In this paper, we formulate a tenant management problem for retail properties, such as shopping centers, provide an analytical framework for deriving the probability distribution of the sum of discounted future cash flows stochastically generated through tenant management, and find an optimal...

Purpose – In June of 2001, Tokyo Electric Power Company (TEPCO) and Tokyo Gas Supply Company (TGSC) made a zero‐cost risk swap contract on the average temperature of August and September of 2001 in Tokyo for their adverse situations. This is an exchange of two options on the average...

Purpose – The purpose of this paper is to generalize the one‐factor mortgage‐backed securities (MBS)‐pricing model proposed by Kariya and Kobayashi to a three‐factor model. The authors describe prepayment behavior due to refinancing and rising housing prices by discrete‐time,...