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ARAI, Takuji

Associate Professor, Faculty of Economics, Keio University

Professor Arai graduated from the Faculty of Science and Technology at Tokyo University of Science in 1993 and obtained a Ph.D. in science from Keio University in 2001.  He has done research at the University of Tsukuba and taught at the Tokyo University of Science before becoming Associate Professor at Keio in 2005.  He specializes in mathematical finance.  Publications include: “Minimal martingale measures for jump diffusion processes”, J. Appl. Probab., 41, 263--270, 2004; “An extension of mean-variance hedging to the discontinuous case”, Fin. Stoch., 9, 129-139, 2005; “An Approximate Approach to the Exponential Utility Indifference Valuation”, Intern. J. Theor. Appl. Fin., 10, 475-503, 2007.

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