Papers - Imai, Junichi

Dimension reduction for Quasi-Monte Carlo methods via quadratic regression

Imai J., Tan K.S.

Mathematics and Computers in Simulation 227   371 - 390 2025.01

ISSN  03784754

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Quasi-Monte Carlo (QMC) methods have been gaining popularity in computational finance as they are competitive alternatives to Monte Carlo methods that can accelerate numerical accuracy. This paper develops a new approach for reducing the effective dimension combined with a randomized QMC method. A distinctive feature of the proposed approach is its sample-based transformation that enables us to choose a flexible manipulation via regression. In the proposed approach, the first step is to perform a regression using the samples to estimate the parameters of the regression model. An optimal transformation is proposed based on the regression result to minimize the effective dimension. An advantage of this approach is that adopting a statistical approach allows greater flexibility in selecting the regression model. In addition to a linear model, this paper proposes a dimension reduction method based on a linear-quadratic model for regression. In numerical experiments, we focus on pricing different types of exotic options to test the effectiveness of the proposed approach. The numerical results show that different regression models are chosen depending on the underlying risk process and the type of derivative securities. In particular, we show several examples where the proposed method works while existing dimension reductions are ineffective.

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A Numerical Method for Hedging Bermudan Options under Model Uncertainty

Junichi Imai

第53回 2020年度夏季JAFEE大会 (JAFEE)  24 ( 2 ) 893 - 916 2022.06

ISSN  13875841

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Model uncertainty has recently been receiving more attention than risk. This study proposes an effective computational framework to derive optimal strategies for obtaining the upper and lower bounds of Bermudan-style options in the presence of model uncertainty. The optimal hedging strategy under model uncertainty can be formulated as a solution of a minimax problem. We employ approximate dynamic programming and propose an algorithm for effectively solving the minimax problem. This study considers a geometric Brownian motion and an exponential generalized hyperbolic Lévy process as reference models. To take model uncertainty into consideration, we consider a set of equivalent probability measures via an Esscher or a class-preserving transform. Using numerical examples, we discuss the effects of model uncertainty on the size of tracking errors, the hedge portfolio, the possibility of early exercise and positions of options. In addition to investors’ optimal strategies, the study examines Nature’s optimal choice for equivalent probability measures. We find several notable phenomena that occur because of the existence of model uncertainty. We further examine the effects of different types of model uncertainty on option values and optimal hedging strategies.

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Assessing Capital Investment Strategy with Convex Adjustment Cost under Ambiguity.

Junichi Imai; Motoh Tsujimura

International Journal of Real Options & Strategy 9   11 - 39 2022

Joint Work, Lead author, Accepted

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Estimating Parameters for Technology Investments: An Application to 3D Printing

Robin Schneider, Hitoshi Hirakawa, Noboru Hosoda, Rong Jin, Junichi Imai

Journal of the Operations Research Society of Japan 64 ( 3 ) 129 - 157 2021

Research paper (scientific journal), Last author, Accepted

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One of the major limiting factors and criticism about the real options approach is related to issues with estimating the right input values for state variables that are critical to make the right investment decisions under uncertainty. While vast research exists that applies real options valuation to technology investments, scholars often present theoretical findings based on fictional numerical applications neglecting the process of estimating the right input variables for their models. We present a simple framework to obtain these variables for technology investments by analysing publicly available data such as bibliometrics and patents related to any technology and apply it to forecast 3D printing technology diffusion. We base our approach on the Bass model, which is a prominent technique in the area of technology forecasting and show that these methods can help to forecast technology diffusion and obtain the required input parameters for technology investment decisions. We further use our 3D printing example to demonstrate the major differences between the suggested technology diffusion model and a standard Geometric Brownian Motion (GBM) model, as it is often found in Real Options literature. We find that the GBM is often not suitable when analysing technology investments, as it can lead to wrong investment decisions.

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User-based Valuation of Digital Subscription Business Models

Robin Schneider, Junichi Imai

International Journal of Real Options and Strategy 8   1 - 26 2020.12

Research paper (scientific journal), Joint Work, Accepted,  ISSN  2186-4667

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マーク付き多次元Hawkes過程を用いた高頻度注文板データの分析

佐藤,正崇, 今井,潤一

ジャフィー・ジャーナル 18   63 - 88 2020

Research paper (scientific journal), Joint Work, Accepted

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Valuing Investments in Digital Transformation of Business Models

Robin Schneider, Junichi Imai

International Journal of Real Options and Strategy 7   1 - 26 2019

Research paper (scientific journal), Joint Work, Accepted

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An empirical analysis of the dependence structure of international equity and bond markets using regime-switching copula model

Otani Y., Imai J.

IAENG International Journal of Applied Mathematics (IAENG International Journal of Applied Mathematics)  48 ( 2 ) 191 - 205 2018.05

Research paper (scientific journal), Joint Work, Accepted,  ISSN  19929978

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© 2018 International Association of Engineers. In this paper, we perform an empirical analysis of the dependence structure of international equity and bond markets using the regime-switching copula model. In equity markets, it is observed that negative returns are more strongly dependent than positive returns. This phenomenon is known as asymmetric dependence. The regime-switching copula model, which includes symmetric and asymmetric regimes, is suitable for describing asymmetry. We apply two kinds of flexible multivariate copulas, a skew t copula and a vine copula, to the asymmetric regime to deal with dependencies between two asset classes. In this paper, we analyze three country pairs: the United Kingdom and United States (UK-US), Japan-US, and Italy-US. We find three implications of our empirical analysis. First, highly dependent regimes are different according to the asset pairs. Second, the strength of the asymmetry of each country pair varies, and that of the Japan-US pair is weak. Third, the skew t copula is a better fit to the data, but is not flexible enough to capture extreme dependencies, while the vine copula fits well in spite of having fewer parameters, but cannot e

A Study on a Membrane Ceilings Business under Ambiguity

Yuta Fukui, Junichi Imai

International Journal of Real Options and Strategy 6   13 - 44 2018

Research paper (scientific journal), Joint Work, Accepted

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リアルオプションアプローチによる平均回帰過程の下での投資タイミングの分析

Fukui Yuta, IMAI Junichi

リアルオプション研究 7 ( 2 ) 37 - 57 2015.12

Research paper (scientific journal), Joint Work, Accepted

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Dimension Reduction for Pricing Options under Multidimensional Levy Processes

Junichi Imai

Asia-Pacific Financial Markets (Springer)  22 ( 1 ) 1 - 26 2015

Research paper (scientific journal), Single Work, Accepted

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米国金先物市場におけるアメリカンオプションの価格評価分析

杉浦大輔, 今井 潤一

ジャフィー・ジャーナル 金融工学と市場計量分析 (朝倉書店)   2015

Research paper (scientific journal), Joint Work, Accepted

Pricing Derivative Securities Using Integrated Quasi-Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment

Junichi Imai and Ken Seng Tan

SIAM Journal on Scientific Computing (SIAM)  36 ( 5 ) A2101 - A2121 2014

Research paper (scientific journal), Joint Work, Accepted

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Distributional Bounds for Portfolio Risk with Tail Dependence

Kunio So and Junichi Imai

Methodology and Computing in Applied Probability  2014

Research paper (scientific journal), Joint Work, Accepted

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Comparison of low discrepancy mesh methods for pricing Bermudan options under a Levy process

Junichi Imai

Mathematics and Computers in Simulation 100   54 - 71 2014

Research paper (scientific journal), Single Work, Accepted

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Numerical Inverse Levy Measure Method for Infinite Shot Noise Series Representation

J.Imai and R. Kawai

Journal of Computational and Applied Mathematics 253   264 - 283 2013.04

Research paper (scientific journal), Joint Work, Accepted

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Time-changed Lévy過程の下でのアメリカンオプションの評価

杉浦大輔, 今井潤一

ジャフィー・ジャーナル (朝倉書店)   2013.04

Research paper (scientific journal), Joint Work, Accepted

Pricing Portfolio Credit Derivatives with Stochastic Recovery and Systematic Factor

Yuko Otani and Junichi Imai

IAENG International Journal of Applied Mathematics 43 ( 4 ) 264 - 283 2013

Research paper (scientific journal), Joint Work, Accepted

Comparison of random number generators via Fourier transform

Junichi Imai

Monte Carlo Methods and Applications 19 ( 3 ) 237 - 259 2013

Research paper (scientific journal), Single Work, Accepted

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In this paper, we investigate simple yet practical schemes to generate random variates from the characteristic function of any continuous distribution. We discuss the generation of non-uniform random variates from a uniform random number generator. The inverse of the cumulative distribution function is derived from its characteristic function via the fast Fourier transform. We conduct several numerical experiments to assess the accuracy and efficiency of the schemes.

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実質次元減少法によるQMCを用いたポートフォリオのリスク指標の推定

鈴木悠也，今井潤一

日本オペレーションズ・リサーチ学会和文論文誌 55   177-193 2012

Research paper (scientific journal), Joint Work, Accepted

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