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