Takashi Kanamura

Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)

1, Yoshida-Nakaadachi-cho, Sakyo-ku,

Kyoto , 606-8306

Japan

SCHOLARLY PAPERS

18

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3,586

SSRN CITATIONS
Rank 41,297

SSRN RANKINGS

Top 41,297

in Total Papers Citations

8

CROSSREF CITATIONS

10

Scholarly Papers (18)

1.

A Structural Model for Electricity Prices with Spikes - Measurement of Jump Risk and Optimal Policies for Hydropower Plant Operation

Hitotsunbashi University ICS Finance Working Paper No. FS-2004-E-02
Number of pages: 36 Posted: 02 Jul 2004
Takashi Kanamura and Kazuhiko Ohashi
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS) and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 537 (65,465)
Citation 10

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electricity, price spike, demand/supply, optimal power generation

2.

Convenience Yield-Based Pricing of Commodity Futures

Number of pages: 21 Posted: 11 Feb 2009 Last Revised: 19 Jul 2010
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 532 (66,247)

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Convenience Yield, Stochastic Discount Factor, Incomplete Markets, Commodity Futures

3.

A Supply and Demand Based Volatility Model for Energy Prices - the Relationship between Supply Curve Shape and Volatility

Number of pages: 33 Posted: 29 Aug 2006
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 403 (92,489)
Citation 1

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Energy prices, volatility, supply curve, inverse Box-Cox transformation, inverse leverage effect, volatility-in-mean effect

4.

A Classification Study of Carbon Assets into Commodities

Number of pages: 22 Posted: 25 Jan 2009
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 398 (93,812)
Citation 5

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Carbon markets, EU-ETS, futures prices, convenience yield, commodities, mean reversion, seasonality, dynamic conditional correlation, volatility smile

5.

Market Risk, Credit Risk, and Futures Trading in Commodity Markets

Number of pages: 27 Posted: 13 May 2012
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 307 (125,238)

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convenience yield, stochastic volatility, commodity futures trading

6.

A Supply and Demand Based Price Model for Financial Assets

Number of pages: 36 Posted: 02 Jul 2011
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 292 (132,111)
Citation 1

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Security prices, volatility, demand curve, inverse Box-Cox transformation, asymmetric volatility, volatility-in-mean effect

7.

On Transition Probabilities of Regime-Switching in Electricity Prices

Number of pages: 24 Posted: 04 Dec 2004
Kazuhiko Ohashi and Takashi Kanamura
Hitotsubashi University - Graduate School of International Corporate Strategy and Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 286 (134,999)
Citation 1

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Electricity, Price Spikes, Transition probabilities

8.

Monitoring the Upsurge of Biofuels in Commodity Futures Markets

Number of pages: 24 Posted: 28 Oct 2008
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 251 (154,109)
Citation 1

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Energy, agriculture, commodity futures, dynamic conditional correlation, biofuel, diesel, ethanol, pairs trading

A Structural Linkage Model for Freight Rates

Number of pages: 33 Posted: 11 Dec 2011 Last Revised: 24 May 2013
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 133 (270,432)

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Freight markets, supply and demand, Capesize and Panamax vessels

A Structural Linkage Model for Freight Rates

Journal of Energy Markets, Vol. 7, No. 3, 2014
Number of pages: 16 Posted: 06 Jun 2016
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 1 (830,200)
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freight rates, Panamax markets

10.

Pricing Summer Days Options by Good - Deal Bounds

Number of pages: 29 Posted: 20 Nov 2007
Takashi Kanamura and Kazuhiko Ohashi
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS) and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 128 (277,254)

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Weather derivatives, Incomplete markets, Good - deal bounds, Summer days

11.

A Financialization Model of Crude Oil Markets

Number of pages: 21 Posted: 09 Jan 2016
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 96 (338,481)
Citation 1

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12.

A Model of Price Correlations between Clean Energy Indices and Energy Commodities

Number of pages: 50 Posted: 06 Jun 2019
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 83 (370,428)

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Renewables, fossil fuels, correlation, volatility, leverage effect, market risk

13.

Dynamic Price Linkage and Volatility Structure between Carbon Markets

Number of pages: 32 Posted: 29 Sep 2012
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 65 (424,352)

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EUA, sCER, spot and futures markets, correlation, volatility, contagion, leverage effect

14.

Supply-Side Perspective for Carbon Pricing

Number of pages: 22 Posted: 26 Jan 2017
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 61 (438,134)

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EUA Market, Brent Crude Oil Market, Crude Oil-Linked Carbon Price Model

15.

Pricing Analysis of Wind Power Derivatives for Renewable Energy Risk Management

Kanamura, T., L. Homann, and M. Prokopczuk (2021) ``Pricing analysis of wind power derivatives for renewable energy risk management'', Applied Energy, forthcoming.
Number of pages: 36 Posted: 10 Sep 2021
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS), affiliation not provided to SSRN and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 13 (694,640)

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Wind power, load factor, good-deal bounds, futures and options, mean reversion, seasonality

16.

Financial Turmoil in Carbon Markets

Posted: 21 May 2019
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)

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EUA, FTSE 100, DAX, Futures, Dynamic Conditional Correlation, Contagion

17.

Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power

The Journal of Alternative Investments, Summer 2020; DOI: https://doi.org/10.3905/jai.2020.1.099
Posted: 10 Feb 2019
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)

Abstract:

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Solar Power, Weather Risk, Temperature Model, Basis Risk, Good-Deal Bounds

18.

An Operational Risk-Based Regime-Switching Model for Stock Prices

Journal of Operational Risk 12(3), 1–15, DOI:10.21314/JOP.2017.193
Number of pages: 15 Posted: 23 Aug 2017
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 0 (810,595)
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asset pricing, operational risk, regime-switching model, volatility, mean reversion