Fingerprint Fingerprint is based on mining the text of the persons scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

Martingale measure Mathematics
Model Mathematics
Minimal martingale measure Mathematics
Jump-diffusion process Mathematics
risk Social Sciences
Incomplete markets Mathematics
Semimartingale Mathematics
Stock prices Mathematics

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Research Output 2001 2017

  • 58 Citations
  • 3 h-Index
  • 16 Article

GOOD DEAL BOUNDS with CONVEX CONSTRAINTS

Arai, T. 2017 Mar 1 In : International Journal of Theoretical and Applied Finance. 20, 2, 1750011

Research output: Contribution to journalArticle

Financial markets
Costs

Local risk-minimization for Barndorff-Nielsen and Shephard models

Arai, T., Imai, Y. & Suzuki, R. 2017 Apr 1 In : Finance and Stochastics. 21, 2, p. 551-592 42 p.

Research output: Contribution to journalArticle

Lévy process
1 Citations

Numerical analysis on local risk-minimization for exponential lévy models

Arai, T., Imai, Y. & Suzuki, R. 2016 Mar 1 In : International Journal of Theoretical and Applied Finance. 19, 2, 1650008

Research output: Contribution to journalArticle

Hedging
Numerical analysis

Convex risk measures for càdlàg processes on Orlicz hearts

Arai, T. 2014 In : SIAM Journal on Financial Mathematics. 5, 1, p. 609-625 17 p.

Research output: Contribution to journalArticle

Hedging
Costs
2 Citations

Convex risk measures for good deal bounds

Arai, T. & Fukasawa, M. 2014 In : Mathematical Finance. 24, 3, p. 464-484 21 p.

Research output: Contribution to journalArticle

risk
pricing
relevance
price
market