Takuji Arai

Keio University - Faculty of Economics

2-15-45 Mita, Ninato-ku

Tokyo 1088345

Japan

SCHOLARLY PAPERS

2

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2

CITATIONS

2

Scholarly Papers (2)

1.

The -Optimal Martingale Measure in Continuous Trading Models

Science Direct Working Paper No S1574-0358(04)70529-8
Number of pages: 20 Posted: 26 Mar 2018
Takuji Arai
Keio University - Faculty of Economics
Downloads 2 (635,340)

Abstract:

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Incomplete Market, Equivalent Martingale Measure, -Optimal Martingale Measure, Minimal Martingale Measure

2.

Convex Risk Measures for Good Deal Bounds

Mathematical Finance, Vol. 24, Issue 3, pp. 464-484, 2014
Number of pages: 21 Posted: 11 Jun 2014
Takuji Arai and Masaaki Fukasawa
Keio University - Faculty of Economics and Osaka University
Downloads 0 (665,900)
Citation 1
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Abstract:

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convex risk measure, good deal bound, Orlicz space, risk indifference price, fundamental theorem of asset pricing