Takuji Arai

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes	2024-11-15	Paper
Constrained optimal stopping under a regime-switching model	2024-11-15	Paper
Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure	2024-04-16	Paper
Constrained optimal stopping under a regime-switching model	2022-04-16	Paper
APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL	2022-03-29	Paper
PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS	2020-01-16	Paper
A Clark-Ocone type formula via Ito calculus and its application to finance	2019-06-16	Paper
Optimal initial capital induced by the optimized certainty equivalent	2019-03-28	Paper
Comparison of local risk minimization and delta hedging strategy for exponential Lévy models	2019-03-18	Paper
A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus	2018-12-18	Paper
Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models	2018-11-27	Paper
Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium	2018-03-05	Paper
On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models	2017-12-12	Paper
Local risk-minimization for Barndorff-Nielsen and Shephard models	2017-04-13	Paper
GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS	2017-04-13	Paper
Numerical analysis on local risk-minimization for exponential Lévy models	2016-04-14	Paper
Convex Risk Measures for Càdlàg Processes on Orlicz Hearts	2015-01-20	Paper
Convex risk measures for good deal bounds	2014-08-11	Paper
Convex risk measures on Orlicz spaces: inf-convolution and shortfall	2013-01-20	Paper
How much can investors discount?	2011-05-18	Paper
Good deal bounds induced by shortfall risk	2011-02-10	Paper
Optimal hedging strategies on asymmetric functions	2010-01-18	Paper
$q$-optimal martingale measures for discrete time models	2009-09-25	Paper
$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE	2009-04-21	Paper
AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION	2007-07-18	Paper
Some properties of the variance-optimal martingale measure for discontinuous semimartingales	2005-09-28	Paper
SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES	2005-08-03	Paper
An extension of mean-variance hedging to the discontinuous case	2005-05-20	Paper
Minimal martingale measures for jump diffusion processes	2004-09-24	Paper
The relations between minimal martingale measure and minimal entropy martingale measure	2003-12-04	Paper
A class of semi-selfsimilar processes related to random walks in random scenery	2003-02-04	Paper
The $p$-optimal martingale measure in continuous trading models	2002-07-10	Paper
Mean-variance hedging for discontinuous semimartingales.	2002-01-01	Paper

Research outcomes over time

This page was built for person: Takuji Arai