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Masaaki Fukasawa

Identifiers

  • name variant Masaaki Fukasawa 0.60 · backfill

Papers (19)

  1. A Quasi Maximum Likelihood Estimation Method for Bergomi-Type Volatility Models math.ST · 2026 · author #1
  2. Robust Volatility Index Calculation with OTM Option-implied Probability q-fin.MF · 2026 · author #1
  3. Is Volatility Rough ? math.ST · 2019 · author #1
  4. The asymptotic expansion of the regular discretization error of It\^o integrals math.PR · 2018 · author #2
  5. Short-term at-the-money asymptotics under stochastic volatility models q-fin.CP · 2018 · author #2
  6. Equilibrium Returns with Transaction Costs q-fin.PM · 2017 · author #2
  7. Perfect hedging under endogenous permanent market impacts q-fin.MF · 2017 · author #1
  8. Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations math.ST · 2016 · author #1
  9. Local asymptotic normality property for fractional Gaussian noise under high-frequency observations math.ST · 2016 · author #2
  10. Short-time at-the-money skew and rough fractional volatility q-fin.MF · 2015 · author #1
  11. Efficient price dynamics in a limit order market: an utility indifference approach q-fin.PR · 2014 · author #1
  12. Asymptotic replication with modified volatility under small transaction costs q-fin.MF · 2014 · author #2
  13. Optimal discretization of hedging strategies with directional views math.PR · 2014 · author #2
  14. Efficient Discretization of Stochastic Integrals math.PR · 2012 · author #1
  15. Convex risk measures for good deal bounds q-fin.PR · 2011 · author #2
  16. Conservative delta hedging under transaction costs q-fin.PR · 2011 · author #1
  17. Normalization for Implied Volatility q-fin.PR · 2010 · author #1
  18. Discretization error of Stochastic Integrals math.PR · 2010 · author #1
  19. Asymptotic analysis for stochastic volatility: Edgeworth expansion q-fin.CP · 2010 · author #1

Mentions

  • 1501.06980 #1 · backfill · confidence 0.70 Masaaki Fukasawa
  • 1410.8224 #1 · backfill · confidence 0.70 Masaaki Fukasawa
  • 1408.5677 #2 · backfill · confidence 0.70 Masaaki Fukasawa
  • 1407.4570 #2 · backfill · confidence 0.70 Masaaki Fukasawa
  • 2605.25359 #1 · arxiv_oai · confidence 0.70 Masaaki Fukasawa
  • 1204.0637 #1 · backfill · confidence 0.70 Masaaki Fukasawa
  • 1108.1273 #2 · backfill · confidence 0.70 Masaaki Fukasawa
  • 1103.2013 #1 · backfill · confidence 0.70 Masaaki Fukasawa
  • 2605.17446 #1 · arxiv_oai · confidence 0.70 Masaaki Fukasawa
  • 1008.5055 #1 · backfill · confidence 0.70 Masaaki Fukasawa
  • 1004.2107 #1 · backfill · confidence 0.70 Masaaki Fukasawa
  • 1004.2106 #1 · backfill · confidence 0.70 Masaaki Fukasawa

Frequent Coauthors