Transactions of the Japan Society for Industrial and Applied Mathematics

Online ISSN : 2424-0982
ISSN-L : 0917-2246

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Volume 23, Issue 4

Displaying 1-15 of 15 articles from this issue

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[title in Japanese]

Article type: Cover
2013 Volume 23 Issue 4 Pages Cover1-
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_Cover1

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[title in Japanese]

Article type: Cover
2013 Volume 23 Issue 4 Pages Cover2-
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_Cover2

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[title in Japanese]

Article type: Appendix
2013 Volume 23 Issue 4 Pages App1-
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_App1

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[title in Japanese]

[in Japanese]

Article type: Article
2013 Volume 23 Issue 4 Pages i-
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_i

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[title in Japanese]

Article type: Appendix
2013 Volume 23 Issue 4 Pages App2-
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_App2

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Pricing Energy Derivatives with Counterparty Credit Risk(Application)

Hidekazu Sakamoto, Yukio Muromachi

Article type: Article
2013 Volume 23 Issue 4 Pages 563-584
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_563

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We propose a new pricing model for energy derivatives taking into account the counterparty credit risk (CCR). It is pointed out that, in the recent worldwide financial crisis, the CCR, especially the relation between the exposure at default (EAD) and the occurrence of default (called "Right/Wrong-Way risk") is not evaluated appropriately. Therefore, we improve the standard pricing model for the energy derivatives in order to evaluate the effects of the CCR and Right/Wrong-Way risk, and derive semi-analytical pricing formulas for liquid derivatives under the unilateral and bilateral credit valuation adjustments (CVA) settings, and show the features of the formulas numerically.

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Methodology of Footsteps Illusion Art(Application)

Jun Ono, Akiyasu Tomoeda, Kokichi Sugihara

Article type: Article
2013 Volume 23 Issue 4 Pages 585-600
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_585

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This paper studies an optical illusion called "footsteps illusion". We consider mechanisms of this illusion, formulate the conditions for maximizing the strength of the illusion and classify the apparent motions into eight patterns according to the widths of a pair of objects and their distance. We create new illusion artworks by combining these eight patterns.

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On the Bias of the Relaxed Divisor Method

Tetsuo Ichimori

Article type: Article
2013 Volume 23 Issue 4 Pages 601-617
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_601

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In this paper we investigate the bias of relaxed divisor methods toward large states or small states. To measure the bias we consider the apportionment between two states and estimate the probability that the smaller state is favored than the larger one, assuming that the population of the two states distribues uniformly on a line segment. Our results show that the Theil or the Webster method gives smallest bias.

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[title in Japanese]

Article type: Index
2013 Volume 23 Issue 4 Pages A57-A58
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_A57

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[title in Japanese]

Article type: Index
2013 Volume 23 Issue 4 Pages A59-A61
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_A59

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[title in Japanese]

Article type: Appendix
2013 Volume 23 Issue 4 Pages App3-
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_App3

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[title in Japanese]

Article type: Appendix
2013 Volume 23 Issue 4 Pages App4-
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_App4

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[title in Japanese]

Article type: Appendix
2013 Volume 23 Issue 4 Pages App5-
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_App5

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[title in Japanese]

Article type: Cover
2013 Volume 23 Issue 4 Pages Cover3-
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_Cover3

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[title in Japanese]

Article type: Cover
2013 Volume 23 Issue 4 Pages Cover4-
Published: December 25, 2013
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.23.4_Cover4

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