-
Affiliation
-
Faculty of Economics (Mita)
-
Position
-
Professor
KEIO RESEARCHERS INFORMATION SYSTEM |
Details of a Researcher
このページはJavascriptを使用しています。すべての機能を使用するためにはJavascript を有効にする必要があります。
Arai, Takuji
|
|
Natural Science / Mathematical analysis (Mathematical Finance)
APPROXIMATE OPTION PRICING FORMULA for BARNDORFF-NIELSEN and SHEPHARD MODEL
Arai T.
International Journal of Theoretical and Applied Finance (International Journal of Theoretical and Applied Finance) 25 ( 2 ) 2022.03
ISSN 02190249
PRICING and HEDGING of VIX OPTIONS for BARNDORFF-NIELSEN and SHEPHARD MODELS
Arai T.
International Journal of Theoretical and Applied Finance (International Journal of Theoretical and Applied Finance) 22 ( 8 ) 2019.12
ISSN 02190249
Optimal initial capital induced by the optimized certainty equivalent
Arai T., Asano T., Nishide K.
Insurance: Mathematics and Economics (Insurance: Mathematics and Economics) 85 115 - 125 2019.03
Research paper (scientific journal), Joint Work, Accepted, ISSN 01676687
Arai T., Imai Y.
Applied Mathematical Finance (Applied Mathematical Finance) 25 ( 3 ) 247 - 267 2018.05
Research paper (scientific journal), Joint Work, Accepted, ISSN 1350486X
Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
Takuji Arai, Yuto Imai and Ryo Nakashima
Advances in Mathematical Economics 22 1 - 24 2018
Research paper (scientific journal), Joint Work, Accepted
Arai, Takuji
科学研究費補助金研究成果報告書 2018
Keio economic society's symposium : trend of economics : preface
Arai, Takuji
Mita journal of economics (慶應義塾経済学会) 108 ( 4 ) 699(51) - 701(53) 2016.01
ISSN 00266760
Explicit representations for local risk-minimization and its numerical analysis
Arai, Takuji
Mita journal of economics (慶應義塾経済学会) 108 ( 3 ) 483(7) - 503(27) 2015.10
ISSN 00266760
Arai, Takuji
科学研究費補助金研究成果報告書 2013
Shortfall risk measure and its representation results
Arai, Takuji
Keio journal of economics (慶應義塾経済学会) 105 ( 2 ) 199(91) - 215(107) 2012.07
ISSN 00266760
ジャンプ型確率ボラティリティモデルに対するボラティリティ・サーフェスの研究
MEXT,JSPS, Grant-in-Aid for Scientific Research, 基盤研究(C), Principal investigator
確率ボラティリティモデルに対する最適ヘッジ戦略の導出と数値計算法の研究
MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (C), Principal investigator
Malliavin解析による最適ヘッジ戦略の導出とその数値計算法の研究
MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (C), Principal investigator
SEMINAR: ECONOMETRICS
2023
RESEARCH SEMINAR B
2023
RESEARCH SEMINAR A
2023
MATHEMATICS FOR ECONOMICS
2023
FINANCE THEORY
2023