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ORCIDMasaaki Fukasawa
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2020 – today
- 2022
[j10]Christian Bayer, Masaaki Fukasawa
, Shonosuke Nakahara:
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models. SIAM J. Financial Math. 13(2): 66- (2022)- 2021
- [i2]Masaaki Fukasawa, Takuto Ugai:
Limit distributions for the discretization error of stochastic Volterra equations. CoRR abs/2112.06471 (2021) - 2020
- [i1]Masaaki Fukasawa, Mitsumasa Ikeda:
A New Discretization Scheme for One Dimensional Stochastic Differential Equations Using Time Change Method. CoRR abs/2006.02626 (2020)
2010 – 2019
- 2019
- [j9]Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum:
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models. SIAM J. Financial Math. 10(2): 491-511 (2019) - 2018
- [j8]Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum:
The microstructural foundations of leverage effect and rough volatility. Finance Stochastics 22(2): 241-280 (2018) - [j7]Masaaki Fukasawa, Mitja Stadje:
Perfect hedging under endogenous permanent market impacts. Finance Stochastics 22(2): 417-442 (2018) - [j6]Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe:
Equilibrium returns with transaction costs. Finance Stochastics 22(3): 569-601 (2018) - 2016
- [j5]Jiatu Cai, Masaaki Fukasawa:
Asymptotic replication with modified volatility under small transaction costs. Finance Stochastics 20(2): 381-431 (2016) - [j4]Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov:
Optimal Discretization of Hedging Strategies with Directional Views. SIAM J. Financial Math. 7(1): 34-69 (2016) - 2014
- [j3]Masaaki Fukasawa:
Efficient discretization of stochastic integrals. Finance Stochastics 18(1): 175-208 (2014) - 2011
- [j2]Masaaki Fukasawa:
Asymptotic analysis for stochastic volatility: martingale expansion. Finance Stochastics 15(4): 635-654 (2011) - 2010
- [j1]Masaaki Fukasawa:
Central limit theorem for the realized volatility based on tick time sampling. Finance Stochastics 14(2): 209-233 (2010)
Coauthor Index
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