Masaaki Fukasawa

Publication Activity (10 Years)

Years Active: 2010-2022
Publications (10 Years): 9

Top Topics

Thermal Conductivity

Portfolio Selection

Transaction Costs

Top Venues

Finance Stochastics

SIAM J. Financial Math.

Publications

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) (2022)
Masaaki Fukasawa, Takuto Ugai
Limit distributions for the discretization error of stochastic Volterra equations. CoRR (2021)
Masaaki Fukasawa, Mitsumasa Ikeda
A New Discretization Scheme for One Dimensional Stochastic Differential Equations Using Time Change Method. CoRR (2020)
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) (2019)
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe
Equilibrium returns with transaction costs. Finance Stochastics 22 (3) (2018)
Masaaki Fukasawa, Mitja Stadje
Perfect hedging under endogenous permanent market impacts. Finance Stochastics 22 (2) (2018)
Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum
The microstructural foundations of leverage effect and rough volatility. Finance Stochastics 22 (2) (2018)
Jiatu Cai, Masaaki Fukasawa
Asymptotic replication with modified volatility under small transaction costs. Finance Stochastics 20 (2) (2016)
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov
Optimal Discretization of Hedging Strategies with Directional Views. SIAM J. Financial Math. 7 (1) (2016)
Masaaki Fukasawa
Efficient discretization of stochastic integrals. Finance Stochastics 18 (1) (2014)
Masaaki Fukasawa
Asymptotic analysis for stochastic volatility: martingale expansion. Finance Stochastics 15 (4) (2011)
Masaaki Fukasawa
Central limit theorem for the realized volatility based on tick time sampling. Finance Stochastics 14 (2) (2010)