新井 拓児

Monte Carlo simulation for Barndorff–Nielsen and Shephard model under change of measure 

Mathematics and Computers in Simulation 218 223-234 2024年4月  

A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes 

Journal of Applied Probability 2024年  

Constrained optimal stopping under a regime-switching model 

Journal of Applied Probability 2022年4月17日  

APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL 

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 25(02) 2022年3月  

A Clark-Ocone Type Formula via Itô Calculus and its Application to Finance 

Journal of Stochastic Analysis 2(4) 2021年10月25日  

Alòs Type Decomposition Formula for Barndorff-Nielsen and Shephard Model 

Journal of Stochastic Analysis 2(2) 2021年5月11日  

PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS 

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 22(8) 2019年12月  

Optimal initial capital induced by the optimized certainty equivalent 

INSURANCE MATHEMATICS & ECONOMICS 85 115-125 2019年3月  

A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus 

Applied Mathematical Finance 25(3) 247-267 2018年5月4日  

Numerical Analysis on Quadratic Hedging Strategies for Normal Inverse Gaussian Models 

Advances in Mathematical Economics 1-24 2018年  

On the difference between locally risk-minimizing and delta hedging strategies for exponential L,vy models 

JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS 34(3) 845-858 2017年11月  

Local risk-minimization for Barndorff-Nielsen and Shephard models 

FINANCE AND STOCHASTICS 21(2) 551-592 2017年4月  

GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS 

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 20(2) 2017年3月  

NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LEVY MODELS 

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 19(2) 2016年3月  

Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium 

ADVANCES IN MATHEMATICAL ECONOMICS, VOL 20 20 3-22 2016年  

Local risk-minimization for Levy markets 

INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING 2(2) 2015年6月