo

  • White Papers // Sep 2010

    A Theory Of Fiduciary Relationships: Non-contractual Foundation Of The Duty Of Loyalty, Disgorgement Damages, And Strict Liability

    A fiduciary is a person who undertakes to act for the benefit of another person. He owes the duty of loyalty to beneficiary, is required to disgorge any unauthorized gain from his position, and has the burden of disproving his disloyalty in litigation. This paper presents a theory that unifies...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Hysteresis In Dynamic General Equilibrium Models With Cash-in-advance Constraints

    In this paper, the authors investigate equilibrium cycles in dynamic general equilibrium models with cash-in-advance constraints. Their findings are two-fold. First, in such models, if an equilibrium cycle exists, then there also exists a continuum of equilibrium cycles in its neighborhood. Second, the limit cycle, to which a dynamic path...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Panel Data Analysis Of Japanese Residential Water Demand Using A Discrete/Continuous Choice Approach

    Block rate pricing is often applied to income taxation, telecommunication services, and brand marketing in addition to its best-known application in public utility services. Under block rate pricing, consumers face piecewise-linear budget constraints. A discrete/continuous choice approach is usually used to account for piecewise-linear budget constraints for demand and price...

    Provided By University of Tokyo

  • White Papers // Oct 2010

    Duopoly In The Japanese Airline Market: Bayesian Estimation For The Entry Game

    This paper provides an econometric analysis on a duopoly game in the Japanese domestic airline market. The authors establish a novel Bayesian estimation approach for the entry game, which is free from the conventional identification problem and thus allows the incorporation of flexible inference techniques. They find asymmetric strategic interactions...

    Provided By University of Tokyo

  • White Papers // Dec 2010

    Modeling Of Interest Rate Term Structures Under Collateralization And Its Implications

    In recent years, the authors have observed dramatic increase of collateralization as an important credit risk mitigation tool in Over The Counter (OTC) market. Combined with the significant and persistent widening of various basis spreads, such as Libor-OIS and cross currency basis, the practitioners have started to notice the importance...

    Provided By University of Tokyo

  • White Papers // Sep 2010

    Market-specific And Currency-specific Risk During The Global Financial Crisis: Evidence From The Interbank Markets In Tokyo And London

    This paper explores how international money markets reflected credit and liquidity risks during the global financial crisis. After matching the currency denomination, the authors investigate how the Tokyo InterBank Offered Rate (TIBOR) was synchronized with the London InterBank Offered Rate (LIBOR) denominated in the US dollar and the Japanese yen....

    Provided By University of Tokyo

  • White Papers // Dec 2010

    Hedging European Derivatives With The Polynomial Variance Swap Under Uncertain Volatility Environments

    This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these environments one cannot hedge the derivatives completely by...

    Provided By University of Tokyo

  • White Papers // Nov 2010

    Price-based Combinatorial Auction Design: Representative Valuations

    The authors investigate price-based mechanisms with connectedness in combinatorial auctions, where with restrictions of privacy and complexity, the auctioneer asks a limited number of prices to buyers who provide demand responses. Consistent with the price-based property, several necessary and sufficient conditions are presented for the existence of the VCG mechanism,...

    Provided By University of Tokyo

  • White Papers // Nov 2010

    Japan~s Bubble, America~s Bubble And China~s Bubble

    This paper compares the three recent episodes of boom and bust cycles in asset prices: Japan in the late 1980s to the 1990s; the U.S. since the mid 1990s; and China during the last decade. Although we have not yet seen a collapse of Chinese property prices, the increases so...

    Provided By University of Tokyo

  • White Papers // Jan 2011

    Generalized Extreme Value Distribution With Time-dependence Using The AR And MA Models In State Space Form

    A new state space approach is proposed to model the time-dependence in an extreme value process. The generalized extreme value distribution is extended to incorporate the time-dependence using a state space representation where the state variables either follow an AutoRegressive (AR) process or a Moving Average (MA) process with innovations...

    Provided By University of Tokyo

  • White Papers // Apr 2011

    Asymmetric And Imperfect Collateralization, Derivative Pricing, And CVA

    The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this paper, the authors have extended the previous studies of collateralized derivative pricing to more generic situation that is asymmetric and imperfect collateralization as well as the associated CVA. They have presented approximate...

    Provided By University of Tokyo

  • White Papers // Dec 2010

    Choice Of Collateral Currency

    Collateral has been used for a long time in the cash market and the authors have also experienced significant increase of its use as an important credit risk mitigation tool in the derivatives market for this decade. Despite its long history in the financial market, its importance for funding has...

    Provided By University of Tokyo

  • White Papers // Feb 2011

    A General Computation Scheme For A High-order Asymptotic Expansion Method

    This paper presents a new computational scheme for an asymptotic expansion method of an arbitrary order. An asymptotic expansion method in finance initiated by Kunitomo and Takahashi, Yoshida and Takahashi, is a widely applicable methodology for an analytic approximation of the expectation of a certain functional of diffusion processes and...

    Provided By University of Tokyo

  • White Papers // Jan 2011

    How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited

    This paper analyzes the yield-curve predictability for GDP growth by modifying the time-series property of the interest rate process in Ang, Piazzesi, and Wei (2006). When interest rates have a unit root and term spreads are stationary, the short rate's forecasting role changes, and the combined information from the short...

    Provided By University of Tokyo

  • White Papers // Jan 2011

    Life-cycle Labor Search With Stochastic Match Quality

    Unemployment, job finding, and job separation rates exhibit patterns of decline as worker age increases in the U.S. The authors build and numerically simulate a search and matching model of the labor market that incorporates a life-cycle structure to account for these empirical facts. The model features random match quality,...

    Provided By University of Tokyo

  • White Papers // Jul 2010

    Overlapping Tax Revenue, Soft Budget, And Rent Seeking

    This paper investigates how the soft-budget constraint with grants from the central government to local governments tends to internalize the vertical externality of local public investment by stimulating local expenditure when both the central and local governments impose taxes on the same economic activities financed by public investment. The model...

    Provided By University of Tokyo

  • White Papers // Jul 2010

    Non-minimaxity Of Linear Combinations Of Restricted Location Estimators And Related Problems

    The estimation of a linear combination of several restricted location parameters is addressed from a decision-theoretic point of view. The corresponding linear combination of the best location equivariant and the unrestricted unbiased estimators is minimax. Since the locations are restricted, it is reasonable to use the linear combination of the...

    Provided By University of Tokyo