The following pages link to Takuji Arai (Q210695):
Displaying 29 items.
- Local risk-minimization for Barndorff-Nielsen and Shephard models (Q522068) (← links)
- \(q\)-optimal martingale measures for discrete time models (Q842819) (← links)
- The relations between minimal martingale measure and minimal entropy martingale measure (Q1415432) (← links)
- Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models (Q1626427) (← links)
- On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models (Q1684777) (← links)
- Optimal initial capital induced by the optimized certainty equivalent (Q1735038) (← links)
- An extension of mean-variance hedging to the discontinuous case (Q1776030) (← links)
- Mean-variance hedging for discontinuous semimartingales. (Q1812496) (← links)
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall (Q1932533) (← links)
- Some properties of the variance-optimal martingale measure for discontinuous semimartingales (Q2566718) (← links)
- NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS (Q2800048) (← links)
- CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS (Q2875725) (← links)
- Convex Risk Measures for Càdlàg Processes on Orlicz Hearts (Q2940774) (← links)
- GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS (Q2976129) (← links)
- How much can investors discount? (Q3000040) (← links)
- Good Deal Bounds Induced by Shortfall Risk (Q3074983) (← links)
- Comparison of local risk minimization and delta hedging strategy for exponential Lévy models (Q3121397) (← links)
- Optimal hedging strategies on asymmetric functions (Q3400022) (← links)
- $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE (Q3621564) (← links)
- A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus (Q4562722) (← links)
- Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium (Q4604739) (← links)
- Minimal martingale measures for jump diffusion processes (Q4819453) (← links)
- APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL (Q5066302) (← links)
- PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS (Q5210914) (← links)
- AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION (Q5297234) (← links)
- SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES (Q5462700) (← links)
- A class of semi-selfsimilar processes related to random walks in random scenery (Q5946892) (← links)
- The \(p\)-optimal martingale measure in continuous trading models (Q5950019) (← links)
- Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure (Q6129211) (← links)
