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 (39)：

Takuji Arai, Yuto Imai. Option pricing for Barndorff-Nielsen and Shephard model by supervised deep learning. International Journal of Financial Engineering. 2024
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
Takuji Arai, Yuto Imai. A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes. Journal of Applied Probability. 2024
Takuji Arai. Deep learning-based option pricing for Barndorff-Nielsen and Shephard model. International Journal of Financial Engineering. 2023
Takuji Arai, Masahiko Takenaka. Constrained optimal stopping under a regime-switching model. Journal of Applied Probability. 2022

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