University of Tokyo

Displaying 1-40 of 176 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

    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 // 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 // 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

    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 // 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 // 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 // Sep 2008

    Financial Imperfection And Outsourcing Decision

    The relation between productivity level and the mode of organization remains on unsolved puzzle in international trade theory. As pointed out by Antr?s and Helpman (2004), while some studies indicate that low productivity firms choose to outsource, other studies have derived results to the contrary. This paper attempts to solve...

    Provided By University of Tokyo

  • White Papers // Sep 2008

    Biased Motivation Of Experts: Should They Be Aggressive Or Conservative?

    When we intend to hire a professional expert, which type of expert should we hire? Although it is sometimes claimed that decisions of experts tend to be conservative, is it optimal to choose a conservative expert? This paper attempts to answer these questions. It will show that a principal should...

    Provided By University of Tokyo

  • White Papers // Sep 2008

    Exclusive Dealing Contract And Inefficient Entry Threat

    This paper examines the effects of exclusive dealing contracts in a simple model with manufacturers-distributors relations. The authors consider entrants in both manufacturing and distribution sectors. It is well-known that a potential entry threat is welfare increasing under homogenous price competition, even though the potential entrant is less productive. This...

    Provided By University of Tokyo

  • White Papers // Apr 2009

    Industrial Policy Cuts Two Ways: Evidence From Cotton Spinning Firms In Japan, 1956-1964

    A number of studies have revealed that the effect of industrial policy on productivity growth is negative. Is this because industrial policy fails to control the activities of firms, or because it can effectively control them? This paper attempts to answer these questions, using firm-level data from the cotton spinning...

    Provided By University of Tokyo

  • White Papers // Feb 2009

    Counting Your Customers One By One: A Hierarchical Bayes Extension To The Pareto/NBD Model

    This paper extends a Pareto/NBD model of customer-base analysis using a Hierarchical Bayesian (HB) framework to suit today's customized marketing. The proposed HB model presumes three tried and tested assumptions of Pareto/NBD models: a Poisson purchase process, a memoryless dropout process (i.e., constant hazard rate), and heterogeneity across customers, while...

    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 // 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 // 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 // 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

    Convertible Subordinated Debt Financing And Optimal Investment Timing

    In this paper, the authors examine the optimal investment policy of the firm which is financed by issuing equity, straight debt and convertible debt with the senior-sub structure. The senior-sub structure gives preference to straight debt over convertible debt and to convertible debt over equity when the default occurs. They...

    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 // 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 // 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 // Dec 2008

    Human Capital And Economic Growth: Dynamic Implications Of Insider-Outsider Problem For Macroeconomics

    This paper considers a dynamic model with human capital accumulation, for which both firm-specific skills and general skills are sources of growth. The authors analyze how the existence of firm-specific skills changes the effects of productivity shocks on economic growth. It is well known that the insider-outsider problem can cause...

    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 // Oct 2008

    Classdesc and Graphcode: Support for Scientific Programming in C++

    Object-oriented programming languages such as Java and Objective C have become popular for implementing agent-based and other object-based simulations since objects in those languages can reflect (i.e. make runtime queries of an object's structure). This allows, for example, a fairly trivial serialisation routine (conversion of an object into a binary...

    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 2008

    Finding Optimal Bayesian Network Given a Super-Structure

    Classical approaches used to learn Bayesian network structure from data have disadvantages in terms of complexity and lower accuracy of their results. However, a recent empirical study has shown that a hybrid algorithm improves sensitively accuracy and speed: It learns a skeleton with an Independency Test (IT) approach and constrains...

    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 // May 2010

    Thresholds, News Impact Surfaces And Dynamic Asymmetric Multivariate GARCH

    DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented. DAMGARCH models the shocks affecting the...

    Provided By University of Tokyo

  • White Papers // Apr 2010

    Multiproduct Duopoly With Vertical Differentiation

    The paper investigates a two-stage competition in a vertical differentiated industry, where each firm produces an arbitrary number of similar qualities and sells them to heterogeneous consumers. The authors show that, when unit costs of quality are increasing and quadratic, each firm has an incentive to provide an interval of...

    Provided By University of Tokyo

  • White Papers // Apr 2010

    Pricing Swaptions Under The Libor Market Model Of Interest Rates With Local-stochastic Volatility Models

    This paper presents a new approximation formula for pricing swaptions and caps/floors under the Libor Market Model of interest rates (LMM) with the local and affine-type stochastic volatility. In particular, two approximation methods are applied in pricing, one of which is so called "Drift-freezing" that fixes parts of the underlying...

    Provided By University of Tokyo

  • White Papers // Apr 2010

    Are Forecast Updates Progressive?

    Macro-economic forecasts typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast updates should become more accurate, on average, as the actual value is approached. Otherwise, forecast updates would be...

    Provided By University of Tokyo

  • White Papers // Apr 2010

    A Hybrid Asymptotic Expansion Scheme: An Application To Long-term Currency Options

    This paper develops a general approximation scheme, henceforth called a hybrid asymptotic expansion scheme for valuation of multi-factor European path-independent derivatives. Specifically, the authors apply it to pricing long-term currency options under a market model of interest rates and a general diffusion stochastic volatility model with jumps of spot exchange...

    Provided By University of Tokyo

  • White Papers // Apr 2010

    Robustness Of The Separating Information Maximum Likelihood Estimation Of Realized Volatility With Micro-market Noise

    For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a,b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable asymptotic properties; it is consistent and it has the asymptotic normality (or the stable convergence...

    Provided By University of Tokyo

  • White Papers // Apr 2010

    IV Estimation Of A Panel Threshold Model Of Tourism Specialization And Economic Development

    The significant impact of international tourism in stimulating economic growth is especially important from a policy perspective. For this reason, the relationship between international tourism and economic growth would seem to be an interesting and topical empirical issue. The purpose of this paper is to investigate whether tourism specialization is...

    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