研究キーワード (4件):
Numerical Methods for Finance
, High Performance Computing
, Econometrics
, Mathematical Finance
競争的資金等の研究課題 (1件):
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論文 (9件):
Advances in Mathematical Economics. Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models. 2018. 22. 1-24
A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus. Applied Mathematical Finance. 2018. 25. 3. 247-267
Takuji Arai, Yuto Imai, Ryoichi Suzuki. Local risk-minimization for Barndorff-Nielsen and Shephard models. FINANCE AND STOCHASTICS. 2017. 21. 2. 551-592