Masaaki Fukasawa - researchr alias

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Viewing Publication 1 - 10 from 10

2022

Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility ModelsChristian Bayer 0001, Masaaki Fukasawa, Shonosuke Nakahara. siamfm, 13(2):66, 2022. [doi]

2019

Short-Term At-the-Money Asymptotics under Stochastic Volatility ModelsOmar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum. siamfm, 10(2):491-511, 2019. [doi]

2018

Equilibrium returns with transaction costsBruno Bouchard 0002, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe. fs, 22(3):569-601, 2018. [doi]

The microstructural foundations of leverage effect and rough volatilityOmar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum. fs, 22(2):241-280, 2018. [doi]

Perfect hedging under endogenous permanent market impactsMasaaki Fukasawa, Mitja Stadje. fs, 22(2):417-442, 2018. [doi]

2016

Asymptotic replication with modified volatility under small transaction costsJiatu Cai, Masaaki Fukasawa. fs, 20(2):381-431, 2016. [doi]

Optimal Discretization of Hedging Strategies with Directional ViewsJiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov. siamfm, 7(1):34-69, 2016. [doi]

2014

Efficient discretization of stochastic integralsMasaaki Fukasawa. fs, 18(1):175-208, 2014. [doi]

2011

Asymptotic analysis for stochastic volatility: martingale expansionMasaaki Fukasawa. fs, 15(4):635-654, 2011. [doi]

2010

Central limit theorem for the realized volatility based on tick time samplingMasaaki Fukasawa. fs, 14(2):209-233, 2010. [doi]

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