Research Output per year

## Fingerprint Dive into the research topics where Takuji Arai is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

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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Network
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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 journal › Article

Utility Function

Risk Measures

Certainty equivalent

Utility function

Background

## A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus

Arai, T. & Imai, Y., 2018 Jan 1, (Accepted/In press) In : Applied Mathematical Finance.Research output: Contribution to journal › Article

Mean-variance Hedging

Additive Process

Malliavin Calculus

Closed-form

Malliavin Derivative

## 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 journal › Article

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 journal › Article

Minimal Martingale Measure

Malliavin Calculus

Stochastic Volatility Model

Differentiability

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 journal › Article

Exponential Model

Hedging

Minimal Martingale Measure

Model

Numerical Examples