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

- 87 Citations
- 5 h-Index
- 22 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

## PRICING and HEDGING of VIX OPTIONS for BARNDORFF-NIELSEN and SHEPHARD MODELS

Arai, T., 2019 Jan 1, (Accepted/In press) In : International Journal of Theoretical and Applied Finance. 1950043.Research output: Contribution to journal › Article

Open Access

Volatility index

Call option

Option prices

Assets

Fast Fourier transform

## 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

3
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