An extension of mean-variance hedging to the discontinuous case. - Takuji Arai (Finance Stochastics, 2005)

Good Deal Bounds Induced by Shortfall Risk. - Takuji Arai (SIAM J. Financial Math., 2011)

Convex Risk Measures for Càdlàg Processes on Orlicz Hearts. - Takuji Arai (SIAM J. Financial Math., 2014)

Comparison of local risk minimization and delta hedging strategy for exponential Lévy models. - Yuto Imai; Takuji Arai (JSIAM Lett., 2015)

Local risk-minimization for Barndorff-Nielsen and Shephard models. - Takuji Arai; Yuto Imai; Ryoichi Suzuki (Finance Stochastics, 2017)

A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes. - Takuji Arai; Yuto Imai (J. Appl. Probab., 2024)

Constrained optimal stopping under a regime-switching model. - Takuji Arai; Masahiko Takenaka (J. Appl. Probab., 2024)

Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure. - Takuji Arai; Yuto Imai (Math. Comput. Simul., 2024)