Rchr
J-GLOBAL ID:200901069217845287
Update date: Aug. 02, 2024
Takuji Arai
アライ タクジ | Takuji Arai
Affiliation and department:
Job title:
Professor
Homepage URL (1):
http://web.econ.keio.ac.jp/staff/arai/
Research field (2):
Mathematical analysis
, Applied mathematics and statistics
Research keywords (2):
Probability Theory
, Mathematical Finance
Research theme for competitive and other funds (6):
Papers (38):
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Takuji Arai, Yuto Imai. Option pricing for Barndorff-Nielsen and Shephard model by supervised deep learning. International Journal of Financial Engineering. 2024
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Takuji Arai, Yuto Imai. Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure. Mathematics and Computers in Simulation. 2024. 218. 223-234
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Takuji Arai, Yuto Imai. A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes. Journal of Applied Probability. 2024
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Takuji Arai, Masahiko Takenaka. Constrained optimal stopping under a regime-switching model. Journal of Applied Probability. 2022
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Takuji Arai. APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. 2022. 25. 02
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