University of Tokyo

Displaying 1-40 of 141 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

    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 // 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 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 // 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 // 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 // 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 // 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 // Dec 2009

    Non-Line-of-Sight Node Localization Based on Semi-Definite Programming in Wireless Sensor Networks

    An unknown-position sensor can be localized if there are three or more anchors making Time-Of-Arrival (TOA) measurements of a signal from it. However, the location errors can be very large due to the fact that some of the measurements are from Non-Line-Of-Sight (NLOS) paths. In this paper, the authors propose...

    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 // Oct 2009

    Parallel Local Search for Solving Constraint Problems on the Cell Broadband Engine (Preliminary Results)

    The authors explore the use of the Cell Broadband Engine (Cell/BE for short) for combinatorial optimization applications: They present a parallel version of a constraint-based local search algorithm that has been implemented on a multiprocessor BladeCenter machine with twin Cell/BE processors (total of 16 SPUs per blade). This algorithm was...

    Provided By University of Tokyo

  • White Papers // Sep 2009

    Modelling The Interactions Across International Stock, Bond And Foreign Exchange Markets

    The benefits of investing internationally depend on three conditions, namely cross-country correlations, market volatilities, and future changes in currency risks. This paper investigates these conditions for several countries. Many papers have modeled both domestic interactions across asset markets and international interactions in individual asset markets in isolation, but rarely have...

    Provided By University of Tokyo

  • White Papers // Sep 2009

    Value-At-Risk For Country Risk Ratings

    The country risk literature argues that country risk ratings have a direct impact on the cost of borrowings as they reflect the probability of debt default by a country. An improvement in country risk ratings, or country creditworthiness, will lower a country's cost of borrowing and debt servicing obligations, and...

    Provided By University of Tokyo

  • White Papers // Aug 2009

    Asymptotic Expansion Approaches In Finance: Applications To Currency Options

    This paper presents a basic of the methodology so-called an asymptotic expansion approach, and applies this method to approximation of prices of currency options with a libor market model of interest rates and stochastic volatility models of spot exchange rates. The scheme enables the authors to derive closed-form approximation formulas...

    Provided By University of Tokyo

  • White Papers // Aug 2009

    The Ten Commandments For Optimizing Value-At-Risk And Daily Capital Charges

    Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. The cataclysmic financial meltdown worldwide that seems to have started...

    Provided By University of Tokyo

  • White Papers // Aug 2009

    Does The FOMC Have Expertise, And Can It Forecast?

    The primary purpose of the paper is to answer the following two questions regarding the performance of the influential Federal Open Market Committee (FOMC) of the Federal Reserve System, in comparison with the forecasts contained in the "Greenbooks" of the professional staff of the Board of Governors: Does the FOMC...

    Provided By University of Tokyo

  • White Papers // May 2010

    Pricing Barrier And Average Options Under Stochastic Volatility Environment

    This paper proposes a new approximation method of pricing barrier and average options under stochastic volatility environment by applying an asymptotic expansion approach. In particular, a high-order expansion scheme for general multi-dimensional diffusion processes is effectively applied. Moreover, the paper combines a static hedging method with the asymptotic expansion method...

    Provided By University of Tokyo

  • White Papers // May 2010

    Investor Preferences For Oil Spot And Futures Based On Mean-variance And Stochastic Dominance

    This paper examines investor preferences for oil spot and futures based on Mean-Variance (MV) and Stochastic Dominance (SD). The mean-variance criterion cannot distinct the preferences of spot and market whereas SD tests leads to the conclusion that spot dominates futures in the downside risk while futures dominate spot in the...

    Provided By University of Tokyo

  • White Papers // May 2010

    Collateral Posting And Choice Of Collateral Currency - Implications For Derivative Pricing And Risk Management-

    In recent years, the authors have observed the dramatic increase of the use of collateral as an important credit risk mitigation tool. It has become even rare to make a contract without collateral agreement among the major financial institutions. In addition to the significant reduction of the counterparty exposure, collateralization...

    Provided By University of Tokyo

  • White Papers // May 2010

    Ranking Multivariate GARCH Models By Problem Dimension

    In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002). Some recent research has begun to...

    Provided By University of Tokyo

  • White Papers // May 2010

    Exchange Rate And Industrial Commodity Volatility Transmissions, Asymmetries And Hedging Strategies

    This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil-in symmetric and asymmetric multivariate GARCH and DCC models. The inclusion of exchange rate increases the significant direct and indirect past shock and volatility effects on future...

    Provided By University of Tokyo

  • White Papers // Jan 2010

    Insular Decision-Making In The Board Room: Why Boards Retain And Hire Substandard CEOs

    It is widely believed that corporate boards are overly reluctant to fire their CEOs. The conventional explanation for retaining a CEO regardless of his/her talent is that a CEO chooses the board members and has the power to fire them. However, very few studies have investigated how a new CEO...

    Provided By University of Tokyo

  • White Papers // Jan 2010

    Some Properties Of The LIML Estimator In A Dynamic Panel Structural Equation

    The authors investigate the finite sample and asymptotic properties of several estimation methods (Within-Groups, GMM and LIML) for a panel autoregressive structural equation model with random effects when both T and N are large. When they use the forward filtering to a structural model as Alvarez and Arellano (2003), both...

    Provided By University of Tokyo

  • White Papers // Jan 2010

    Conditional Correlations And Volatility Spillovers Between Crude Oil And Stock Index Returns

    This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock index returns. Daily returns from 2 January 1998 to 4 November 2009 of the crude oil spot, forward and futures prices from the WTI and Brent markets, and the FTSE100, NYSE, Dow Jones and S&P500...

    Provided By University of Tokyo

  • White Papers // Jan 2010

    Market Efficiency Of Oil Spot And Futures: A Stochastic Dominance Approach

    This paper examines the market efficiency of oil spot and futures prices by using a Stochastic Dominance (SD) approach. As there is no evidence of an SD relationship between oil spot and futures, the authors conclude that there is no arbitrage opportunity between these two markets, and that both market...

    Provided By University of Tokyo

  • White Papers // Dec 2009

    The Structure Of Japan~s Financial Regulation And Supervision And The Role Played By The Bank Of Japan

    In this paper, the author will explain the structure of Japan's financial regulation and supervision and discuss by way of examples the structure's weaknesses and strengths. In doing so, the author pays particular attention to the role played by the Bank Of Japan (BOJ). The paper focuses mostly on the...

    Provided By University of Tokyo

  • White Papers // Dec 2009

    A Review Of Linear Mixed Models And Small Area Estimation

    The Linear Mixed Models (LMM) and the Empirical Best Linear Unbiased Predictor (EBLUP) induced from LMM have been well studied and extensively used for a long time in many applications. Of these, EBLUP in small area estimation has been recognized as a useful tool in various practical statistics. In this...

    Provided By University of Tokyo

  • White Papers // Dec 2009

    Block Structure Multivariate Stochastic Volatility Models

    Most multivariate variance models suffer from a common problem, the "Curse of dimensionality". For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with milder restrictions, whose purpose was to combine the need...

    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 // Dec 2009

    A Survey On Modeling And Analysis Of Basis Spreads

    The recent financial crisis has spiked the credit and liquidity premia among financial products, and significant widening of basis spreads among Libors with different tenors and currencies has been observed in interest rate markets. The authors' previous work, "A Note on Construction of Multiple Swap Curves with and without Collateral"...

    Provided By University of Tokyo

  • White Papers // Jan 2010

    An Asymptotic Expansion With Malliavin Weights: An Application To Pricing Discrete Barrier Options

    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 in Malliavin calculus is effectively applied in an asymptotic expansion approach. First, the paper derives an expansion formula for generalized Wiener functionals. After it is applied to...

    Provided By University of Tokyo

  • White Papers // Dec 2009

    Identifying Shocks In Regionally Integrated East Asian Economies With Structural VAR And Block Exogeneity

    In this paper the authors use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978-2007. The empirical results show a dynamic effect of external shocks, implying that,...

    Provided By University of Tokyo

  • White Papers // Mar 2010

    Ownership Changes And Economic Efficiency: Plant-level Evidence From The Japanese Cotton Spinning Industry, 1900-1911

    This paper investigates how ownership changes affect the plant performance, focusing on the cotton spinning industry in early twentieth century Japan, where many plants experienced ownership changes. Through analyses of detailed plant-level data, it is revealed that, after ownership changes, plants tended to focus on low grade and low price...

    Provided By University of Tokyo

  • White Papers // Mar 2010

    Evaluating Macroeconomic Forecasts: A Review Of Some Recent Developments

    Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this paper, the authors analyze some recent developments from that perspective. The literature on forecast evaluation...

    Provided By University of Tokyo

  • White Papers // Mar 2010

    New Unified Computational Algorithm In A High-Order Asymptotic Expansion Scheme

    An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi and Yoshida is a widely applicable methodology for analytic approximation of the expectation of a certain functional of diffusion processes. Mathematically, this methodology is justified by Watanabe theory in Malliavin calculus. In practical applications, it is desirable to investigate...

    Provided By University of Tokyo

  • White Papers // Mar 2010

    Role Of Relative And Absolute Performance Evaluations In Intergroup Competition

    The authors investigate the moral hazard problem in which a principal delegates multiple tasks to multiple workers. The principal imperfectly monitors their action choices by observing the public signals that are correlated with each other through a macro shock. He divides the workers into two groups and makes them compete...

    Provided By University of Tokyo

  • White Papers // Mar 2010

    A New Hedge Fund Replication Method With The Dynamic Optimal Portfolio

    This paper provides a new hedge fund replication method, which extends Kat and Palaro (2005) and Papageorgiou, Remillard and Hocquard (2008) to multiple trading assets with both long and short positions. The method generates a target payoff distribution by the cheapest dynamic portfolio. It is regarded as an extension of...

    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 // Mar 2010

    The Role Of Uncertainty In The Term Structure Of Interest Rates: A Macro-Finance Perspective

    Using a macroeconomic perspective, the authors examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. Many macro-finance models assume that policy shocks are homoskedastic, while observed policy shock processes are significantly time varying and persistent. They allow for this key feature by constructing a no-arbitrage GARCH affine...

    Provided By University of Tokyo

  • White Papers // Mar 2010

    Minimax Estimation Of Linear Combinations Of Restricted Location Parameters

    The estimation of a linear combination of several restricted location parameters is addressed from a decision-theoretic point of view. A bench-mark estimator of the linear combination is an unbiased estimator, which is minimax, but inadmissible relative to the mean squared error. An interesting issue is what is a prior distribution...

    Provided By University of Tokyo

  • White Papers // Jan 2010

    Realized Volatility Risk

    In this paper the authors document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where they characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even though returns standardized by ex post...

    Provided By University of Tokyo

  • White Papers // Nov 2009

    Non-traditional Monetary Polices: G7 Central Banks During 2007-2009 And The Bank Of Japan During 1998-2006

    This paper offers a brief summary of non-traditional monetary policy measures currently adopted by G7 central banks and their provisional evaluation in the light of the Bank Of Japan (BOJ)'s experience during the period of 1998-2006. The paper points out that although unprecedented measures seem to have been adopted by...

    Provided By University of Tokyo