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Takuji Arai

Identifiers

  • name variant Takuji Arai 0.60 · backfill

Papers (11)

  1. A Clark-Ocone type formula via Ito calculus and its application to finance q-fin.MF · 2019 · author #1
  2. Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models q-fin.MF · 2019 · author #1
  3. Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models q-fin.CP · 2018 · author #1
  4. A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus q-fin.MF · 2017 · author #1
  5. On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models q-fin.CP · 2016 · author #1
  6. Numerical analysis on local risk-minimization forexponential L\'evy models q-fin.CP · 2015 · author #1
  7. Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium q-fin.MF · 2015 · author #1
  8. Good deal bounds with convex constraints q-fin.MF · 2015 · author #1
  9. Local risk-minimization for Barndorff-Nielsen and Shephard models q-fin.MF · 2015 · author #1
  10. Convex risk measures for good deal bounds q-fin.PR · 2011 · author #1
  11. Good deal bounds induced by shortfall risk q-fin.RM · 2008 · author #1

Mentions

  • 1503.08589 #1 · backfill · confidence 0.70 Takuji Arai
  • 1108.1273 #1 · backfill · confidence 0.70 Takuji Arai
  • 0802.4141 #1 · backfill · confidence 0.70 Takuji Arai

Frequent Coauthors