ARAI Takuji 新井拓児

… Alternative Names

新井拓児アライタクジ

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Researcher Number	20349830
Other IDs
External Links
Affiliation (Current)	2025: 慶應義塾大学, 経済学部(三田), 教授
Affiliation (based on the past Project Information) *help	2016 – 2023: 慶應義塾大学, 経済学部(三田), 教授 2015: 慶應義塾大学, 経済学部, 教授 2012 – 2013: 慶應義塾大学, 経済学部, 教授 2007 – 2011: Keio University, 経済学部, 准教授 2005 – 2006: 慶應義塾大学, 経済学部, 助教授 2004: 東京理科大学, 理工学部情報科学科, 助手
Review Section/Research Field	Principal Investigator General mathematics (including Probability theory/Statistical mathematics) / Basic Section 12040:Applied mathematics and statistics-related / Basic analysis
Keywords	Principal Investigator 数理ファイナンス / 確率論 / 数値計算 / 効用関数 / 同値martingale測度 / 非完備市場 / 価格付け理論 / Orlicz space / リスク測度 / semimartingale … More / Scmimartingale / Good deal bound / Orlicz空間 / ファイナンス論 / 応用数学 / 関数解析学 / mean-variance hedging / 確率積分 Less

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Principal Investigator
- Principal Investigator
  
  新井拓児
- Project Period (FY)
  2022 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 12040:Applied mathematics and statistics-related
- Research Institution
  Keio University
Research on mathematical expressions and numerical methods of optimal hedging strategies for stochastic volatility modelsPrincipal Investigator
- Principal Investigator
  
  Arai Takuji
- Project Period (FY)
  2018 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 12040:Applied mathematics and statistics-related
- Research Institution
  Keio University
Research on mathematical expressions and numerical methods for optimal hedging strategies via Malliavin calculusPrincipal Investigator
- Principal Investigator
  
  ARAI Takuji
- Project Period (FY)
  2015 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Basic analysis
- Research Institution
  Keio University
Research on pricing theory by convex risk measures taking account of hedging, and its related stochastic analysisPrincipal Investigator
- Principal Investigator
  
  ARAI Takuji
- Project Period (FY)
  2010 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Keio University
Research on pricing theory in incomplete financial markets by using stochastic analysisPrincipal Investigator
- Principal Investigator
  
  ARAI Takuji
- Project Period (FY)
  2007 – 2009
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Keio University
金融派生商品に対する価格付け理論の確率論的アプローチに関する研究Principal Investigator
- Principal Investigator
  
  新井拓児
- Project Period (FY)
  2004 – 2006
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Keio University
  Tokyo University of Science

[Journal Article] A remark on exact simulation of OU-TS processes2024
- Author(s)
  Arai Takuji
- Journal Title
  
  Journal of Applied Probability
  
  Volume: -
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22K03419
[Journal Article] Constrained optimal stopping under a regime-switching model2024
- Author(s)
  Arai Takuji、Takenaka Masahiko
- Journal Title
  
  Journal of Applied Probability
  
  Volume: -
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22K03419
[Journal Article] Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure2024
- Author(s)
  Arai Takuji、Imai Yuto
- Journal Title
  
  Mathematics and Computers in Simulation
  
  Volume: 218 Pages: 223-234
- DOI
  10.1016/j.matcom.2023.11.029
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22K03419
[Journal Article] Deep learning-based option pricing for Barndorff-Nielsen and Shephard model2023
- Author(s)
  Takuji Arai
- Journal Title
  
  International Journal of Financial Engineering
  
  Volume: -
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22K03419
[Journal Article] Deep learning-based option pricing for Barndorff-Nielsen and Shephard model2023
- Author(s)
  Takuji Arai
- Journal Title
  
  International Journal of Financial Engineering
  
  Volume: -
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K03422
[Journal Article] Approximate option pricing formula for Barndorff-Nielsen and Shephard model2022
- Author(s)
  Takuji Arai
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: Vol. 25 No. 2 Issue: 02 Pages: 2250008-2250008
- DOI
  10.1142/s021902492250008x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K03422
[Journal Article] A Clark-Ocone Type Formula via Ito Calculus and its Application to Finance2021
- Author(s)
  Takuji Arai and Ryoichi Suzuki
- Journal Title
  
  Journal of Stochastic Analysis
  
  Volume: Vol. 2 No. 4 Issue: 4
- DOI
  10.31390/josa.2.4.05
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K03422
[Journal Article] Alos Type Decomposition Formula for Barndorff-Nielsen and Shephard Model2021
- Author(s)
  Takuji Arai
- Journal Title
  
  Journal of Stochastic Analysis
  
  Volume: Vol. 2 No. 2 Issue: 2
- DOI
  10.31390/josa.2.2.03
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K03422
[Journal Article] Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models2019
- Author(s)
  Takuji Arai
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: 22 Issue: 08 Pages: 1950043-1950043
- DOI
  10.1142/s0219024919500432
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K03422
[Journal Article] Optimal Initial Capital Induced by the Optimized Certainty Equivalent2019
- Author(s)
  Takuji Arai, Takao Asano, and Katsumasa Nishide
- Journal Title
  
  Insurance: Mathematics and Economics
  
  Volume: 85 Pages: 115-125
- DOI
  10.1016/j.insmatheco.2019.01.006
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16K03558, KAKENHI-PROJECT-17K03797, KAKENHI-PROJECT-17K03806, KAKENHI-PROJECT-18K03422, KAKENHI-PROJECT-16H02026, KAKENHI-PROJECT-16H03619, KAKENHI-PROJECT-15K04936, KAKENHI-PROJECT-25245046
[Journal Article] A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus2018
- Author(s)
  Arai Takuji、Imai Yuto
- Journal Title
  
  Applied Mathematical Finance
  
  Volume: 25 Issue: 3 Pages: 247-267
- DOI
  10.1080/1350486x.2018.1506259
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K03422, KAKENHI-PROJECT-17K13764, KAKENHI-PROJECT-15K04936
[Journal Article] Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models2018
- Author(s)
  Takuji Arai, Yuto Imai and Ryo Nakashima
- Journal Title
  
  Advances in Mathematical Economics
  
  Volume: 22
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K04936
[Journal Article] Good deal bounds with convex constraints2017
- Author(s)
  Takuji Arai
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: 20 Issue: 02 Pages: 1750011-1750011
- DOI
  10.1142/s021902491750011x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K04936
[Journal Article] On the difference between locally risk-minimizing and delta hedging strategies for exponential Levy models2017
- Author(s)
  Takuji Arai and Yuto Imai
- Journal Title
  
  Japan Journal of Industrial and Applied Mathematics
  
  Volume: 34 Issue: 3 Pages: 845-858
- DOI
  10.1007/s13160-017-0268-6
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K04936, KAKENHI-PROJECT-17K13764
[Journal Article] Local risk-minimization for Barndorff-Nielsen and Shephard models2017
- Author(s)
  Takuji Arai, Yuto Imai and Ryoichi Suzuki
- Journal Title
  
  Finance & Stochastics
  
  Volume: 21 Issue: 2 Pages: 551-592
- DOI
  10.1007/s00780-017-0324-8
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-15K04936, KAKENHI-PROJECT-17K13764
[Journal Article] Numerical analysis on local risk-minimization for exponential Levy models2016
- Author(s)
  Takuji Arai, Yuto Imai and Ryoichi Suzuki
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: 19 Issue: 02 Pages: 1650008-1650008
- DOI
  10.1142/s0219024916500084
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K04936
[Journal Article] 数理ファイナンスに現れるLevy過程2016
- Author(s)
  新井拓児
- Journal Title
  
  統計数理研究所共同研究リポート
  
  Volume: 352 Pages: 63-72
- Data Source
  KAKENHI-PROJECT-15K04936
[Journal Article] Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium2016
- Author(s)
  Takuji Arai
- Journal Title
  
  Advances in Mathematical Economics
  
  Volume: 20 Pages: 3-22
- DOI
  10.1007/978-981-10-0476-6_1
- NAID
  40020918604
- ISBN
  9789811004759, 9789811004766
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K04936
[Journal Article] Local risk-minimizationに対する具体的表現の導出と数値計算法について2015
- Author(s)
  新井拓児
- Journal Title
  
  三田学会雑誌
  
  Volume: 108 Pages: 91-107
- Data Source
  KAKENHI-PROJECT-15K04936
[Journal Article] Comparison of local risk minimization and delta hedging strategy for exponential Lévy models2015
- Author(s)
  Yuto Imai and Takuji Arai
- Journal Title
  
  JSIAM Letters
  
  Volume: 7 Issue: 0 Pages: 77-80
- DOI
  10.14495/jsiaml.7.77
- NAID
  130005130525
- ISSN
  1883-0609, 1883-0617
- Language
  English
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-15K04936
[Journal Article] Local risk-minimization for Levy markets2015
- Author(s)
  Takuji Arai and Ryoichi Suzuki
- Journal Title
  
  International Journal of Financial Engineering
  
  Volume: 2 Issue: 02 Pages: 1550015-1550015
- DOI
  10.1142/s2424786315500152
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K04936
[Journal Article] Convex risk measure for good deal bounds2013
- Author(s)
  T. Arai and M. Fukasawa
- Journal Title
  
  Mathematical Finance
  
  Volume: (to appear) Issue: 3 Pages: 464-484
- DOI
  10.1111/mafi.12020
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540149, KAKENHI-PROJECT-24684006, KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245046
[Journal Article] ショートフォールリスク測度とその表現2012
- Author(s)
  新井拓児
- Journal Title
  
  三田学会雑誌
  
  Volume: 105巻第2号 Pages: 91-107
- NAID
  120005441196
- URL
  http://koara.lib.keio.ac.jp/xoonips/modules/xoonips/detail.php?koara_id=AN00234610-20120701-0091
- Data Source
  KAKENHI-PROJECT-22540149
[Journal Article] How much can investors discount?2011
- Author(s)
  T. Arai and T. Suzuki
- Journal Title
  
  Advances in Mathematical Economics
  
  Volume: Vol.14 Pages: 1-16
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540149
[Journal Article] Good deal bounds induced by shortfall risk2011
- Author(s)
  T. Arai
- Journal Title
  
  SIAM Journal on Financial Mathematics
  
  Volume: Vol.2 Issue: 1 Pages: 1-21
- DOI
  10.1137/090769120
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540149
[Journal Article] How much can investors discount?2011
- Author(s)
  Takuji Arai, Takamasa Suzuki
- Journal Title
  
  Advances in Mathematical Economics
  
  Volume: 14 Pages: 1-16
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540149
[Journal Article] Good deal bounds induced by shortfall risk2011
- Author(s)
  Takuji Arai
- Journal Title
  
  SIAM Journal on Financial Mathematics
  
  Volume: 2 Pages: 1-21
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540149
[Journal Article] Convex risk measures on Orlicz spaces: inf-convolution and shortfall2010
- Author(s)
  T. Arai
- Journal Title
  
  Mathematics and Financial Economics
  
  Volume: Vol.3 Issue: 2 Pages: 73-88
- DOI
  10.1007/s11579-010-0028-8
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540149
[Journal Article] Convex risk measures on Orlicz spaces : inf-convolution and shortfall2010
- Author(s)
  Takuji Arai
- Journal Title
  
  Mathematics and Financial Economics
  
  Volume: 3 Pages: 73-88
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22540149
[Journal Article] L^p-projections of random variables and its application to finance2008
- Author(s)
  Takuji Arai
- Journal Title
  
  International Journal of Theoretical and Applied Finance 11
  
  Pages: 869-888
- NAID
  40015405980
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19540144
[Journal Article] L^p-projections of random variables and its application to finance2008
- Author(s)
  T. Arai
- Journal Title
  
  International Journal of Theoretical and Applied Finance Vol.11
  
  Pages: 869-888
- NAID
  40015405980
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19540144
[Journal Article] Optimal hedging strategies on asymmetric functions2008
- Author(s)
  Takuji Arai
- Journal Title
  
  Adv.Math.Econ 11
  
  Pages: 1-10
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19540144
[Journal Article] Optimal hedging strategies on asymmetric functions2008
- Author(s)
  T. Arai
- Journal Title
  
  Advances in Mathematical Economics Vol.11
  
  Pages: 1-10
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19540144
[Journal Article] optimal martingale measures for discrete time models2008
- Author(s)
  T. Arai, M. Kawaguchi
- Journal Title
  
  Asia Pacific Financial Markets Vol.15
  
  Pages: 155-173
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19540144
[Journal Article] q-optimal martingale measures for discrete time models2008
- Author(s)
  Takuji Arai, Muneki Kawaguchi
- Journal Title
  
  Asia Pacific Financial Markets 15
  
  Pages: 155-173
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19540144
[Journal Article] 確率変数のLp-射影とその数理ファイナンスへの応用2007
- Author(s)
  新井拓児
- Journal Title
  
  三田学会雑誌 99巻第4号
  
  Pages: 79-100
- NAID
  120005440915
- Data Source
  KAKENHI-PROJECT-16740062
[Journal Article] Lp-projections of random variables and its application to finance2006
- Author(s)
  T.Arai
- Journal Title
  
  Keio Economic Society Discussion Paper Series KESDP 06-2
  
  Pages: 1-25
- NAID
  40015405980
- Data Source
  KAKENHI-PROJECT-16740062
[Journal Article] An Approximate Approach to the Exponential Utility Indifference Valuation2005
- Author(s)
  T.Arai
- Journal Title
  
  Keio Economic Society Discussion Paper Series KESDP 05-2
  
  Pages: 1-30
- NAID
  110002328994
- Data Source
  KAKENHI-PROJECT-16740062
[Journal Article] Mean-variance hedging for discontinuous processes - a survey and examples -2005
- Author(s)
  新井拓児
- Journal Title
  
  京都大学数理解析研究所講究録 1443
  
  Pages: 129-143
- Data Source
  KAKENHI-PROJECT-16740062
[Journal Article] A summary on the Approximate Approach to the exponential utility indifference valuation
- Author(s)
  新井拓児
- Journal Title
  
  京都大学数理解析研究所講究録 (印刷中)
- Data Source
  KAKENHI-PROJECT-16740062
[Journal Article] Nondegeneracy condition of order q in discrete time
- Author(s)
  T.Arai
- Journal Title
  
  京都大学数理解析研究所講究録 (印刷中)
- Data Source
  KAKENHI-PROJECT-16740062
[Journal Article] An Approximate Approach to the Exponential Utility Indifference Valuation
- Author(s)
  T.Arai
- Journal Title
  
  Intern. J, Theor. Appl. Fin. (印刷中)
- NAID
  110002328994
- Data Source
  KAKENHI-PROJECT-16740062
[Journal Article] Some Remarks on the Approximate Approach to the EUIV
- Author(s)
  T.Arai
- Journal Title
  
  MTEC Journal (印刷中)
- Data Source
  KAKENHI-PROJECT-16740062
[Journal Article] Some remarks on mean-variance hedging for discontinuous asset price processes
- Author(s)
  Arai, T.
- Journal Title
  
  Intern.J.Theor.Appl.Fin. (印刷中)
- Data Source
  KAKENHI-PROJECT-16740062
[Presentation] Deep Learning-Based Option Pricing for Barndorff-Nielsen and Shephard Model2023
- Author(s)
  新井拓児
- Organizer
  第58回冬季JAFEE大会(2022年度冬季大会)
- Data Source
  KAKENHI-PROJECT-22K03419
[Presentation] Deep Learning-Based Option Pricing for Barndorff-Nielsen and Shephard Model2023
- Author(s)
  新井拓児
- Organizer
  第58回冬季JAFEE大会(2022年度冬季大会)
- Data Source
  KAKENHI-PROJECT-18K03422
[Presentation] Constrained optimal stopping under a regime-switching model2023
- Author(s)
  Arai Takuji
- Organizer
  JAFEE-ISM国際シンポジウム
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-22K03419
[Presentation] Constrained optimal stopping under a regime-switching model2023
- Author(s)
  Arai Takuji
- Organizer
  ICIAM2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-22K03419
[Presentation] Decomposition and Approximation for Barndorff-Nielsen and Shephard model2021
- Author(s)
  新井拓児
- Organizer
  2021年度夏季JAFEE大会
- Data Source
  KAKENHI-PROJECT-18K03422
[Presentation] Decomposition and Approximation for Barndorff-Nielsen and Shephard model2020
- Author(s)
  新井拓児
- Organizer
  2020年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題 2020」
- Invited
- Data Source
  KAKENHI-PROJECT-18K03422
[Presentation] Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models2019
- Author(s)
  Takuji Arai
- Organizer
  Vienna Congress on Mathematical Finance - VCMF 2019
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K03422
[Presentation] A closed form representation of mean-variance hedging for additive processes via Malliavin calculus2018
- Author(s)
  Takuji Arai
- Organizer
  the 10th World Congress of the Bachelier Finance Society
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K03422
[Presentation] A closed form representation of mean-variance hedging for additive processes via Malliavin calculus2018
- Author(s)
  Takuji Arai
- Organizer
  40th Conference on Stochastic Processes and Their Applications
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] A closed form representation of mean-variance hedging for additive processes via Malliavin calculus2018
- Author(s)
  Takuji Arai
- Organizer
  40th Conference on Stochastic Processes and Their Applications
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K03422
[Presentation] A closed form representation of mean-variance hedging for additive processes via Malliavin calculus2018
- Author(s)
  Takuji Arai
- Organizer
  the 10th World Congress of the Bachelier Finance Society
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] Optimal initial capital induced by optimized certainty equivalent2017
- Author(s)
  新井拓児
- Organizer
  数理経済学会2017年度研究集会
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] A closed form representation of mean-variance hedging for additive processes via Malliavin calculus2017
- Author(s)
  Takuji Arai
- Organizer
  8th General AMaMeF Conference, Amsterdam
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] Mean-variance hedging for additive processes via Malliavin calculus2017
- Author(s)
  Takuji Arai
- Organizer
  Mathematical Economics 2017 Workshop at Keio
- Place of Presentation
  慶應義塾大学三田キャンパス(東京都・港区)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] Local risk-minimization for Barndorff-Nielsen and Shephard models2016
- Author(s)
  Takuji Arai
- Organizer
  SIAM conference on Financial Mathematics & Engineering
- Place of Presentation
  アメリカ合衆国テキサス州オースティン
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] Local risk-minimization for Barndorff-Nielsen and Shephard models2016
- Author(s)
  Takuji Arai
- Organizer
  The 10th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus
- Place of Presentation
  フランス、メタビエフ
- Year and Date
  2016-01-20
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] Local risk-minimization for Barndorff-Nielsen Shephard models2016
- Author(s)
  Takuji Arai
- Organizer
  Boston University/Keio University Workshop 2016
- Place of Presentation
  アメリカ合衆国マサチューセッツ州ボストン
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] Convex risk measures for cadlag processes on Orlicz spaces2016
- Author(s)
  Takuji Arai
- Organizer
  Keio Symposium on Risk Assessment
- Place of Presentation
  慶應義塾大学矢上キャンパス(神奈川県・横浜市港北区)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] Local risk-minimization for Barndorff-Nielsen and Shephard models2015
- Author(s)
  新井拓児
- Organizer
  確率論シンポジウム
- Place of Presentation
  岡山大学(岡山県・岡山市)
- Year and Date
  2015-12-17
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] 数理ファイナンスに現れるLevy過程2015
- Author(s)
  新井拓児
- Organizer
  統計数理研究所・共同研究集会「無限分解可能過程に関連する諸問題」
- Place of Presentation
  統計数理研究所(東京都・立川市)
- Year and Date
  2015-12-04
- Invited
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium2015
- Author(s)
  Takuji Arai
- Organizer
  京都大学数理解析研究所研究集会「Mathematical Analysis in Economic Theory」
- Place of Presentation
  京都大学数理解析研究所(京都府・京都市)
- Year and Date
  2015-11-26
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K04936
[Presentation] Local risk-minimization for Lévy markets2014
- Author(s)
  T. Arai
- Organizer
  Actuarial and Financial Mathematics Conference
- Place of Presentation
  ブリュッセル・アカデミーパレス(ベルギー)
- Year and Date
  2014-02-06
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Good deal bounds with convex constraints2013
- Author(s)
  T. Arai
- Organizer
  Workshop on Knightian Uncertainty and Risk Measures
- Place of Presentation
  シンガポール国立大学(シンガポール)
- Year and Date
  2013-07-04
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Local risk-minimization for Lévy markets2013
- Author(s)
  新井拓児, 鈴木良一
- Organizer
  確率論シンポジウム
- Place of Presentation
  京都大学数理解析研究所
- Year and Date
  2013-12-19
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures for cadlag processes on Orlicz hearts2013
- Author(s)
  T. Arai
- Organizer
  6th General AMaMeF and Banach Center Conference "Advances in Mathematics of Finance"
- Place of Presentation
  ワルシャワ大学(ポーランド)
- Year and Date
  2013-06-14
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures for cadlag processes on Orlicz spaces2013
- Author(s)
  新井拓児
- Organizer
  新潟確率論ワークショップ
- Place of Presentation
  新潟大学
- Year and Date
  2013-01-27
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures for good deal bounds2012
- Author(s)
  T. Arai
- Organizer
  Seminaire Bachelier
- Place of Presentation
  ポアンカレ研究所(フランス)
- Year and Date
  2012-01-21
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] An explicit representation of locally risk-minimizing for Lévy markets2012
- Author(s)
  T. Arai
- Organizer
  Workshop "Mathematical finance and related issues"
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2012-09-03
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures for cadlag processes on Orlicz hearts2012
- Author(s)
  T. Arai
- Organizer
  AMI seminar
- Place of Presentation
  アルバータ大学(カナダ)
- Year and Date
  2012-04-20
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures for good deal bounds2011
- Author(s)
  T. Arai
- Organizer
  Talks in Financial and Insurance Mathematics
- Place of Presentation
  スイス連邦工科大学(スイス)
- Year and Date
  2011-10-06
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Local risk-minimization for Lévy markets2011
- Author(s)
  T. Arai
- Organizer
  Stochastic analysis seminar
- Place of Presentation
  オスロ大学(ノルウェー)
- Year and Date
  2011-12-06
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Pricing and hedging problems in incompletes markets2011
- Author(s)
  T. Arai
- Organizer
  Workshop on Probability Theory in honour of Professor Makoto Maejima on the occasion of his retirement
- Place of Presentation
  慶應義塾大学
- Year and Date
  2011-03-12
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Shortfall risk based good deal bounds for American derivatives2011
- Author(s)
  T. Arai
- Organizer
  Oberwolfach workshop "Stochastic analysis in Finance and Insurance" (short communication)
- Place of Presentation
  Oberwolfach 数学研究所(ドイツ)
- Year and Date
  2011-01-27
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Pricing and hedging problems in incompletes markets2011
- Author(s)
  Takuji Arai
- Organizer
  Workshop on Probability Theory In honour of Professor Makoto Maejima on the occasion of his retirement
- Place of Presentation
  慶應義塾大学矢上キャンパス
- Year and Date
  2011-03-12
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Shortfall risk based good-deal bounds for American derivatives2011
- Author(s)
  Takuji Arai
- Organizer
  Oberwolfach Workshop "Stochastic Analysis in Finance and Insurance
- Place of Presentation
  Oberwolfach数学研究所(ドイツ)
- Year and Date
  2011-01-27
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Shortfall risk based good-deal bounds for American derivatives2010
- Author(s)
  Takuji Arai
- Organizer
  CREST and Sakigake International Symposium "Asymptotic Statistics, Risk and Computation in Finance and Insurance"
- Place of Presentation
  東京工業大学
- Year and Date
  2010-12-16
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Shortfall risk based good deal bounds for American derivatives2010
- Author(s)
  T. Arai
- Organizer
  CREST and Sakigake International Symposium "Asymptotic Statistics, Risk and Computation in Finance and Insurance"
- Place of Presentation
  東京工業大学
- Year and Date
  2010-12-16
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures on Orlicz spaces---inf-convolution and shortfall---2010
- Author(s)
  Takuji Arai
- Organizer
  34th Conference on Stochastic Processes and Their Applications
- Place of Presentation
  大阪・千里ライフサイエンスセンター
- Year and Date
  2010-09-06
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures on Orlicz spaces ---convolution and shortfall---2010
- Author(s)
  新井拓児
- Organizer
  Young researcher's workshop on finance
- Place of Presentation
  首都大学東京秋葉原オフィス
- Year and Date
  2010-03-09
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Convex risk measures on Orlicz spaces-convolution and shortfall-2010
- Author(s)
  新井拓児
- Organizer
  Young researcher's workshop on finance
- Place of Presentation
  首都大学東京秋葉原オフィス
- Year and Date
  2010-03-09
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Convex risk measures on Orlicz spaces-inf-convolution and shortfall-2010
- Author(s)
  T. Arai
- Organizer
  2010 Workshop & Spring School on Stochastic Calculus and Applications
- Place of Presentation
  台湾中央研究院(台湾)
- Year and Date
  2010-04-16
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures on Orlicz spaces2010
- Author(s)
  T. Arai
- Organizer
  the Sixth World Congress of the Bachelier Finance Society
- Place of Presentation
  Toronto Hilton Hotel (カナダ)
- Year and Date
  2010-06-23
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] ショートフォールリスクから導かれる請求権の価格付け理論2010
- Author(s)
  新井拓児
- Organizer
  日本OR学会研究部会「ファイナンス理論の展開」
- Place of Presentation
  首都大学東京秋葉原オフィス
- Year and Date
  2010-07-08
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures on Orlicz spaces---infconvolution and shortfall---2010
- Author(s)
  T. Arai
- Organizer
  34th Conference on Stochastic Processes and Their Applications
- Place of Presentation
  大阪・千里ライフサイエンスセンター
- Year and Date
  2010-09-06
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures on Orlicz spaces2010
- Author(s)
  Takuji Arai
- Organizer
  the Sixth World Congress of the Bachelier Finance Society
- Place of Presentation
  Toronto Hilton Hotel
- Year and Date
  2010-06-23
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures on Orlicz spaces---inf-convolution and shortfall---2010
- Author(s)
  Takuji Arai
- Organizer
  2010 Workshop & Spring School on Stochastic Calculus and Applications
- Place of Presentation
  台湾中央研究院
- Year and Date
  2010-04-16
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Shortfall risk measure on Orlicz spaces2009
- Author(s)
  新井拓児
- Organizer
  科研費シンポジウム「確率論シンポジウム」
- Place of Presentation
  愛媛大学
- Year and Date
  2009-12-17
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Shortfall risk measure for general semimartingales2009
- Author(s)
  新井拓児
- Organizer
  RIMS international conference Stochastic Analysis for and from Finance
- Place of Presentation
  京都リサーチパーク
- Year and Date
  2009-08-03
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Orlicz空間上のConvex Risk MeasureとShortfall Risk2009
- Author(s)
  新井拓児
- Organizer
  科研費シンポ「数理ファイナンスとその周辺」
- Place of Presentation
  九州大学西新プラザ
- Year and Date
  2009-01-22
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Convex risk measures on Orlicz spaces ---convolution and shortfall---2009
- Author(s)
  新井拓児
- Organizer
  Workshop on Mathematical Economics
- Place of Presentation
  慶應義塾大学
- Year and Date
  2009-11-13
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Shortfall risk measure for general semimartingales2009
- Author(s)
  新井拓児
- Organizer
  Workshop on Risk Measures and Robust Optimization in Finance
- Place of Presentation
  シンガポール国立大学
- Year and Date
  2009-11-20
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] ood deal bounds induced by shortfall risk2009
- Author(s)
  T. Arai
- Organizer
  Daiwa Young Researchers' International Workshop on Finance 2009
- Place of Presentation
  京都大学
- Year and Date
  2009-03-11
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Shortfall risk measure for general semimartingales2009
- Author(s)
  新井拓児
- Organizer
  Workshop on Risk Measures and Robust Optimization in Finance
- Place of Presentation
  シンガポール国立大学シンガポール
- Year and Date
  2009-11-20
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Convex risk measures on Orlicz spaces-convolution and shortfall-2009
- Author(s)
  新井拓児
- Organizer
  Workshop on Mathematical Economics
- Place of Presentation
  慶應義塾大学
- Year and Date
  2009-11-13
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Orlicz空間上のConvex Risk Measure と Shortfall Risk2009
- Author(s)
  新井拓児
- Organizer
  科研費シンポ「数理ファイナンスとその周辺」
- Place of Presentation
  九州大学西新プラザ
- Year and Date
  2009-01-22
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Good deal bounds induced by shortfall risk2009
- Author(s)
  Takuji Arai
- Organizer
  Daiwa Young Researchers' International Workshop on Finance 2009
- Place of Presentation
  京都大学
- Year and Date
  2009-03-11
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Shortfall risk measure on Orlicz spaces2009
- Author(s)
  新井拓児
- Organizer
  科研費シンポジウム「確率論シンポジウム
- Place of Presentation
  愛媛大学
- Year and Date
  2009-12-17
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Good deal bounds induced by shortfall risk2008
- Author(s)
  T. Arai
- Organizer
  The 8th Ritsumeikan International Symposium on "Stochastic Processes and Application to Mathematical Finance" and The 8th Columbia-Jafee Conference on Mathematical Finance
- Place of Presentation
  キャンパスプラザ京都
- Year and Date
  2008-03-19
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Good deal bounds induced by shortfall risk2008
- Author(s)
  新井拓児
- Organizer
  大阪大学中之島ワークショップ
- Place of Presentation
  大阪大学中之島センター
- Year and Date
  2008-12-06
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Good deal bounds induced by shortfall risk2008
- Author(s)
  新井拓児
- Organizer
  中之島Workshop
- Place of Presentation
  大阪大学中之島センター
- Year and Date
  2008-12-06
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Good deal bounds induced by shortfall risk2008
- Author(s)
  新井拓児
- Organizer
  2008年度夏季JAFEE大会
- Place of Presentation
  成城大学
- Year and Date
  2008-08-02
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Good deal bounds induced by shortfall risk2008
- Author(s)
  Takuji Arai
- Organizer
  the Fifth World Congress of the Bachelier Finance Society
- Place of Presentation
  Imperial college, London、the United kingdam
- Year and Date
  2008-07-16
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Good deal bounds induced by shortfall risk2008
- Author(s)
  T. Arai
- Organizer
  the Fifth World Congress of the Bachelier Finance Society
- Place of Presentation
  Imperial College London
- Year and Date
  2008-07-16
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Optimal hedging strategies on asymmetric functions2007
- Author(s)
  T. Arai
- Organizer
  Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finance
- Place of Presentation
  ウィーン工科大学
- Year and Date
  2007-09-20
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] 非完備市場における価格付け理論-No ArbitrageとNo Good Deal-2007
- Author(s)
  新井拓児
- Organizer
  慶應経済学会シンポジウム
- Place of Presentation
  慶應義塾大学
- Year and Date
  2007-11-26
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] 非完備市場における価格付け理論-No ArbitrageとNo Good Deal2007
- Author(s)
  新井拓児
- Organizer
  慶應経済学会シンポジウム
- Place of Presentation
  慶應義塾大学
- Year and Date
  2007-11-26
- Data Source
  KAKENHI-PROJECT-19540144
[Presentation] Local risk-minimization for Levy markets
- Author(s)
  新井拓児、鈴木良一
- Organizer
  確率論シンポジウム
- Place of Presentation
  京都大学数理解析研究所(京都府)
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures for cadlag processes on Orlicz hearts
- Author(s)
  新井拓児
- Organizer
  AMI seminar
- Place of Presentation
  アルバータ大学(カナダ)
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures for cadlag processes on Orlicz spaces
- Author(s)
  新井拓児
- Organizer
  新潟確率論ワークショップ
- Place of Presentation
  新潟大学(新潟県)
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures for good deal bounds
- Author(s)
  新井拓児
- Organizer
  Talks in Financial and Insurance Mathematics
- Place of Presentation
  スイス連邦工科大学チューリッヒ校(スイス)
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Good deal bounds with convex constraints
- Author(s)
  Takuji Arai
- Organizer
  Workshop on Knightian Uncertainty and Risk Measures
- Place of Presentation
  シンガポール国立大学(シンガポール)
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures for good deal bounds
- Author(s)
  新井拓児
- Organizer
  Seminaire Bachelier
- Place of Presentation
  ポアンカレ研究所(フランス)
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Local risk-minimization for Levy markets
- Author(s)
  Takuji Arai
- Organizer
  Actuarial and Financial Mathematics Conference
- Place of Presentation
  ブリュッセル・アカデミーパレス(ベルギー)
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Local risk-minimization for Levy markets
- Author(s)
  新井拓児
- Organizer
  Stochastic analysis seminar
- Place of Presentation
  オスロ大学(ノルウェー)
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] Convex risk measures for cadlag processes on Orlicz hearts
- Author(s)
  Takuji Arai
- Organizer
  6th General AMaMeF and Banach Center Conference ``Advances in Mathematics of Finance"
- Place of Presentation
  ワルシャワ大学(ポーランド)
- Data Source
  KAKENHI-PROJECT-22540149
[Presentation] An explicit representation of locally risk-minimizing for Levy markets
- Author(s)
  Takuji Arai
- Organizer
  Workshop ``Mathematical finance and related issues"
- Place of Presentation
  京都リサーチパーク(京都府)
- Invited
- Data Source
  KAKENHI-PROJECT-22540149

1. 浅野貴央

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results

ARAI Takuji 新井 拓児

新井 拓児 アライ タクジ

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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Principal Investigator

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Research on mathematical expressions and numerical methods of optimal hedging strategies for stochastic volatility modelsPrincipal Investigator

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Research on mathematical expressions and numerical methods for optimal hedging strategies via Malliavin calculusPrincipal Investigator

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Research on pricing theory by convex risk measures taking account of hedging, and its related stochastic analysisPrincipal Investigator

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Research on pricing theory in incomplete financial markets by using stochastic analysisPrincipal Investigator

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金融派生商品に対する価格付け理論の確率論的アプローチに関する研究Principal Investigator

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[Journal Article] A remark on exact simulation of OU-TS processes2024

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[Journal Article] Constrained optimal stopping under a regime-switching model2024

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[Journal Article] Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure2024

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[Journal Article] Deep learning-based option pricing for Barndorff-Nielsen and Shephard model2023

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[Journal Article] Deep learning-based option pricing for Barndorff-Nielsen and Shephard model2023

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[Journal Article] Approximate option pricing formula for Barndorff-Nielsen and Shephard model2022

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[Journal Article] A Clark-Ocone Type Formula via Ito Calculus and its Application to Finance2021

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[Journal Article] Alos Type Decomposition Formula for Barndorff-Nielsen and Shephard Model2021

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[Journal Article] Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models2019

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ARAI Takuji 新井拓児

新井拓児アライタクジ