Takuji Arai

According to our database, Takuji Arai authored at least 8 papers between 2005 and 2024.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of four.

2024

Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure.

Takuji Arai, Yuto Imai

Math. Comput. Simul., April, 2024

Constrained optimal stopping under a regime-switching model.

Takuji Arai, Masahiko Takenaka

J. Appl. Probab., 2024

A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes.

Takuji Arai, Yuto Imai

J. Appl. Probab., 2024

2017

Local risk-minimization for Barndorff-Nielsen and Shephard models.

Takuji Arai, Yuto Imai, Ryoichi Suzuki

Finance Stochastics, 2017

2015

Comparison of local risk minimization and delta hedging strategy for exponential Lévy models.

Yuto Imai, Takuji Arai

JSIAM Lett., 2015

2014

Convex Risk Measures for Càdlàg Processes on Orlicz Hearts.

Takuji Arai

SIAM J. Financial Math., 2014

2011

Good Deal Bounds Induced by Shortfall Risk.

Takuji Arai

SIAM J. Financial Math., 2011

2005

An extension of mean-variance hedging to the discontinuous case.

Takuji Arai

Finance Stochastics, 2005