Details of a Researcher - Imai, Junichi

Papers - Imai, Junichi

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On finite truncation of infinite shot noise series representation of tempered stable laws

Junichi Imai and Reiichiro Kawai

Physica A: Statistical Mechanics and Applications 390 ( 23-24 ) 4411-4425 2011.11

Research paper (scientific journal), Joint Work, Accepted

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フランチャイズビジネスにおける最適契約～商品の廃棄を考慮したロイヤルティ形態の比較～

川地由也，今井潤一

リアルオプション研究 4 ( 1 ) 1--32 2011.03

Research paper (scientific journal), Joint Work, Accepted

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On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws

R. Kawai and J. Imai

Monte Carlo and Quasi-Monte Carlo Methods 2010 (Springer) 23 471 - 486 2011

Research paper (scientific journal), Accepted

Infinitely divisible random vectors and Lévy processes without Gaussian component admit representations with shot noise series. To enhance efficiency of the series representation in Monte Carlo simulations, we discuss variance reduction methods, such as stratified sampling, control variates and importance sampling, applied to exponential interarrival times forming the shot noise series. We also investigate the applicability of the generalized linear transformation method in the quasi-Monte Carlo framework to random elements of the series representation. Although implementation of the proposed techniques requires a small amount of initial work, the techniques have the potential to yield substantial improvements in estimator efficiency, as the plain use of the series representation in those frameworks is often expensive. Numerical results are provided to illustrate the effectiveness of our approaches.

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ゲーム理論的リアルオプションアプローチによる中小企業と大企業の特許権取得競争分析

青木一生，今井潤一

リアルオプション研究 4 ( 2 ) 169-206 2011

Research paper (scientific journal), Joint Work, Accepted

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Quasi-Monte Carlo method for infinitely divisible random vectors via series representations

IMAI Junichi and Kawai Reiichiro

SIAM Journal on Scientific Computing 32 ( 4 ) 1879-1897 2010

Research paper (scientific journal), Joint Work, Accepted

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Dimension Reduction Approach To Simulating Exotic Options In A Meixner Levy Market

Junichi Imai and Ken Seng Tan

IAENG International Journal of Applied Mathematics 39 ( 4 ) 265-275 2009.09

Research paper (scientific journal), Joint Work, Accepted

A Generalized Linear Transformation Method for Simulating Meixner Levy Process

Junichi Imai and Ken Seng Tan

Proceedings of the World Congress on Engineering 2009 (IAENG(International Association of Engineers)) II pp1406-1411 2009.07

Research paper (conference, symposium, etc.), Joint Work, Accepted

マルコフ完全均衡と離散選択モデルを用いたイノベーションのジレンマの分析

今井潤一

リアルオプション研究 2 65-87 2009

Research paper (scientific journal), Single Work, Accepted

This paper investigates the equilibrium investment policies of two different firms under consumers’ preference uncertainty. The incumbent firm, which owns a superior old technology, produces merchandise that can satisfy current consumers at the beginning of the investment game. The startup firm, which possesses an inferior old technology, does not capture the consumers satisfaction but it has a possibility to cultivate a new technology that can attract the consumers in the future if the customers’ preference is changed. We consider two types of equilibria in our valuation model. The first one is a price equilibrium at each time derived from the Bertrand competition. To represent customers’ diversity and products differentiation we use a discrete choice model. The other one is a Markov perfect equilibrium where each firm can invest either in the old technology or in the new technology depending on customers’ preference, which is modeled as a Markov process.

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An accelerating quasi-MonteCarlo method for option pricing under the generalized hyperbolic Le'vy process

Junichi Imai and Ken Seng Tan

SIAM Journal on Scientific Computing (SIAM) 31 ( 3 ) 2282-2302 2009

Research paper (scientific journal), Joint Work, Accepted

In this paper, we develop a simple and yet practically efficient algorithm for simulating high-dimensional exotic options. Our method is based on an extension of Imai and Tan's linear transformation method, which is originally proposed in the context of simulating a Gaussian process. By generalizing this method to other stochastic processes and exploiting the numerical inversion method of Hormann and Leydold, this method can be used to enhance quasi-Monte Carlo method in a wide range of applications. We demonstrate the relative efficiency of our proposed simulation technique using exotic option examples including Asian, lookback, barrier, and cliquet options for which the underlying asset price follows an exponential generalized hyperbolic Lévy process. We also illustrate the impact of our proposed method on dimension reduction.

Read More: https://epubs.siam.org/doi/10.1137/080727713

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A Generalized Linear Transformation Method for Simulating Meixner Levy Processes

Junichi Imai, Ken Seng Tan

WORLD CONGRESS ON ENGINEERING 2009, VOLS I AND II (INT ASSOC ENGINEERS-IAENG) II 1406 - + 2009

Accepted, ISSN 2078-0958

In this paper, the consider an enhanced quasi-Monte Carlo (QMC) method for pricing derivative securities when the underlying asset price follows an exponential Levy process. In particular, we focus on a special family of the Levy process known as the Meixner process. The enhanced QMC is based ore a generalization of the linear transformation (LT) method of Imai and Tan (2000). The generalized LT method call lie used to simulate general stochastic processes and hence has a wider range of application than the original LT which only applies to the Gaussian process. Using some option examples with dimensions ranging from 4 to 250 as test cases, the numerical results suggest that. the generalized LT-based QMC substantially outperforms the standard applications of quasi-Monte Carlo and Monte Carlo methods.

NIGレヴィ過程下における効率的な準モンテカルロ法を用いたオプション評価

今井潤一

数理解析研究所講究録 (京都大学数理解析研究所) 1580 114-123 2008.02

Research paper (conference, symposium, etc.), Single Work

Computation of Optimal Portfolios Using Simulation-based Dimension Reduction

Phelim Boyle, Junichi Imai and Ken Seng Tan

Insurance: Mathematics and Economics 43 ( 3 ) 327 - 338 2008

Research paper (scientific journal), Joint Work, Accepted

This paper describes a simple and efficient method for determining the optimal portfolio for a risk averse investor. The portfolio selection problem is of long standing interest to finance scholars and it has obvious practical relevance. In a complete market the modern procedure for computing the optimal portfolio weights is known as the martingale approach. Recently, alternative implementations of the martingale approach based on Monte Carlo methods have been proposed. These methods use Monte Carlo simulation to compute stochastic integrals. This paper examines the efficient implementation of one of these methods due to [Cvitanic, J., Goukasian, L., Zapatero, F. 2003. Monte Carlo computation of optimal portfolios in complete markets. J. Econom. Dynam. Control 27, 971–986]. We explain why a naive application of the quasi-Monte Carlo method to this problem is often only marginally more efficient than the classical Monte Carlo method. Using the dimension reduction technique of [Imai, J., Tan, K.S., 2007. A general dimension reduction method for derivative pricing. J. Comput. Financ. 10 (2), 129–155] it is possible to significantly reduce the effective dimension of the problem. The paper shows why the proposed technique leads to a dramatic improvement in efficiency.

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The Investment Game under Uncertainty: An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage

Junichi Imai and Takahiro Watanabe

Stochastic Processes and Applications to Mathematical Finance:Proceedings of the 6th Ritsumeikan Conference (World Scientific) 151 - 172 2007

Research paper (scientific journal), Joint Work, Accepted

In this paper we develop a valuation model when there exist two competitive firms that face irreversible investment decisions under the demand uncertainty. We propose a numerical procedure to derive both project values and equilibrium strategies in the duopolistic environment. In numerical examples we consider two different economic conditions, which are labelled first mover advantage and second mover advantage, and examine the effects of these conditions on the equilibrium strategies as well as the project values. We show that these conditions cause significant changes in the equilibrium strategies of both firms.

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A General Dimension Reduction Technique for Derivative Pricing

Junichi Imai and Ken Seng Tan

Journal of Computational Finance 10 ( 2 ) 129-155 2007

Research paper (scientific journal), Joint Work, Accepted

For a trajectory simulated from s standardized independent normal variates ε = (ε1, . . . , εs )1, the payoff of a European option can be represented as max[g(ε), 0], where the function g(ε) is assumed to be differentiable and it relates to the nature of the derivative securities. In this paper, we develop a new simulation technique by introducing an orthogonal class of transformation to ε so that the function g is instead generated from g(Aε), where A is an s-dimensional orthogonal matrix. The matrix A is optimally determined so that the effective dimension of the underlying function is minimized, thereby enhancing the quasi-Monte Carlo (QMC) method. The proposed simulation approach has the advantage of greater generality and has a wide range of applications as long as the problem of interest can be represented by g(ε). The flexibility of our proposed technique is illustrated by applying it to two high-dimensional applications: Asian basket options and European call options with a stochastic volatility model. We benchmark our proposed method against well-known efficient simulation algorithms that have been advocated in these applications. The numerical results demonstrate that our proposed technique can be an extremely powerful simulation method when combined with QMC.

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競争状況下でのリアルオプションと柔軟性の罠

今井潤一, 渡辺隆裕

現代ファイナンス 22 75-95 2007

Research paper (scientific journal), Joint Work, Accepted

リアルオプション分析とゲーム理論との融合研究．柔軟性の罠（不確実性と競合が同時に存在する場合には，場合によって競争上優位に立つ企業がマネジメントの柔軟性を持つが故に，競争上劣位にある企業に競争に敗れる）に注目して分析を行っている．また，本論文での競争優位性が均衡選択理論におけるナッシュ積と密接に関連することを提示している．

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Minimizing Effective Dimension Using Linear Transformation

Junichi Imai and Ken Seng Tan

Monte Carlo and Quasi-Monte Carlo Methods 2002: Proceedings of a Conference held at the National University of Singapore 275 - 292 2003

Research paper (scientific journal), Joint Work, Accepted

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Enhanced Quasi-Monte Carlo Methods with Dimension Reduction

Junichi Imai and Ken Seng Tan

Proceedings of the 2002 Winter Simulation Conference 1502 - 1510 2003

Research paper (conference, symposium, etc.), Joint Work, Accepted

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Dynamic Fund Protection

Junichi Imai and Phelim Boyle

North American Actuarial Journal (Society of Actuaries) 5 ( 3 ) 31-51 2001

Research paper (scientific journal), Joint Work, Accepted

Dynamic fund protection provides an investor with a floor level of protection during the investment period. This feature generalizes the concept of a put option, which provides only a floor value at a particular time. The dynamic protection feature ensures that the fund value is upgraded if it ever falls below a certain threshold level. Gerber and Pafumi (2000) have recently derived a closed-form expression for the price of this protection when the basic portfolio follows geometric Brownian motion. In this paper we examine the pricing of this feature under the constant elasticity of variance process. Two approaches are used to obtain numerical results. First, we show how to extend the basic Monte Carlo approach to handle the particular features of dynamic protection. When a discrete-time simulation approach is used to value a derivative that is subject to continuous monitoring, there is a bias. We show how to remove this bias. Second, a partial differential equation approach is used to price dynamic protection. We demonstrate that the price of the dynamic protection is sensitive to the investment assumptions. We also discuss a discrete time modification of the dynamic protection feature that is suitable for practical implementation. The paper deals just with pricing and does not consider the important question of reserving for these contracts.

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A Real Option Analysis of An Oil Refinery Project

Junichi Imai and Mutsumi Nakajima

Financial Practice and Education (Financial Management Association International) 10 ( 2 ) 78-91 2000

Research paper (scientific journal), Joint Work, Accepted

破産企業の資産処分に関する経済分析

佐山展生, 今井潤一

経営財務情報の経済分析 (日本経営財務研究学会編，中央経済社出版) 123-148 1999.10

Research paper (scientific journal), Single Work, Accepted, ISSN 4-502-35193-8 C3334

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