Dynamic Risk Management and Cpontrol

Akamatsu's Selected Articles on
Decision under Uncertainty / Dynamic Risk Management"

Dec.30, 2011

- Real Options & Stochastic Control Models of Project Decision -

A Network of Options: Evaluating Complex Interdependent Decisions under Uncertainty,
(with T. Nagae, 2011)
Journal of Economic Dynamics & Control Vol.35, Issue 5, pp. 714 - 729.

A Generalized Complementarity Approach to Solving Real Option Problems,
(with T. Nagae, 2008)
Journal of Economic Dynamics & Control Vol.32, Issue 6, pp.1754-1779.

A Financial Engineering Approach to Managing Infrastructure Project Risks,
(with T. Nagae, 2004)
Infrastructure Planning Review (Invited Paper) Vol.23, No.1, pp.001-021.

A Stochastic Control Model of Project Decisions Represented as a Graph Structure,
(with T. Nagae, 2004)
JSCE Journal of Infrastructure Planning and Management No.772 (IV-65), pp.185-202.

Variational Ineauqlity Approach to Infrastructure Investment/Management Problems under Uncertainty,
(with T. Nagae, 2004)
JSCE Journal of Infrastructure Planning and Management, No.765 (IV-64), pp.155-171.

- Asset Pricing & Project Evaluation under Uncertainty -

Dynamic Pricing and Hedging of Projects with Stochastic Cash Flow Streams:
an Entropic Projection Approach,
(with T. Nagae, 2004)
JSCE Journal of Infrastructure Planning and Management No.751 (IV-62), pp.39-54.

Pricing of Real Options in an Incomplete Market,
(with T. Nagae, 2003)
Journal of Applied Regional Science, Vol. 8 (2), pp.81-93.

- Dynamic Stochastic Equilibrium/Risk Analysis in Increasing Return Economies -

Equilibrium Dynamics of Interregional Migration Timing Decision in Agglomeration Economies,
(with T. Otazawa, 2007)
JSCE Journal of Infrastructure Planning and Management Vol.63, No.4, pp.567-578.

Socially Optimal Dynamic Allocation in Core-Periphery Models with Economic Uncertainty,
(with T. Otazawa, 2008)
Infrastructure Planning Review Vol.25, No.1, pp.245-254.

Managing Regional Economic Risks due to the Entry and Exit of Global Firms:
A Study on Hedging Strategies with Financial Options,
(with K. Takahashi, 2006)
Infrastructure Planning Review Vol.23, No.1, pp.51-58.

- Stochastic Control Approach to Transportation Problems -

Dynamic Revenue Management of a Toll Road Project under Transportation Demand Uncertainty,
(with T. Nagae, 2006)
Networks and Spatial Economics Vol.6, pp.345-357.

Dynamic Ramp Metering Strategies for Risk Averse System Optimal Assignment,
(with T. Nagae, 2007)
Transportation and Traffic Theory Vol.17, pp.87-110.

Dynamic System Optimal Traffic Control based on Realtime Observation of Stochastic Travel Time,
(with T. Nagae, 2007)
JSCE Journal of Infrastructure Planning and Management Vol.63, No.3, pp.311-327.

Catastrophe Averse Strategies for Routing and Siting in the Disposal of Hazardous Materials,
(with T. Nagae, 2007)
JSCE Journal of Infrastructure Planning and Management Vol.63, No.4, pp.509-523.

- Other Topics (Financial Market Analysis, Pricing/Hedging of Derivative Securities etc.) -

Stock Index Futures in Japan, (1993)
The Journal of International Securities Markets Vol.7, pp.159-164.

Interest Rate Term Structure Models and Derivative Pricing:
Spot Rate Approach (Cox-Ingersoll-Ross/Vasicek model) vs. Forward Rate Approach (Heath-Jarrow-Morton/Ho-Lee model), (1992)
Systems Research Technical Report No.1, Nomura Research Institute.