◇ＭＩＳＡＷＡ，Ｔｅｔｓｕｙａ

＜Professor　（Doctor of Engineering (Kyoto University 1988)）＞

・Subjects：　Applied statistical mathematics, Computational Statistics, Financial Engineering,

Quantitative and Statistical Analysis

・Recent Research Issue (’99-)：

１） Dynamical theory on stochastic systems and its application to the numerical approximation.

・・・Paper #１、３、６、８、３６

２） Analysis on non-linear macro-economic dynamical systems with noise.

・・・Paper #２、４、５、９、１１

３） Smoothing analysis of time series data by Wavelet systems.

・・・Paper #１０、１５、１９、２４

４） Option pricing models and the application to electricity／temperature options.

・・・Paper #７、２７、Review #１、３０

５） Quantitative analysis on electricity markets prices.

・・・Paper #１２、１３、１４、１６、１８、２１、２２、２３、２５、２６、２８、３３、３４

６）　 Risk assessment based on utility indifference pricing and electric power investment.

・・・Paper＃１７、２９、３１、３２、３５[PDF]

７） Statistical analysis of accounting information.

・・・Paper #２０

List of Papers（’99−） (*:Refereed paper)

１* Tetsuya Misawa："Conserved quantities and symmetries in stochastic dynamical systems",

　 Annals of the Institute of Statistical Mathematics, 51, pp.779-802 (1999)．

２ Toichiro Asada, Tetsuya Misawa and Toshio Inaba：“Macrodynamic Analysis of a Flexible Exchange Rate

Systems: Chaotic Fluctuations and Noise Effects”, Annals of the Institute of Economic Research,

Chuo Univ., 30, pp.63-77 (1999) (in Japanese)．

３*Tetsuya Misawa："Energy conservative stochastic difference schemes for stochastic Hamilton dynamical systems", Japan Journal of Industrial and Applied Mathematics, 17, pp.119-128 (2000)．

４* Toichiro Asada, Tetsuya Misawa and Toshio Inaba： "Chaotic Dynamics in a Flexible Exchange Rate System: A Study of Noise Effects", Discrete Dynamics in Nature and Society, 4, pp.309-317 (2000)．

５* Toichiro Asada, Toshio Inaba and Tetsuya Misawa： "A Nonlinear Macrodynamic Model with Fixed Exchange Rates: Its Dynamics and Noise Effects", Discrete Dynamics in Nature and Society, 4, pp.319-331 (2000)．

６ Tetsuya Misawa： "Numerical integration of stochastic differential equations by composition methods",

　 RIMS Kokyuroku No.1180, Research Institute of Mathematical Sciences, Kyoto Univ., pp.166-190 (2000)．

７ Kai Xiao, Yoshio Miyahara and Tetsuya Misawa： "Computer Simulation of [Geometric Levy Process & MEMM] Pricing Model", Discussion Papers in Economics, Nagoya City Univ. #266 (2000)．

８* Tetsuya Misawa："A Lie algebraic approach to numerical integration of stochastic differential equations", SIAM, Journal on Scientific Computing, 23, pp.866-890 (2001)．

９ Toshio Inaba, Toichiro Asada and Tetsuya Misawa："Nonlinear Macroeconomic Dynamics: A Study of Noise

Effects", Technical Report of IEICE, NLP2001-64, pp.79-88 (2001) (in Japanese)．

10* Takakazu Mori and Tetsuya Misawa:“Smoothing analysis of time series data by Wavelet systems”,

Bulletin of the Computational Statistics of Japan, 14, pp.3-16 (2001) (in Japanese)．

11* Toichiro Asada, Toshio Inaba and Tetsuya Misawa："An Interregional Dynamic Model: The Case of fixed Exchange Rates", Studies in Regional Science, 31, pp.29-42 (2001).

12 Genta Tatsuguchi, Hajime Miyauchi and Tetsuya Misawa: “Regression Analysis of Electric Power

Price in California State”, Papers of Technical Meeting on Power Engineering and Power Systems Engineering, IEE Japan, Paper# PE-02-36、PSE-02-46 (2002) (in Japanese).

13 Hajime Miyauchi, Genta Tatsuguchi and Tetsuya Misawa：”Effect on Price Cap of Electric Power

Market in California State”, Papers of Technical Meeting on Power Systems Engineering, IEE Japan,

Paper #PSE-03-6，pp.31-36 (2003) (in Japanese).

14 Ryoji Ohta, Kimifusa Koiso, Hajime Miyauchi and Tetsuya Misawa：”Studies on Pricing Structure of

Deregulated Power Market Using Chow Test”, Papers of Technical Meeting on Power Engineering

and Power Systems Engineering, IEE Japan, Paper #PE-03-195、PSE-03-195，pp.7-12 (2003) (in Japanese).

15　Takakazu Mori and Tetsuya Misawa:“Analysis of Time Series Data by Smooth Fitting with Meyer Wavelets”, Discussion Papers in Economics #344, Nagoya City Univ. (2003).

16* Hajime Miyauchi, Genta Tatsuguchi and Tetsuya Misawa: “Regression Analysis of Electric Power Price

in California Power Exchange”, IEEJ Transactions PE, 124, pp.199-206（2004）(in Japanese).

17* H. Miyauchi, R. Ohta, K. Koiso, T. Misawa :”Ancillary service supply by electric energy storage company”, Proc. of International Conference on Electrical Engineering 2004, Vol.2, pp.987-992, (2004).

18 Kimifusa Koiso, Tomoya Uno, Hajime Miyauchi and Tetsuya Misawa: “Studies on Comparison of Electric

Power Price between Electric Power Markets”, Papers of Technical Meeting on Power Engineering and Power Systems Engineering, IEE Japan, Paper #PE-04-137、PSE-04-137, pp.47-52 (2004)(in Japanese)．

19 Keiko Shimono, Akiyoshi Furukawa, Tetsuya Misawa and Takakazu Mori：”What Does Decentralisation

Mean?:An application of the Wavelet Interpolation Method with Simulated Annealing”, Oikonomika,

41，pp. 37-53 (2005) (in Japanese).

20* Takehiro Yamagata, Tetsuya Misawa and Michio Kunimura：”Comparisons of explanatory powers in value

relevance between consolidated and parent-alone financial statements”, Contemporary Disclosure

Research，No.6 pp.3-13 (2005) (in Japanese).

21* Hajime Miyauchi, Kimifusa Koiso, Tomoya Uno and Tetsuya Misawa: “Regression Analysis of Electric Power

Prices of Day-ahead Markets”, Proceedings of the International Conference on Electrical Engineering

(ICEE) 2005 July 10 to 14 2005, Kunming, China, PS1-12 ICEE-F0154 pp.1-4 (2005).

22 Hajime Miyauchi, Kimifusa Koiso, Yuichi Inada and Tetsuya Misawa: “Regression Analysis of Electric

Power Price in NEMMCO”, Proceedings of the Annual Conf. of Power & Energy Society 2005, IEE Japan,

pp.25-7 - 25-12 (2005) (in Japanese).

23 Tomoya Uno, Hajime Miyauchi and Tetsuya Misawa:“Studies on Annual Structural Change of Power Market

Prices” Papers of Technical Meeting on Power Engineering and Power Systems Engineering, IEE Japan,

Paper #PE-05-168, PSE-05-175 pp.1-6 (2005) (in Japanese).

24* Takakazu Mori and Tetsuya Misawa:“Similarity Analysis of Time Series Data by WISAM”,

Journal of the Japanese Society of Computational Statistics, vol.19 pp.15-26 (2006).

25*. Tomoya Uno, Tomohiro Morikawa, Hajime Miyauchi and Tetsuya Misawa: “Investigation on Seasonal

Transition of the Power Price in Day-ahead Electric Power Market by Chow Test”, Proceedings

of the International Conference on Electrical Engineering (ICEE) 2006, YongPyong Resort, Korea

from July 9 to 13, 2006, PS2-PR2-21 006-000172，pp.1-4 (2006).

26*. Hajime Miyauchi Toshihiro Ito and Tetsuya Misawa: “Regression Analysis of Electric Power Price

Using Meteorological Information”, Proceedings of 2006 International Conference on Power

System Technology, Chongqing, China from October 22 to 26, 2006, PS3-18, pp.1-6 (2006).

27 Yoshiyuki Emoto and Tetsuya Misawa:“Marginal value approach to pricing temperature options and

Its empirical example on daily temperatures in Nagoya”, OIKONOMIKA, vol.44, no.2, pp.1-13　(2007).

28* Toshihiro Ito, Hajime Miyauchi and Tetsuya Misawa: “Regression Analysis of Electric

Power Market with New Meteorological Explanatory Variable”, Proceedings of the International Conference on Electrical Engineering (ICEE) 2007, Hotel Nikko Hongkong, Hongkong from July 8 to 12, 2007, ICEE-157，pp.1-4 (2007).

29* H. Miyauchi, K. Miyahara, T. Misawa, K. Okada : ”Risk assessment for generation investment based on utility indifference pricing”, Proceedings of CIGRE Symposium Osaka Japan Nov.01-04 2007, “System Development and Asset Management under Restructuring”, Paper #405, pp.1-6 (2007).

30* Yoshiyuki Emoto and Tetsuya Misawa: “Pricing temperature option by marginal utility and risk sensibility analysis”, Journal of Real Options and Strategy, vol.1，pp.47-67 (2008)(in Japanese).

31 Hajime Miyauchi Soshiro Imamura Junya Mishiro and Tetsuya Misawa：”Asset Estimation of Generator by UNPV method considering the option to abandon”, Papers of Technical Meeting on Power Engineering and Power Systems Engineering, IEE Japan, Paper #PE-08-108、PSE-08-117, pp.51-56 (2008)(in Japanese)．

32 Naoki Hirata, Hajime Miyauchi and Tetsuya Misawa “Basic studies of simplification of UNPV method”, Papers of Technical Meeting on Power Engineering and Power Systems Engineering, IEE Japan, PE-09-130,PSE-09-138、pp.57-62 (2009) (in Japanese).

33　Nobuyuki Nishiyama, Hajime Miyauchi and Tetsuya Misawa：”Regression Analysis for system price of JEPX”, Papers of Technical Meeting on Power Engineering and Power Systems Engineering, IEE Japan, PE-09-128,PSE-09-136、pp.49-52 (2009) (in Japanese).

34* N.Nishiyama, A.Mukai, H.Miyauchi and T. Misawa, "Regression Analysis of JEPX Market Price", Proceedings of IEEE Transmission and Distribution Conference in Asia 2009, Paper #OR4-4, pp.1-4.

35 Tetsuya Misawa, ”Simplification of utility indifference net present value method”, Discussion Papers in Economics #509, Nagoya City Univ., (2009).[PDF]

36* Tetsuya Misawa, “Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods” (2010) (to appear in Mathematical Problems in Engineering).

　Review :

１* Tetsuya Misawa：”Pricing Theory of Derivatives in Financial Engineering and the Problems

on the Application to Electricity Markets”, IEEJ Transactions PE, 125, pp.457-460 (2005)

(in Japanese).

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