新井拓児新井拓児

Keio University · Faculty of Economics / Graduate School of Economics · 教授

Publications: 4
Projects: 4
Keywords: 8

留学神社

Basic information

Keio University · Faculty of Economics / Graduate School of Economics · 教授

Research keywordstempered stable processes・Ornstein-Uhlenbeck processes・exercise timing・regime-switching models・Barndorff-Nielsen Shephard model・Monte Carlo simulation・option pricing・Clark-Ocone formula

This is a public-data preview. Personalized fit, contact angles, and saved workflows require sign-in.

Recent publications

Monte Carlo simulation for Barndorff–Nielsen and Shephard model under change of measure2024 · Mathematics and Computers in Simulation
A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes2024 · Journal of Applied Probability
Constrained optimal stopping under a regime-switching model2024 · Journal of Applied Probability
APPROXIMATE OPTION PRICING FORMULA for BARNDORFF-NIELSEN and SHEPHARD MODEL2022 · International Journal of Theoretical and Applied Finance

Grants / projects

Next step

Sign in for fit and contact guidance

Personalized fit, contact angles, and saved workflows require sign-in.

新井 拓児

新井 拓児新井 拓児

Sign in for fit and contact guidance

新井拓児

新井拓児新井拓児