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)：

2022 - 2025 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
2018 - 2022 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
2015 - 2019 Research on mathematical expressions and numerical methods for optimal hedging strategies via Malliavin calculus
2010 - 2013 Research on pricing theory by convex risk measures taking account of hedging, and its related stochastic analysis
2007 - 2009 Research on pricing theory in incomplete financial markets by using stochastic analysis

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Papers (35)：

Takuji Arai, Masahiko Takenaka. Constrained optimal stopping under a regime-switching model. 2022
Takuji Arai. APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. 2022. 25. 02
Takuji Arai, Ryoichi Suzuki. A Clark-Ocone Type Formula via Itô Calculus and its Application to Finance. Journal of Stochastic Analysis. 2021. 2. 4
Takuji Arai. Alòs Type Decomposition Formula for Barndorff-Nielsen and Shephard Model. Journal of Stochastic Analysis. 2021. 2. 2
Takuji Arai. PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. 2019. 22. 8

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