Transactions of the Japan Society for Industrial and Applied Mathematics

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

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Volume 24, Issue 3

Displaying 1-16 of 16 articles from this issue

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[title in Japanese]

Article type: Cover
2014 Volume 24 Issue 3 Pages Cover1-
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_Cover1

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[title in Japanese]

Article type: Cover
2014 Volume 24 Issue 3 Pages Cover2-
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_Cover2

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[title in Japanese]

Article type: Appendix
2014 Volume 24 Issue 3 Pages App1-
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_App1

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[title in Japanese]

[in Japanese]

Article type: Article
2014 Volume 24 Issue 3 Pages i-
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_i

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Numerical Conformal Mappings onto the Canonical Slit Domains of Koebe (1916) by the Charge Simulation Method(Application)

Kaname Amano, Dai Okano, Keiichi Endo, Hidenori Ogata

Article type: Article
2014 Volume 24 Issue 3 Pages 157-183
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_157

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In the conformal mapping of multiply connected domains, the following five canonical slit domains listed by Nehari (1952) are well known: the parallel, circular and radial slit domains, and the circle and circular ring with concentric circular slits. Before that, Koebe (1916) listed thirty-nine canonical slit domains. In this paper, using the charge simulation method, we propose a method of numerical conformal mappings onto their first thirteen canonical slit domains including the above five domains in a more general form. Numerical experiments show the effectiveness of our method. We examine also some problems in the computation of complex logarithmic function.

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Calculation of Eigenvalues Related to 2 Dimensional Periodic Boundary Value Problems for the Helmholtz Equation Using the Sakurai-Sugiura Method and Periodic Fast Multipole Method(Practice)

Taichiro Nose, Naoshi Nishimura

Article type: Article
2014 Volume 24 Issue 3 Pages 185-201
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_185

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This paper presents a method of eigenvalue calculation related to periodic boundary value problems for the Helmholtz equation in two dimensions based on the Sakurai-Sugiura projection method and periodic FMM. The Sakurai-Sugiura projection method solves nonlinear eigenvalue problems using contour integrals and is considered to be suitable for solving eigenvalue problems in conjuction with boundary element methods. We apply this method to eigenvalue problems specific to periodic boundary value problems related to guided waves and anomalies. We then validate the proposed method with numerical examples.

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Non-linearity of Market Impact Functions : Empirical and Simulation-based Studies on Convex/Concave Market Impact Functions and Derivation of an Optimal Execution Model(Application,<Special Topics>Activity Group "Mathematical Finance")

Takashi Kato

Article type: Article
2014 Volume 24 Issue 3 Pages 203-237
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_203

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Market impact is one of the typical liquidity problems in financial markets. In this paper, we focus on convexity/concavity of market impact functions. We treat some simple empirical study and simulation-based study to investigate the forms of market impact functions which are consistent with the real market. Moreover, we derive a theoretical model of optimal execution problem with general-shape market impact functions and study mathematical properties of corresponding value functions.

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Regime Switching Regression Model for Exchange Rate Return(Practice,<Special Topics>Activity Group "Mathematical Finance")

Motoki Sato, Koichi Miyazaki, Takumi Nishida

Article type: Article
2014 Volume 24 Issue 3 Pages 239-252
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_239

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This research first discuss regression model (uncovered interest parity model) to forecast $/Yen exchange rate change by international interest-spread. Second, incorporating international monetary base in addition to the international interest-spread, we extend the model and compare the performance of the two models. Regarding the regression model, we adopt regime-switching regression model so as to flexibly estimate the coefficients of international interest-spread and international monetary base depending on the economic state.

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Non-Linearity, Resilience, Uncertainty of Market Impact Functions and Their Effects on Execution Strategies(<Special Topics>Activity Group "Mathematical Finance")

Kensuke Ishitani, Takashi Kato

Article type: Article
2014 Volume 24 Issue 3 Pages 253-274
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_253

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Market impact is an effect of the investment behavior of traders on security prices, and is one of the typical liquidity problems in financial markets. In this paper, we propose a mathematical model of optimal execution problem for a risk-neutral trader in the case of non-linearity, resilience, uncertainty in market impact. We also discuss the effects of each factor on a risk-neutral trader's execution strategy through numerical examples.

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Approximations for the Early Exercise Boundary of American Options : A Review(Survey,<Special Topics>Activity Group "Mathematical Finance")

Toshikazu Kimura

Article type: Article
2014 Volume 24 Issue 3 Pages 275-292
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_275

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This paper deals with American-style options written on dividend-paying assets. Specifically, our focus is on the early exercise boundary, which is an optimal level of critical asset value where early exercise occurs. From the view points of option holders in decision-making on optimal early exercise as well as option issuers in pricing options, we review various approximations previously developed for the early exercise boundary, and also we provide possible directions for future research.

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A Survey on Mathematical Problems of Counterparty Credit Risk Measurement(Survey,<Special Topics>Activity Group "Mathematical Finance")

Suguru Yamanaka, Hidetoshi Nakagawa

Article type: Article
2014 Volume 24 Issue 3 Pages 293-306
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_293

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This article is a short survey on mathematical problems of counterparty credit risk measurement.

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[title in Japanese]

Article type: Appendix
2014 Volume 24 Issue 3 Pages App2-
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_App2

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[title in Japanese]

Article type: Appendix
2014 Volume 24 Issue 3 Pages App3-
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_App3

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[title in Japanese]

Article type: Appendix
2014 Volume 24 Issue 3 Pages App4-
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_App4

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[title in Japanese]

Article type: Cover
2014 Volume 24 Issue 3 Pages Cover3-
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_Cover3

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[title in Japanese]

Article type: Cover
2014 Volume 24 Issue 3 Pages Cover4-
Published: September 25, 2014
Released on J-STAGE: April 08, 2017

DOIhttps://doi.org/10.11540/jsiamt.24.3_Cover4

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