{"updated":"2025-01-22T22:43:55.714451+00:00","metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00018494","sets":["934:1119:1142:1144"]},"path":["1144"],"owner":"1","recid":"18494","title":["高速ガウス変換を用いた天候デリバティブの価格計算手法"],"pubdate":{"attribute_name":"公開日","attribute_value":"2004-05-15"},"_buckets":{"deposit":"907e6bc3-f9e0-434c-9a10-fcf0014b70f5"},"_deposit":{"id":"18494","pid":{"type":"depid","value":"18494","revision_id":0},"owners":[1],"status":"published","created_by":1},"item_title":"高速ガウス変換を用いた天候デリバティブの価格計算手法","author_link":["0","0"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"高速ガウス変換を用いた天候デリバティブの価格計算手法"},{"subitem_title":"Valuation of Weather Derivatives Using the Fast Gauss Transform","subitem_title_language":"en"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"最適化手法","subitem_subject_scheme":"Other"}]},"item_type_id":"3","publish_date":"2004-05-15","item_3_text_3":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"名古屋大学大学院工学研究科計算理工学専攻"},{"subitem_text_value":"株式会社日立製作所中央研究所"}]},"item_3_text_4":{"attribute_name":"著者所属(英)","attribute_value_mlt":[{"subitem_text_value":"Department of Computational Science and Engineering, Nagoya University","subitem_text_language":"en"},{"subitem_text_value":"Central Research Laboratory, Hitachi Ltd.","subitem_text_language":"en"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_publisher":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"情報処理学会","subitem_publisher_language":"ja"}]},"publish_status":"0","weko_shared_id":-1,"item_file_price":{"attribute_name":"Billing file","attribute_type":"file","attribute_value_mlt":[{"url":{"url":"https://ipsj.ixsq.nii.ac.jp/record/18494/files/IPSJ-TACS4506020.pdf"},"date":[{"dateType":"Available","dateValue":"2006-05-15"}],"format":"application/pdf","billing":["billing_file"],"filename":"IPSJ-TACS4506020.pdf","filesize":[{"value":"251.2 kB"}],"mimetype":"application/pdf","priceinfo":[{"tax":["include_tax"],"price":"660","billingrole":"5"},{"tax":["include_tax"],"price":"330","billingrole":"6"},{"tax":["include_tax"],"price":"0","billingrole":"16"},{"tax":["include_tax"],"price":"0","billingrole":"11"},{"tax":["include_tax"],"price":"0","billingrole":"14"},{"tax":["include_tax"],"price":"0","billingrole":"15"},{"tax":["include_tax"],"price":"0","billingrole":"44"}],"accessrole":"open_date","version_id":"153968da-1e0d-4518-8386-f55b6f12ffa3","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2004 by the Information Processing Society of Japan"}]},"item_3_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"山本, 有作"},{"creatorName":"恵木正史"}],"nameIdentifiers":[{}]}]},"item_3_creator_6":{"attribute_name":"著者名(英)","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Yusaku, Yamamoto","creatorNameLang":"en"},{"creatorName":"Masashi, Egi","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_3_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11833852","subitem_source_identifier_type":"NCID"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourceuri":"http://purl.org/coar/resource_type/c_6501","resourcetype":"journal article"}]},"item_3_source_id_11":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"1882-7829","subitem_source_identifier_type":"ISSN"}]},"item_3_description_7":{"attribute_name":"論文抄録","attribute_value_mlt":[{"subitem_description":"気象変動リスクを回避・低減するための金融派生商品「天候デリバティブ」の価格計算高速化のため，高速ガウス変換と呼ばれる数値計算手法を用いた新しいアルゴリズムを開発した．本手法では，計算時間をτとするとき，計算した価格の誤差が1/τのオーダで減少し，従来広く使われてきたモンテカルロ法の1/√τ に対し，収束性が大きく改善される．本手法をC言語を用いて実装し，PC上で評価したところ，CDDデリバティブと呼ばれる天候デリバティブの価格を計算する場合で，モンテカルロ法の10倍以上の高速化が得られた．本手法は，天候デリバティブの最適設計，時価評価など，従来多大な計算時間が必要であった用途に適用可能である．","subitem_description_type":"Other"}]},"item_3_description_8":{"attribute_name":"論文抄録(英)","attribute_value_mlt":[{"subitem_description":"We developed a fast algorithm for pricing weather derivatives, which are financial products for hedging weather risks, using the fast Gauss transform. With our algorithm, the error in the computed price decreases as O(1/τ) as a function of computational time τ, which is considerably faster than the rate of O(1/√τ) for the conventional Monte Carlo method. We implemented our method on a PC using the C language and found that it is more than 10 times faster than the MC method when computing the price of CDD derivatives. Our algorithm opens a way to applications which have been impractical due to a large amount of computation, such as optimal design of derivatives or estimation of the current market price of a portfolio of derivatives.","subitem_description_type":"Other"}]},"item_3_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"185","bibliographic_titles":[{"bibliographic_title":"情報処理学会論文誌コンピューティングシステム（ACS）"}],"bibliographicPageStart":"176","bibliographicIssueDates":{"bibliographicIssueDate":"2004-05-15","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"SIG06(ACS6)","bibliographicVolumeNumber":"45"}]},"relation_version_is_last":true,"weko_creator_id":"1"},"created":"2025-01-18T22:51:13.031326+00:00","id":18494,"links":{}}