Masaaki Fukasawa

According to our database, Masaaki Fukasawa authored at least 12 papers between 2010 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2022

Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models.

Christian Bayer, Masaaki Fukasawa, Shonosuke Nakahara

SIAM J. Financial Math., 2022

2021

Limit distributions for the discretization error of stochastic Volterra equations.

Masaaki Fukasawa, Takuto Ugai

CoRR, 2021

2020

A New Discretization Scheme for One Dimensional Stochastic Differential Equations Using Time Change Method.

Masaaki Fukasawa, Mitsumasa Ikeda

CoRR, 2020

2019

Short-Term At-the-Money Asymptotics under Stochastic Volatility Models.

Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum

SIAM J. Financial Math., 2019

2018

Perfect hedging under endogenous permanent market impacts.

Masaaki Fukasawa, Mitja Stadje

Finance Stochastics, 2018

The microstructural foundations of leverage effect and rough volatility.

Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum

Finance Stochastics, 2018

Equilibrium returns with transaction costs.

Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe

Finance Stochastics, 2018

2016

Optimal Discretization of Hedging Strategies with Directional Views.

Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov

SIAM J. Financial Math., 2016

Asymptotic replication with modified volatility under small transaction costs.

Jiatu Cai, Masaaki Fukasawa

Finance Stochastics, 2016

2014

Efficient discretization of stochastic integrals.

Masaaki Fukasawa

Finance Stochastics, 2014

2011

Asymptotic analysis for stochastic volatility: martingale expansion.

Masaaki Fukasawa

Finance Stochastics, 2011

2010

Central limit theorem for the realized volatility based on tick time sampling.

Masaaki Fukasawa

Finance Stochastics, 2010