本稿の狙いは,金融工学の価格理論である無裁定価格理論において,離散時間アプローチ(以下DTA)と連続時間アプローチ(以下CTA)の違いを比較することである.とくに,基本概念である無裁定性を中心にして,モデルのマルコフ性と完備性,条件付き請求権のペイオフの複製可能性,に関わる点を,実際性の視点から議論する.

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In Japan, land price would not be expected to rise rapidly as before. Therefore, the value of urban redevelopment projects would depend on cash-flow of income gain more than capital gain. The value of income gain would be so sensitive to uncertainty such as floor rent and vacancy rate etc. In addition, recent researches indicate that flexibility of decision making on projects, which is called real option, should be considered in project evaluation. Kariya (2001) and Kawaguchi (2002) developed evaluation methods for real estate projects including uncertainty and real option. Kariya (2001) developed standard method considering uncertainties of floor rent and vacancy rate on building usage stage, and Kawaguchi (2002) expanded it to evaluate various uncertainties on from project planning stage to building usage stage. In this study, we expand those methods of Kariya (2001) and Kawaguchi (2002) as to evaluate urban redevelopment project including real option of multiple staged constructions which can be found in real world. Then the calculation method is presented using Dynamic Discount Cash Flow Method. Finally in application the usefulness and feature of the method are proved.

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The purpose of this paper is to predict more exactly the demand of consumer goods using the non-linear model, Lotka-Volterra model. The model originally gives a description for the ecological system with mutually related groups. The concerning consumer goods has the relation of proper and auxiliary variables. The variation of demand for consumer goods has the strong non-linearity. The conventional identification and prediction techniques for the time series phenomena are not necessarily appropriate for these consumer goods. So, the demand is identified by the non-linear equations with proper and auxiliary variables. In addition, the demand is qualitavely analized by the limit cycle and the variation of the center of limit cycle of non-linear differential equations. The numerical experiment shows that the error ratio compared with the realized demand and the identified one is about 15%. Namely, the demand is widely exhibited by the proposed non-linear model with proper and auxiliary variables.

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Under the scheme of Japanese City Renewal Law (JCRL), the cost of urban redevelopment projects is financed by revenues from selling reserved floors secured beforehand in a redeveloped building. The outcome of whether the reserved floor can be sold is unforeseeable, so entities for redevelopment are faced with risks in project financing. Defining the risks for the entities as a probability of loss and formalizing the urban redevelopment process as a game theoretic model, this paper aims to demonstrate that we can evaluate the actual risks entities will bear in a project by showing a hypothetical numerical example. The game theoretic model for urban redevelopment procedures was first constructed by Imanishi, Saito and Tanaka[1]. They attempted to evaluate what risks would be transferred from the Urban Renaissance (UR) Agency, a government entity for redevelopment authorized by JCRL, to the private sector if UR employed a new contract scheme under which UR delegates the disposition of the reserved floor to the constructor that makes a contract with UR to construct the redeveloped building. The model was formalized as a two-stage auction implemented by the entity for redevelopment. The first auction is carried out as a sealed bid lowest price auction to choose a constructor for the redeveloped building, and the second stage chooses a buyer for the reserved floor as a sealed bid highest price auction. They theoretically derive the risk born by the entity for redevelopment from the hypothetical case when true preference distributions for buyers and constructors are uniform distributions. While their derivation is innovative, they have derived the result for just one of four possible cases. In this paper we demonstrate derivations for all four cases to complete the risk calculation.

JEL Classification: D44, D82, O22, R51

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評価関数があることが想定されるデータに対し，順位データが複数与えられた場合，そこに内在すると仮定する定量化された評価値を推定する手法を提案し、乱数を用いたシミュレーションと，グレー画像の明るさに関するアンケート調査をもとに，その有効性の検証を行った．この推定では，共通の評価値に一定の分布に従う観測誤差を加えたモデルに基づき，最尤推定により元の評価値を予測する手法を用いた．これにより，データにしかるべき多様性があれば，よい近似が可能であることが分かった．

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Trend analysis on the lead demand of lead acid battery in Japan (hereafter, battery lead demand) from 1966 to 1989 was carried out in order to forecast the near future (1990 and 1991 fiscal years) battery lead demand by means of extrapolating the trend analysis results.Prior to this analysis, the following points were ascertained;
(1) The battery lead demand, which is thought to be easily understood in relation to the economic activity of the car industry, can be applied instead of the whole domestic lead demand. This means that it will make no great difference if we estimate the growth of all domestic lead demand through that of battery lead demand.
(2) Battery lead demand generally shows an upward trend through the whole period, but downturns, which were based on the influence of the first oil shock (1974) and that of the world-wide recession (1982), are notably found.
(3) The battery lead demand can be explained by the total GNP (Gross National Product) instead of those GNPs which were divided into industrial areas related to battery lead demand.
The trend analysis of demand for battery lead, which consists of electrolytic lead, secondary lead and scraplead, were carried out using three methods-(a) simple regression analyses, using fiscal year and GNP as independent variables, and (b) time series analysis. The near future forecast was then carried out by extrapolating the results and these forecasts were integrated by means of the weighted average method. The results for battery lead demand are as follows.
For 1990-3.06×10⁵ tons (fiscal year regression analysis), 3.14×10⁵ tons (GNP regression analysis) and 3.14×10⁵ tons (time series analysis); 3.12×10⁵ tons (integrated forecast value); 3.10×10⁵ tons (actual value);+2, 000 tons forecast error.
For 1991-3.16×10⁵ tons (fiscal year regression analysis), 3.28×10⁵ tons (GNP regression analysis) and 3.32×105 tons (time series analysis); 3.27×10⁵ tons (integrated forecast value); 3.09×10⁵ tons (actual value);+18, 000 tons forecast error.
The difference between the integrated forecast value and the actual result in 1990 is only+2, 000 tons. The business kept the same upward trend in 1990 as it did since November 1986. This implies that this forecast method, which is carried out by means of extrapolating the trend analysis results, can be reliably used in a monotonous econimic atmosphere. On the other hand, the difference between the integrated forecast value and the actual result in 1991 is+18, 000 tons, which is much larger than that in 1990. In addition, it shows an upward trend, though the actual value decreased in 1991 compared with that in 1990. This shows that we could not read the decrease of the battery lead demand caused by the recession, which seems to have begun in the beginning of 1991. This implies that this forecast method cannot be applied in a fluctuating economic atmosphere.

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This paper describes an estimation method of fractal dimension. We propose Center of Moving Average method that is our new estimation method of the fractal dimension for time series data. We analyze the fractal dimension for stock prices by using this method

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The purpose of this paper is to propose a new simple method to classify the structure of a regional economy from the perspective of its interregional trade balance. This method is designed to assist in the preliminary analysis of a regional economy's trade.
Regional scientists hypothesize that interregional exports and imports, and the resulting balance of payments are caused by internal comparative advantages or an interregional market equilibrium existing in factor prices. However, when we translate the saving-investment approach into regional terms, the interregional balance of payments may be caused by the budget deficits of local government or excess transfers from a central government to a local government.
In this paper, we propose a simple specification method to determine factors which influence the interregional trade balance and then to classify regional economies to two types. That is, first we calculate three correlation coefficients for each region: between the interregional balance of payments (IBP) and Gross Prefectural Expenditure, between the IBP and interregional exports, and between the IBP and interregional imports, using Japanese prefectural data. Second, we classify prefectures in Japan into two types according to the pattern of positive and negative signs of the above three correlation coefficients; we identify a pattern of + + + as the interregional market equilibrium type and other patterns as the government expenditure dependent type.
We analyze Japanese prefectural data for the 1975-1989 fiscal years obtained from the Prefectural Accounts. The main results are as follows. First, based on prefectural data describing the total economic activity taking place in the prefectural territory, twelve prefectures are of the government expenditure dependent (GED) type: twelve prefectures are Hokkaido, Aomori, Akita, Chiba, Wakayama, Kagawa, Ehime, Kochi, Nagasaki, Miyazaki, Kagosgima and Okinawa. The others are the interregional market equilibrium (IME) type. Second, five of the above twelve GED prefectures, i.e., Akita, Chiba, Wakayama, Ehime and Kagoshima are classed as the IME type when the classifications are based on prefectural income data. Third, using a sign pattern comparison of two intervals, 1975-1984 and 1980-1989 fiscal years for each prefecture, we can observe structural changes. The structural shift seems to occur when the ratio of government expenditure to Gross Prefectural Expenditure falls below 25 percent as in the prefectures of North Tohoku, San-in and South Kyushu.

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一般流通ルートを通すのは,一次,二次という多段階の問屋を通すことであり,各段階でマージンが上乗せされる.それにより,小売店のマージンも仕入れ値が高いために低くなる.この中間流通マージンがカットされることによって,一般価格に比べて5割以上のコストカットが実現できる.本研究では,卸業を排除し,小売業・製造業が直接取引きする取引形態において金融工学で用いられるオプション・ポートフォリオ,VaRといった数理技術を適用し,製造業における最適商品構成により在庫軽減策を提案し,利益率向上を目指す.

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