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J-GLOBAL ID：200901066611495802   Update date: Sep. 02, 2024

YAMADA Yuji

ヤマダ ユウジ | YAMADA Yuji
Affiliation and department：
University of Tsukuba Institute of Business Sciences

About University of Tsukuba Institute of Business Sciences


Job title： Professor
Homepage URL  (1)： https://www.u.tsukuba.ac.jp/~yamada.yuji.gn/
Research field  (3)： Control and systems engineering ,  Safety engineering ,  Social systems engineering
Research theme for competitive and other funds  (20)：
  • 2020 - 2025 Construction of risk management system to support renewable energy P2P transactions
  • 2019 - 2020 電力フォワードカーブ構築手法の開発
  • 2019 - 2020 日次電力先物価格の推計手法に関する研究
  • 2016 - 2020 Constructions of forecast based strategies and real-time experiment systems for electricity trading market
  • 2013 - 2016 Construction of management systems for energy portfolios and market risks
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Papers (107)：
  • Matsumoto, Takuji, Yamada, Yuji. Efficient Risk Management for Distributed Clean Energy: Principal Component based Weather Derivatives. ICFEE2024 conference proceedings of E3S Web of Conferences (Open Access proceedings in Environment, Energy and Earth Sciences). 2024. 1-10
  • 松本, 拓史, 山田, 雄二. Principal Component Quanto Derivatives for Enhanced Solar Power Hedging. 日本金融・証券計量・工学学会 2023年度冬季大会. 2024. 1-12
  • Matsumoto, Takuji, Yamada, Yuji. Multivariate Weather Derivatives for Wind Power Risk Management: Standardization Scheme and Trading Strategy. Environmental Science and Engineering. 2023. 16. 7. 269-280
  • 山田, 雄二, 松本, 拓史. スウィングクオントオプションの価格付けとヘッジ. 日本金融・証券計量・工学学会 2023年度夏季大会. 2023. 1-12
  • Iioka, Yasutake, Yamada, Yuji. The evolution of capital structure and debt governance: Evidence from private equity-backed companies in Japan. PACIFIC-BASIN FINANCE JOURNAL. 2023. 79. 102017. 1-20
ｍore...
Patents (3)：
  • 電力市場取引に係る約定量・取引価格予測支援
  • 動作方法,予測誤差補填装置,気象発電計画装置,およびプログラム
  • 発明の名称予測誤差補填方法, 予測誤差補填装置, 気象発電計画方法, 気象発電計画装置およびプログラム
Books (18)：
  • Forecasting and Risk Management Techniques for Electricity Markets
    MDPI 2022 ISBN:9783036551838
  • Knowledge and Systems Sciences, 19th International Symposium, KSS 2018, Tokyo, Japan, November 25-27, 2018, Proceedings
    Springer 2018
  • 「実証ファイナンスとクオンツ運用」
    朝倉書店 2015
  • 「ファイナンスとデータ解析」
    朝倉書店 2015
  • 「リスクマネジメント」
    朝倉書店 2014
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Lectures and oral presentations  (93)：
  • Mitigating Cash Flow Volatility for Wind Power Producers Using Mixed Derivatives
    (2024 APAF(Asia-Pacific Association Finance) International Conference)
  • Efficient Risk Management for Distributed Clean Energy: Principal Component based Weather Derivatives
    (Proceedings of the 2024 14th International Conference on Future Environment and Energy (ICFEE 2024))
  • Principal Component Quanto Derivatives for Enhanced Solar Power Hedging
    (日本金融・証券計量・工学学会 2023年度冬季大会)
  • Valuation and in-depth analysis of multifactor swing quanto options for mitigating electricity price-volume risk
    (2023 KAFE-SKKU International Conference on Finance and Economics)
  • Valuation and in-depth analysis of multifactor swing quanto options for mitigating electricity price-volume risk
    (2023 KAFE-SKKU International Conference on Finance and Economics)
ｍore...
Education (3)：
  • 1995 - 1998 Tokyo Institute of Technology Interdisciplinary Graduate School of Science and Engineering Department of Systems Science
  • 1993 - 1995 Tokyo Institute of Technology Interdisciplinary Graduate School of Science and Engineering Department of Systems Science
  • 1989 - 1993 Chiba University Faculty of Engineering Department of Electrical and Electronic Engineering
Work history (4)：
  • 2007/04 - 2013/03 University of Tsukuba Graduate School of Business Sciences Associate Professor
  • 2002/01 - 2007/03 University of Tsukuba Graduate School of Business Sciences Associate Professor
  • 2000/05 - 2001/12 California Institute of Technology, USA Postdoctoral Scholar
  • 1998/04 - 2000/04 Japan Society for the Promotion of Science Research Fellowship
Committee career (19)：
  • 2015/04 - 現在 International Federation of Automatic Control (IFAC) IFAC Technical Committee on Economic, Business, and Financial Systems
  • 2007 - 現在 The Japanese Association of Financial Econometrices and Engineering Council member
  • 2007 - 現在 日本金融・証券計量・工学学会 評議員
  • 2007 - 現在 The Japanese Association of Financial Econometrices and Engineering Council member
  • 2006 - 現在 Institute of Electrical and Electronics Engineers (IEEE) Technical Committee on Information Systems for Design and Marketing
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Awards (4)：
  • 2014/02 - University of Tsukuba 2013 Best Faculty Member
  • 2012 - 2011 JAFEE Best Paper Award
  • 1998 - Society of Instrumentation an Control Engineers SICE Best Paper Award
  • 1996 - Society of Instrumentation an Control Engineers SICE Young Author's Award
Association Membership(s) (7)：
THE OPERATIONS RESEARCH SOCIETY OF JAPAN ,  Nippon Finance Association ,  The Japanese Association of Financial Econometrices and Engineering ,  The Society of Instrument and Control Engineers ,  TRANSDISCIPLINARY FEDERATION OF SCIENCE AND TECHNOLOGY ,  Institute of Electrical and Electronics Engineers (IEEE) ,  Institute of Electrical and Electronics Engineers (IEEE)
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