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

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Research Output 2001 2018

  • 79 Citations
  • 5 h-Index
  • 20 Article
Mean-variance Hedging
Additive Process
Malliavin Calculus
Closed-form
Numerical methods

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

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

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
Lévy Process
Differentiability
1 Citations

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

Hedging
Minimal Martingale Measure
Model
Strategy
Numerical Examples
3 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

Local risk-minimization
Numerical analysis
Call option
Fast Fourier transform
Variance gamma