Masaaki Fukasawa

Available identifiers

zbMath Open fukasawa.masaakiMaRDI QIDQ287665

List of research outcomes

Publication	Date of Publication	Type
A partial rough path space for rough volatility	2024-04-10	Paper
Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions	2024-03-26	Paper
Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel	2024-01-19	Paper
Backward stochastic difference equations on lattices with application to market equilibrium analysis	2023-12-17	Paper
Wiener Spiral for Volatility Modeling	2023-11-14	Paper
Super‐replication with transaction costs under model uncertainty for continuous processes	2023-09-28	Paper
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics	2023-09-28	Paper
The asymptotic expansion of the regular discretization error of Itô integrals	2023-09-27	Paper
Weighted variance swaps hedge against impermanent loss	2023-08-02	Paper
On asymptotically arbitrage-free approximations of the implied volatility	2023-06-26	Paper
A limit theorem for generalized tempered stable processes and their quadratic variations with stable index tending to two	2023-05-04	Paper
A rough SABR formula	2022-08-30	Paper
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models	2022-07-22	Paper
Efficient discretisation of stochastic differential equations	2022-07-05	Paper
Realized cumulants for martingales	2022-01-06	Paper
A new discretization scheme for one dimensional stochastic differential equations using time change method	2022-01-06	Paper
Volatility has to be rough	2021-12-01	Paper
Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes	2021-12-01	Paper
ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL	2021-10-26	Paper
DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS	2021-10-20	Paper
EM algorithm for stochastic hybrid systems	2021-07-15	Paper
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models	2019-07-10	Paper
Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations	2019-06-14	Paper
Short-time at-the-money skew and rough fractional volatility	2018-11-19	Paper
Local asymptotic normality property for fractional Gaussian noise under high-frequency observations	2018-10-24	Paper
Equilibrium returns with transaction costs	2018-07-16	Paper
The microstructural foundations of leverage effect and rough volatility	2018-04-06	Paper
Perfect hedging under endogenous permanent market impacts	2018-04-06	Paper
Asymptotic replication with modified volatility under small transaction costs	2016-05-23	Paper
Optimal Discretization of Hedging Strategies with Directional Views	2016-03-31	Paper
Asymptotic analysis for stochastic volatility: martingale expansion	2014-12-18	Paper
Efficient discretization of stochastic integrals	2014-11-14	Paper
Efficient price dynamics in a limit order market: an utility indifference approach	2014-10-29	Paper
CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS	2014-08-11	Paper
Limit theorems for random walks under irregular conductance	2014-05-02	Paper
VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE	2014-04-25	Paper
THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE	2013-05-14	Paper
Central limit theorems for realized volatility under hitting times of an irregular grid	2012-10-26	Paper
Asymptotically Efficient Discrete Hedging	2012-09-07	Paper
Discretization error of stochastic integrals	2011-10-12	Paper
Asymptotic analysis for stochastic volatility: Edgeworth expansion	2011-09-09	Paper
Central limit theorem for the realized volatility based on tick time sampling	2011-04-06	Paper
Conservative delta hedging under transaction costs	2011-03-10	Paper
Realized volatility with stochastic sampling	2010-07-08	Paper
Edgeworth expansion for ergodic diffusions	2008-10-16	Paper

Research outcomes over time

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