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Fukasawa, Masaaki

Co-Author Distance
Author ID: fukasawa.masaaki Recent zbMATH articles by "Fukasawa, Masaaki"
Published as: Fukasawa, Masaaki; Fukasawa, M.
Documents Indexed: 48 Publications since 2008, including 5 Additional arXiv Preprints
1 Contribution as Editor
Co-Authors: 42 Co-Authors with 30 Joint Publications
630 Co-Co-Authors
all top 5

Co-Authors

19 single-authored
5 Rosenbaum, Mathieu
3 Gatheral, Jim
2 Bayer, Christian
2 Cai, Jiatu
2 El Euch, Omar
2 Sekine, Jun
2 Takabatake, Tetsuya
1 Alòs, Elisa
1 Arai, Takuji
1 Bouchard, Bruno
1 Brouste, Alexandre
1 Chau, Huy N.
1 Forde, Martin
1 Friz, Peter
1 Gerhold, Stefan
1 Herdegen, Martin
1 Hirano, Asuto
1 Hirokane, Mikio
1 Ikeda, Mitsumasa
1 Ishida, Isao
1 Jacquier, Antoine
1 Maeda, Hitomi
1 Maghrebi, N.
1 Maire, Basile
1 Matsushita, Kazuki
1 Muhle-Karbe, Johannes
1 Nakahara, Shonosuke
1 Obloj, Jan K.
1 Ogihara, Teppei
1 Ohnishi, Masamitsu
1 Oya, Kosuke
1 Rásonyi, Miklós
1 Shimoshimizu, Makoto
1 Smith, Benjamin
1 Stadje, Mitja
1 Takano, Ryoji
1 Tankov, Peter
1 Ubukata, Masato
1 Ugai, Takuto
1 Westphal, Rebecca
1 Wunsch, Marcus
1 Yamazaki, Kazutoshi
all top 5

Serials

7 Finance and Stochastics
5 Mathematical Finance
4 Quantitative Finance
3 International Journal of Theoretical and Applied Finance
3 SIAM Journal on Financial Mathematics
2 The Annals of Applied Probability
2 Stochastic Processes and their Applications
2 Electronic Journal of Probability
2 Electronic Communications in Probability
2 Bernoulli
2 Frontiers of Mathematical Finance
1 Theory of Probability and its Applications
1 The Annals of Statistics
1 Proceedings of the Japan Academy. Series A
1 Statistics & Probability Letters
1 Probability Theory and Related Fields
1 Statistical Inference for Stochastic Processes
1 The ANZIAM Journal
1 Stochastics
all top 5

Fields

34 Probability theory and stochastic processes (60-XX)
32 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
9 Statistics (62-XX)
4 Systems theory; control (93-XX)
3 Numerical analysis (65-XX)
2 Partial differential equations (35-XX)
1 General and overarching topics; collections (00-XX)
1 Measure and integration (28-XX)
1 Ordinary differential equations (34-XX)
1 Approximations and expansions (41-XX)
1 Calculus of variations and optimal control; optimization (49-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

37 Publications have been cited 449 times in 269 Documents Cited by ▼ Year ▼
Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177
Fukasawa, Masaaki
64
2011
The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu
62
2018
Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777
Fukasawa, Masaaki
51
2017
Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495
El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu
25
2019
Volatility has to be rough. Zbl 1484.91474
Fukasawa, Masaaki
24
2021
Realized volatility with stochastic sampling. Zbl 1191.62176
Fukasawa, Masaaki
20
2010
Local asymptotic normality property for fractional Gaussian noise under high-frequency observations. Zbl 1411.62045
Brouste, Alexandre; Fukasawa, Masaaki
18
2018
Equilibrium returns with transaction costs. Zbl 1402.91666
Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; Muhle-Karbe, Johannes
18
2018
Discretization error of stochastic integrals. Zbl 1234.60024
Fukasawa, Masaaki
16
2011
The normalizing transformation of the implied volatility smile. Zbl 1272.91121
Fukasawa, Masaaki
13
2012
Central limit theorem for the realized volatility based on tick time sampling. Zbl 1224.62040
Fukasawa, Masaaki
13
2010
Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics. Zbl 1522.91272
Fukasawa, Masaaki; Takabatake, Tetsuya; Westphal, Rebecca
13
2022
Central limit theorems for realized volatility under hitting times of an irregular grid. Zbl 1255.60034
Fukasawa, Masaaki; Rosenbaum, Mathieu
12
2012
Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations. Zbl 1466.62382
Fukasawa, Masaaki; Takabatake, Tetsuya
12
2019
Asymptotically efficient discrete hedging. Zbl 1246.91130
Fukasawa, Masaaki
10
2011
Convex risk measures for good deal bounds. Zbl 1314.91131
Arai, Takuji; Fukasawa, Masaaki
10
2014
Efficient discretization of stochastic integrals. Zbl 1307.60070
Fukasawa, Masaaki
9
2014
Edgeworth expansion for ergodic diffusions. Zbl 1154.60018
Fukasawa, Masaaki
7
2008
A rough SABR formula. Zbl 1498.91468
Fukasawa, Masaaki; Gatheral, Jim
6
2022
Volatility derivatives and model-free implied leverage. Zbl 1290.91161
Fukasawa, Masaaki
5
2014
Asymptotic analysis for stochastic volatility: Edgeworth expansion. Zbl 1244.91091
Fukasawa, Masaaki
5
2011
Refinement by reducing and reusing random numbers of the hybrid scheme for Brownian semistationary processes. Zbl 1479.91443
Fukasawa, Masaaki; Hirano, Asuto
5
2021
The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model. Zbl 1478.60152
Forde, Martin; Fukasawa, Masaaki; Gerhold, Stefan; Smith, Benjamin
5
2022
Short communication: on the weak convergence rate in the discretization of rough volatility models. Zbl 1497.91338
Bayer, Christian; Fukasawa, Masaaki; Nakahara, Shonosuke
4
2022
Model-free implied volatility: from surface to index. Zbl 1218.91050
Fukasawa, M.; Ishida, I.; Maghrebi, N.; Oya, K.; Ubukata, M.; Yamazaki, K.
3
2011
Asymptotic replication with modified volatility under small transaction costs. Zbl 1360.91139
Cai, Jiatu; Fukasawa, Masaaki
3
2016
Realized cumulants for martingales. Zbl 1485.60047
Fukasawa, Masaaki; Matsushita, Kazuki
2
2021
Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders. Zbl 1471.91537
Fukasawa, Masaaki; Ohnishi, Masamitsu; Shimoshimizu, Makoto
2
2021
On asymptotically arbitrage-free approximations of the implied volatility. Zbl 1519.91258
Fukasawa, Masaaki
2
2022
Super-replication with transaction costs under model uncertainty for continuous processes. Zbl 1530.91564
Chau, Huy N.; Fukasawa, Masaaki; Rásonyi, Miklós
2
2022
Optimal discretization of hedging strategies with directional views. Zbl 1348.60098
Cai, Jiatu; Fukasawa, Masaaki; Rosenbaum, Mathieu; Tankov, Peter
2
2016
Efficient discretisation of stochastic differential equations. Zbl 1490.60156
Fukasawa, Masaaki; Obłój, Jan
1
2020
Perfect hedging under endogenous permanent market impacts. Zbl 1407.91249
Fukasawa, Masaaki; Stadje, Mitja
1
2018
Wiener spiral for volatility modeling. Zbl 1536.91331
Fukasawa, M.
1
2023
Rough volatility. Zbl 07883914
1
2024
Weighted variance swaps hedge against impermanent loss. Zbl 07721479
Fukasawa, Masaaki; Maire, Basile; Wunsch, Marcus
1
2023
The asymptotic expansion of the regular discretization error of Itô integrals. Zbl 1522.91257
Alòs, Elisa; Fukasawa, Masaaki
1
2021
Rough volatility. Zbl 07883914
1
2024
Wiener spiral for volatility modeling. Zbl 1536.91331
Fukasawa, M.
1
2023
Weighted variance swaps hedge against impermanent loss. Zbl 07721479
Fukasawa, Masaaki; Maire, Basile; Wunsch, Marcus
1
2023
Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics. Zbl 1522.91272
Fukasawa, Masaaki; Takabatake, Tetsuya; Westphal, Rebecca
13
2022
A rough SABR formula. Zbl 1498.91468
Fukasawa, Masaaki; Gatheral, Jim
6
2022
The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model. Zbl 1478.60152
Forde, Martin; Fukasawa, Masaaki; Gerhold, Stefan; Smith, Benjamin
5
2022
Short communication: on the weak convergence rate in the discretization of rough volatility models. Zbl 1497.91338
Bayer, Christian; Fukasawa, Masaaki; Nakahara, Shonosuke
4
2022
On asymptotically arbitrage-free approximations of the implied volatility. Zbl 1519.91258
Fukasawa, Masaaki
2
2022
Super-replication with transaction costs under model uncertainty for continuous processes. Zbl 1530.91564
Chau, Huy N.; Fukasawa, Masaaki; Rásonyi, Miklós
2
2022
Volatility has to be rough. Zbl 1484.91474
Fukasawa, Masaaki
24
2021
Refinement by reducing and reusing random numbers of the hybrid scheme for Brownian semistationary processes. Zbl 1479.91443
Fukasawa, Masaaki; Hirano, Asuto
5
2021
Realized cumulants for martingales. Zbl 1485.60047
Fukasawa, Masaaki; Matsushita, Kazuki
2
2021
Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders. Zbl 1471.91537
Fukasawa, Masaaki; Ohnishi, Masamitsu; Shimoshimizu, Makoto
2
2021
The asymptotic expansion of the regular discretization error of Itô integrals. Zbl 1522.91257
Alòs, Elisa; Fukasawa, Masaaki
1
2021
Efficient discretisation of stochastic differential equations. Zbl 1490.60156
Fukasawa, Masaaki; Obłój, Jan
1
2020
Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495
El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu
25
2019
Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations. Zbl 1466.62382
Fukasawa, Masaaki; Takabatake, Tetsuya
12
2019
The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu
62
2018
Local asymptotic normality property for fractional Gaussian noise under high-frequency observations. Zbl 1411.62045
Brouste, Alexandre; Fukasawa, Masaaki
18
2018
Equilibrium returns with transaction costs. Zbl 1402.91666
Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; Muhle-Karbe, Johannes
18
2018
Perfect hedging under endogenous permanent market impacts. Zbl 1407.91249
Fukasawa, Masaaki; Stadje, Mitja
1
2018
Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777
Fukasawa, Masaaki
51
2017
Asymptotic replication with modified volatility under small transaction costs. Zbl 1360.91139
Cai, Jiatu; Fukasawa, Masaaki
3
2016
Optimal discretization of hedging strategies with directional views. Zbl 1348.60098
Cai, Jiatu; Fukasawa, Masaaki; Rosenbaum, Mathieu; Tankov, Peter
2
2016
Convex risk measures for good deal bounds. Zbl 1314.91131
Arai, Takuji; Fukasawa, Masaaki
10
2014
Efficient discretization of stochastic integrals. Zbl 1307.60070
Fukasawa, Masaaki
9
2014
Volatility derivatives and model-free implied leverage. Zbl 1290.91161
Fukasawa, Masaaki
5
2014
The normalizing transformation of the implied volatility smile. Zbl 1272.91121
Fukasawa, Masaaki
13
2012
Central limit theorems for realized volatility under hitting times of an irregular grid. Zbl 1255.60034
Fukasawa, Masaaki; Rosenbaum, Mathieu
12
2012
Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177
Fukasawa, Masaaki
64
2011
Discretization error of stochastic integrals. Zbl 1234.60024
Fukasawa, Masaaki
16
2011
Asymptotically efficient discrete hedging. Zbl 1246.91130
Fukasawa, Masaaki
10
2011
Asymptotic analysis for stochastic volatility: Edgeworth expansion. Zbl 1244.91091
Fukasawa, Masaaki
5
2011
Model-free implied volatility: from surface to index. Zbl 1218.91050
Fukasawa, M.; Ishida, I.; Maghrebi, N.; Oya, K.; Ubukata, M.; Yamazaki, K.
3
2011
Realized volatility with stochastic sampling. Zbl 1191.62176
Fukasawa, Masaaki
20
2010
Central limit theorem for the realized volatility based on tick time sampling. Zbl 1224.62040
Fukasawa, Masaaki
13
2010
Edgeworth expansion for ergodic diffusions. Zbl 1154.60018
Fukasawa, Masaaki
7
2008
all cited Publications top 5 cited Publications
all top 5

Cited by 368 Authors

26 Fukasawa, Masaaki
16 Jacquier, Antoine
15 Rosenbaum, Mathieu
10 Muhle-Karbe, Johannes
8 Alòs, Elisa
8 Friz, Peter
8 Gatheral, Jim
7 Bayer, Christian
6 Bibinger, Markus
6 Choi, Jin Hyuk
6 Pigato, Paolo
5 De Marco, Stefano
5 El Euch, Omar
5 Forde, Martin
5 Garnier, Josselin
5 Gassiat, Paul
5 Gobet, Emmanuel
5 Horvath, Blanka
5 Jaber, Eduardo Abi
5 Koike, Yuta
5 Sølna, Knut
5 Tankov, Peter
4 Herdegen, Martin
4 Martini, Claude
4 Muguruza, Aitor
4 Mykland, Per Aslak
4 Pakkanen, Mikko S.
4 Smith, Benjamin
4 Takabatake, Tetsuya
3 Brouste, Alexandre
3 Gulisashvili, Archil
3 Horst, Ulrich
3 Ma, Jingtang
3 Mingone, Arianna
3 Neuman, Eyal
3 Radoičić, Radoš
3 Scotti, Simone
3 Seppi, Duane J.
3 Shi, Fangwei
3 Stazhynski, Uladzislau
3 Szymansky, Grégoire
3 Vetter, Mathias
3 Weston, Kim
2 Arai, Takuji
2 Bank, Peter
2 Bourgey, Florian
2 Cai, Chunhao
2 Cayé, Thomas
2 Chau, Huy N.
2 Chen, Xiao
2 Chong, Carsten H.
2 Dolinsky, Yan
2 Fouque, Jean-Pierre
2 Funahashi, Hideharu
2 Gerhold, Stefan
2 Gonon, Lukas
2 Hager, Paul P.
2 Hainaut, Donatien
2 Han, Bingyan
2 Hoffmann, Marc
2 Jacod, Jean
2 Keller-Ressel, Martin
2 Kim, Jeong-Hoon
2 Li, Yingying
2 Ma, Guiyuan
2 Munari, Cosimo
2 Oumgari, Mugad
2 Podolskij, Mark
2 Pulido, Sergio
2 Rásonyi, Miklós
2 Roome, Patrick
2 Shiraya, Kenichiro
2 Siu, Chi Chung
2 Soltane, Marius
2 Sottinen, Tommi
2 Spiliopoulos, Konstantinos V.
2 Stadje, Mitja
2 Stemper, Benjamin
2 Teichmann, Josef
2 Todorov, Viktor
2 Tomas, Mehdi
2 Viitasaari, Lauri
2 Wang, Tai-Ho
2 Wong, Hoi Ying
2 Xu, Wei
2 Yoshida, Nakahiro
2 Zhang, Lan
2 Zheng, Xinghua
1 Aït-Sahalia, Yacine
1 Alexeev, Vitali
1 Alfeus, Mesias
1 Alfonsi, Aurélien
1 Altarovici, Albert
1 Altmeyer, Randolf
1 Andrès, Hervé
1 Angelini, Daniele
1 Anthropelos, Michail
1 Arduca, Maria
1 Asano, Takao
1 Assa, Hirbod
...and 268 more Authors
all top 5

Cited in 70 Serials

37 Quantitative Finance
33 SIAM Journal on Financial Mathematics
20 Mathematical Finance
18 Finance and Stochastics
17 The Annals of Applied Probability
16 Stochastic Processes and their Applications
6 International Journal of Theoretical and Applied Finance
6 Statistical Inference for Stochastic Processes
6 Mathematics and Financial Economics
5 Journal of Econometrics
5 Electronic Journal of Probability
5 Bernoulli
5 Frontiers of Mathematical Finance
4 Journal of Applied Probability
3 The Annals of Statistics
3 Statistics & Probability Letters
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Applied Mathematical Finance
3 Electronic Communications in Probability
3 Econometric Theory
3 Decisions in Economics and Finance
3 Electronic Journal of Statistics
3 Annals of Finance
2 Chaos, Solitons and Fractals
2 Theory of Probability and its Applications
2 Annals of the Institute of Statistical Mathematics
2 The Annals of Probability
2 Applied Mathematics and Optimization
2 SIAM Journal on Control and Optimization
2 Insurance Mathematics & Economics
2 Probability Theory and Related Fields
2 Annals of Operations Research
2 Asia-Pacific Financial Markets
2 Stochastics
2 Modern Stochastics. Theory and Applications
1 Advances in Applied Probability
1 Physica A
1 Mathematics of Computation
1 Econometrica
1 Journal of Computational and Applied Mathematics
1 Journal of Statistical Planning and Inference
1 Proceedings of the Japan Academy. Series A
1 Applied Numerical Mathematics
1 Journal of Economic Dynamics & Control
1 Journal of Theoretical Probability
1 Japan Journal of Industrial and Applied Mathematics
1 Communications in Statistics. Theory and Methods
1 European Journal of Operational Research
1 Applied Mathematics. Series B (English Edition)
1 Computational and Applied Mathematics
1 Top
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Studies in Nonlinear Dynamics and Econometrics
1 Chaos
1 Communications in Nonlinear Science and Numerical Simulation
1 Probability in the Engineering and Informational Sciences
1 The ANZIAM Journal
1 Journal of Evolution Equations
1 Discrete and Continuous Dynamical Systems. Series B
1 ASTIN Bulletin
1 Vladikavkazskiĭ Matematicheskiĭ Zhurnal
1 Sankhyā. Series B
1 European Actuarial Journal
1 Statistics and Computing
1 Forum of Mathematics, Sigma
1 Communications in Mathematics and Statistics
1 Stochastic and Partial Differential Equations. Analysis and Computations
1 Journal of the Japan Statistical Society. Japanese Issue
1 Annals of Applied Mathematics
1 Japanese Journal of Statistics and Data Science
all top 5

Cited in 20 Fields

196 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
174 Probability theory and stochastic processes (60-XX)
65 Statistics (62-XX)
19 Numerical analysis (65-XX)
11 Systems theory; control (93-XX)
7 Partial differential equations (35-XX)
6 Integral equations (45-XX)
6 Computer science (68-XX)
3 Real functions (26-XX)
3 Functional analysis (46-XX)
3 Calculus of variations and optimal control; optimization (49-XX)
2 Ordinary differential equations (34-XX)
2 Approximations and expansions (41-XX)
2 Harmonic analysis on Euclidean spaces (42-XX)
2 Operations research, mathematical programming (90-XX)
1 Mathematical logic and foundations (03-XX)
1 Measure and integration (28-XX)
1 Integral transforms, operational calculus (44-XX)
1 Statistical mechanics, structure of matter (82-XX)
1 Biology and other natural sciences (92-XX)

Citations by Year