Y. Imai

MaRDI QIDQ522066zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes Journal of Applied Probability	2024-11-15	Paper
Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure Mathematics and Computers in Simulation	2024-04-16	Paper
Comparison of local risk minimization and delta hedging strategy for exponential Lévy models JSIAM Letters	2019-03-18	Paper
A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus Applied Mathematical Finance	2018-12-18	Paper
Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models (available as arXiv preprint)	2018-11-27	Paper
On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models Japan Journal of Industrial and Applied Mathematics	2017-12-12	Paper
Quaternifications and extensions of current algebras on \(S^3\) Symmetry	2017-09-27	Paper
Local risk-minimization for Barndorff-Nielsen and Shephard models Finance and Stochastics	2017-04-13	Paper
Rheology of a dense suspension of spherical capsules under simple shear flow Journal of Fluid Mechanics	2016-05-20	Paper
Numerical analysis on local risk-minimization for exponential Lévy models International Journal of Theoretical and Applied Finance	2016-04-14	Paper
Lie algebra extensions of current algebras on S<sup>3</sup> International Journal of Geometric Methods in Modern Physics	2015-11-20	Paper

Research outcomes over time

This page was built for person: Y. Imai