Takuji Arai

Lectures

Grants

Preprints

• Constrained optimal stopping under a regime-switching model, 2022 (with M. Takenaka). arXiv

Publications

• Approximate option pricing formula for Barndorff-Nielsen and Shephard model, International Journal of Theoretical and Applied Finance vol. 25, 2250008, 2022. arXiv
• A Clark-Ocone type formula via Ito calculus and its application to finance, Journal of Stochastic Analysis vol. 2, no. 4, article 5, 2021 (with R. Suzuki). arXiv
• Alos type decomposition formula for Barndorff-Nielsen and Shephard model, Journal of Stochastic Analysis vol. 2, no. 2, article 3, 2021. arXiv
• Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models, International Journal of Theoretical and Applied Finance vol.22, 1950043, 2019. arXiv
• Optimal initial capital induced by the optimized certainty equivalent, Insurance: Mathematics and Economics vol.85, pp.115-125, 2019 (with T. Asano and K. Nishide). discussion paper
• A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus, Applied Mathematical Finance vol.25, pp.247-267, 2018 (with Y. Imai). arXiv
• Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models, Advances in Mathematical Economics vol.22, pp.1-24, 2018 (with Y. Imai and R. Nakashima). arXiv
• On the difference between locally risk-minimizing and delta hedging strategies for exponential Levy models, Japan Journal of Industrial and Applied Mathematics vol.34, pp.845-858, 2017 (with Y. Imai). arXiv
• Good deal bounds with convex constraints, International Journal of Theoretical and Applied Finance, vol.20, 1750011, 2017. previous version(arXiv) extended version
• Local risk-minimization for Barndorff-Nielsen and Shephard models, Finance & Stochastics, vol.21, pp.551-592, 2017 (with Y. Imai and R. Suzuki). arXiv
• Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium, Advances in Mathematical Economics, vol.20, pp.3-22, 2016. arXiv
• Numerical analysis on local risk-minimization for exponential Levy models, International Journal of Theoretical and Applied Finance vol.19, 1650008, 2016 (with Y. Imai and R. Suzuki). arXiv
• Comparison of local risk minimization and delta hedging strategy for exponential Levy models, JSIAM Letters, vol.7, pp.77-80, 2015 (with Y. Imai).
• Local risk-minimization for Levy markets, International Journal of Financial Engineering, vol.2, 1550015, 2015 (with R. Suzuki).
• Convex risk measures for cadlag processes on Orlicz spaces, SIAM Journal on Financial Mathematics, vol.5, pp.609-625, 2014.
• Minimization of hedging error on Orlicz space, Proceedings of Actuarial and Financial Mathematics Conference, 2014, pp.3-14, 2014 (with T. Choulli).
• Convex risk measures for good deal bounds, Mathematical Finance, vol.24, pp.464-484, 2014 (with M. Fukasawa).
• Good deal bounds induced by shortfall risk, SIAM Journal on Financial Mathematics, vol.2, pp.1-21, 2011.
• How much can investors discount?, Advances in Mathematical Economics, vol.14, pp.1-16, 2011 (with T. Suzuki).
• Convex risk measures on Orlicz spaces: inf-convolution and shortfall, Mathematics and Financial Economics, vol.3, pp.73-88, 2010.
• q-optimal martingale measures for discrete time models, Asia Pacific Financial Markets, vol.15, pp.155-173, 2008 (with M. Kawaguchi).
• L^p-projections of random variables and its application to finance, International Journal of Theoretical and Applied Finance, vol.11, pp.869-888, 2008.
• Optimal hedging strategies on asymmetric functions, Advances in Mathematical Economics, vol.11, pp.1-10, 2008.
• An approximate approach to the exponential utility indifference valuation, International Journal of Theoretical and Applied Finance, vol.10, pp.475-503, 2007.
• Some properties of the variance-optimal martingale measure for discontinuous semimartingales, Statistics & Probability Letters, vol.74, pp.163-170, 2005.
• Some remarks on mean-variance hedging for discontinuous asset price processes, International Journal of Theoretical and Applied Finance, vol.8, pp.425-443, 2005.
• An extension of mean-variance hedging to the discontinuous case, Finance & Stochastics, vol.9, pp.129-139, 2005.
• Minimal martingale measures for jump diffusion processes, Journal of Applied Probability, vol.41, pp.263-270, 2004.
• Mean-variance hedging for discontinuous semimartingales, Tokyo Journal of Mathematics, vol.25, pp.435-452, 2002.
• The p-optimal martingale measure in continuous trading models, Statistics & Probability Letters, vol.54, pp.93-99, 2001.
• The relations between minimal martingale measure and minimal entropy martingale measure, Asia Pacific Financial Markets, vol.8, pp.167-177, 2001.
• A class of semi-selfsimilar processes related to random walks in random scenery, Tokyo Journal of Mathematics, vol.24, pp.69-85, 2001.