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Takuji Arai
Publication Activity (10 Years)
Years Active: 2005-2024
Publications (10 Years): 2
Top Topics
Risk Minimization
Linear Model
Monte Carlo Simulation
Top Venues
Finance Stochastics
Math. Comput. Simul.
JSIAM Lett.
SIAM J. Financial Math.
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Publications
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Takuji Arai
,
Yuto Imai
Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure.
Math. Comput. Simul.
218 (2024)
Takuji Arai
,
Yuto Imai
,
Ryoichi Suzuki
Local risk-minimization for Barndorff-Nielsen and Shephard models.
Finance Stochastics
21 (2) (2017)
Yuto Imai
,
Takuji Arai
Comparison of local risk minimization and delta hedging strategy for exponential Lévy models.
JSIAM Lett.
7 (2015)
Takuji Arai
Convex Risk Measures for Càdlàg Processes on Orlicz Hearts.
SIAM J. Financial Math.
5 (1) (2014)
Takuji Arai
Good Deal Bounds Induced by Shortfall Risk.
SIAM J. Financial Math.
2 (1) (2011)
Takuji Arai
An extension of mean-variance hedging to the discontinuous case.
Finance Stochastics
9 (1) (2005)