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Mean-variance Hedging Mathematics
Convex Risk Measures Mathematics
Martingale Measure Mathematics
Minimal Martingale Measure Mathematics
Semimartingale Mathematics
Incomplete Markets Mathematics
Risk Measures Mathematics
Hedging Mathematics

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Research Output 2001 2019

  • 85 Citations
  • 5 h-Index
  • 21 Article

Optimal initial capital induced by the optimized certainty equivalent

Arai, T., Asano, T. & Nishide, K., 2019 Mar 1, In : Insurance: Mathematics and Economics. 85, p. 115-125 11 p.

Research output: Contribution to journalArticle

Utility Function
Risk Measures
Certainty equivalent
Utility function
Mean-variance Hedging
Additive Process
Malliavin Calculus
Malliavin Derivative


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

Research output: Contribution to journalArticle

Good deal bounds
Arbitrage pricing
Convex risk measures
Market model
Risk measures
2 Citations (Scopus)

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

Minimal Martingale Measure
Malliavin Calculus
Stochastic Volatility Model
Numerical Experiment
2 Citations (Scopus)

On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models

Arai, T. & Imai, Y., 2017 Sep 25, (Accepted/In press) In : Japan Journal of Industrial and Applied Mathematics. p. 1-14 14 p.

Research output: Contribution to journalArticle

Exponential Model
Minimal Martingale Measure
Numerical Examples